Elucidation of corporate investment, capital structure, and bankruptcy process in dynamic models

2023 Fiscal Year Final Research Report

• Project/Area Number: 20K01769
• Research Category: Grant-in-Aid for Scientific Research (C)
• Allocation Type: Multi-year Fund
• Section: 一般
• Review Section: Basic Section 07060:Money and finance-related
• Research Institution: Osaka University
• Principal Investigator: Nishihara Michi 大阪大学, 大学院経済学研究科, 教授 (20456940)
• Project Period (FY): 2020-04-01 – 2024-03-31
• Keywords: ファイナンス / 金融工学 / リアルオプション

Outline of Final Research Achievements

Although a lot of papers investigated corporate financial problems regarding investment, financing, and bankruptcy in static models, it has been increasingly important to investigate the problems of timing and dynamics in stochastic and dynamic models. In this research project, I have developed and analyzed novel corporate finance models. By this, I have elucidated many theoretical mechanisms regarding the corporate investment, financing, and bankruptcy processes, which were not shown in static models.
I have presented these new results at many international and domestic conferences and published ten papers in peer-reviewed international journals. These works have been judged to be important results, and hence, I was awarded 13th Research Award in the Operations Research Society of Japan, as well as Editor's Choice in European Journal of Operational Research.

Free Research Field

ファイナンス

Academic Significance and Societal Importance of the Research Achievements

企業の実物投資・資金調達・倒産の問題について、以前は静学的なモデルで分析されていたが、近年では動学的な確率モデルによる分析が重要になっている。本研究で行った動学的な確率モデルによる理論メカニズムの研究は、近年の経済・金融分野の最先端の研究課題の一つであり、学術的意義が非常に大きい。実際、多くの研究成果が、国際的にレベルの高い著名なジャーナルに掲載され、国内外で学術賞を受賞した。また、現代社会は、急速に変化し、不確実性も増している。このような変化に対応する企業のダイナミックな意思決定を解明することは、社会的意義も大きい。