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2009 Fiscal Year Final Research Report

Estimation of corporate potential affairs and its extension

Research Project

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Project/Area Number 19710126
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Social systems engineering/Safety system
Research InstitutionTokyo Metropolitan University

Principal Investigator

SHIBATA Takashi  Tokyo Metropolitan University, 大学院・社会科学研究科, 准教授 (70372597)

Project Period (FY) 2007 – 2009
Keywordsファイナンス
Research Abstract

We derive the valuation of the potential financial affairs with corporate risk and estimate it by calibrating the parameters with practical data. In particular, we valuate corporate investment project in a decentralize firm in the presence of asymmetric information between the owner and the manager.

  • Research Products

    (26 results)

All 2010 2009 2008 2007 Other

All Journal Article (12 results) (of which Peer Reviewed: 8 results) Presentation (11 results) Book (3 results)

  • [Journal Article] Strategic investment with debt financing.2010

    • Author(s)
      Nishihara, M., Shibata, T.
    • Journal Title

      International Journal of Management Science and Engineering Management No.5(1)

      Pages: 3-14

    • Peer Reviewed
  • [Journal Article] Dynamic investment and capital structure under manager-shareholder conflict.2010

    • Author(s)
      Shibata, T., Nishihara, M.
    • Journal Title

      Journal of Economic Dynamics and Control No.34(2)

      Pages: 158-178

    • Peer Reviewed
  • [Journal Article] Investment timing, asymmetric information, and audit structure: A real options framework2009

    • Author(s)
      Shibata, T.
    • Journal Title

      Journal of Economic Dynamics and Control No.33(4)

      Pages: 903-921

    • Peer Reviewed
  • [Journal Article] Dynamic model of credit risk in relationship lending: A game-theoretic real options approach.2009

    • Author(s)
      Shibata, T., Yamada, T.
    • Journal Title

      Monetary and Economic Studies No27

      Pages: 195-218

    • Peer Reviewed
  • [Journal Article] 西原理企業内の利害対立と最適投資タイミング2009

    • Author(s)
      芝田隆志
    • Journal Title

      オペレーションズ・リサーチ Vol.53(11)

  • [Journal Article] リアルオプションと資金調達2009

    • Author(s)
      西原理, 芝田隆志
    • Journal Title

      オペレーションズ・リサーチ Vol.53(11)

  • [Journal Article] The agency problem between the owner and the manager in real investment: bonus-audit relationship2008

    • Author(s)
      Nishihara, M., Shibata, T.
    • Journal Title

      Operations Research Letters No.36(3)

      Pages: 291-296

    • Peer Reviewed
  • [Journal Article] メイン寄せリスクと貸出債権価値の評価:ゲーム論的リアルオプションによるアプローチ2008

    • Author(s)
      芝田隆志, 山田哲也
    • Journal Title

      金融研究(日本銀行金融研究所) 第27巻別冊第2号

      Pages: 1-46

    • Peer Reviewed
  • [Journal Article] The impacts of uncertainties in a real options model under incomplete information.2008

    • Author(s)
      Shibata, T.
    • Journal Title

      European Journal of Operational Research No.187(3)

      Pages: 1368-1379

    • Peer Reviewed
  • [Journal Article] 企業内の利害対立下での最適な投資と資本構成2008

    • Author(s)
      芝田隆志, 西原理
    • Journal Title

      京都大学数理解析研究所講究録 1580

      Pages: 220-233

  • [Journal Article] Debt Financing, and Competition2008

    • Author(s)
      Nishihara, M., Shibata, T., Real Options
    • Journal Title

      京都大学数理解析研究所講究録 1580

      Pages: 206-219

  • [Journal Article] Reorganization strategies and securities valuation under asymmetric information.

    • Author(s)
      Shibata, T., Tian, Y.
    • Journal Title

      International Review of Economics and Finance

    • Peer Reviewed
  • [Presentation] Investment under Uncertainty with Manager-shareholder Conflict.2009

    • Author(s)
      Shibata, T.
    • Organizer
      7th International Conference of Numerical Analysis and Applied Mathematics
    • Place of Presentation
      Rethmyno, Crete island, Greece
    • Year and Date
      20090918-20090922
  • [Presentation] Investment Timing and Capital Structure under Hard and Soft Budget Constraints.2009

    • Author(s)
      Shibata, T.
    • Organizer
      15th International Conference on Computing in Economics and Finance
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      20090715-20090717
  • [Presentation] Dynamic Investment and Corporate Structure under Manager-shareholder Conflicts.2009

    • Author(s)
      Shibata, T.
    • Organizer
      13th International Conference on Real Options 2009
    • Place of Presentation
      Braga, Portugal and Santiago, Spain
    • Year and Date
      20090617-20090620
  • [Presentation] Dynamic Investment and Corporate Structure under Manager-shareholder Conflicts.2009

    • Author(s)
      Shibata, T.
    • Organizer
      Applied Business Research Conference 2009
    • Place of Presentation
      Waikiki, U.S.A.
    • Year and Date
      20090105-20090108
  • [Presentation] Dynamic Investment and Capital Structure under Agency Conflicts.2008

    • Author(s)
      Shibata, T.
    • Organizer
      Quantitative Methods in Finance Conference 2007
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      20081217-20091220
  • [Presentation] Agency Problem with Auditing in a Real Options Model.2008

    • Author(s)
      Shibata, T.
    • Organizer
      Bachelier Finance Society Fifth World Congress
    • Place of Presentation
      London, U.K.
    • Year and Date
      20080715-20080719
  • [Presentation] Agency Problem with Auditing in a Real Options Model.2008

    • Author(s)
      Shibata, T.
    • Organizer
      2008 International Workshop on Applied Probability
    • Place of Presentation
      Compiegne, France
    • Year and Date
      20080707-20080710
  • [Presentation] Dynamic Investment and Capital Structure under Agency Conflicts.2008

    • Author(s)
      Shibata, T.
    • Organizer
      14th International Conference on Computing in Economics and Finance
    • Place of Presentation
      Paris, France
    • Year and Date
      20080626-20080628
  • [Presentation] Agency Problem with Auditing in a Real Options Model.2007

    • Author(s)
      Shibata, T.
    • Organizer
      Quantitative Methods in Finance Conference 2007
    • Place of Presentation
      Sydney, Australia
    • Year and Date
      20071212-20071215
  • [Presentation] On the bonus-auditing Relationship in a Real Options Model under Asymmetric Information.2007

    • Author(s)
      Shibata, T.
    • Organizer
      European Conference on Operational Research
    • Place of Presentation
      Prague, Czech
    • Year and Date
      20070708-20070711
  • [Presentation] On the bonus-auditing Relationship in a Real Options Model under Asymmetric Information.2007

    • Author(s)
      芝田隆志
    • Organizer
      平成19年(2007)日本経済学会春 季大会
    • Place of Presentation
      大阪学院大学
    • Year and Date
      20070602-20070603
  • [Book] Real Options in a Duopoly Market with General Volatility Structure, Recent Advances in Financial Engineering2009

    • Author(s)
      Kijima, M., Shibata, T.
    • Total Pages
      71-90
    • Publisher
      World Scientific
  • [Book] Strategic Investment with Debt Financing, Recent Advances in Financial Engineering2009

    • Author(s)
      Nishihara, M, Shibata, T.
    • Total Pages
      161-188
    • Publisher
      World Scientific
  • [Book] リアルオプションと投資戦略2008

    • Author(s)
      木島正明, 中岡英隆, 芝田隆志
    • Total Pages
      179
    • Publisher
      朝倉書店

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Published: 2011-06-18   Modified: 2016-04-21  

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