An Investment Theory with Lags and Adjustment Costs

发布时间:2022-05-02 浏览次数:10

报告题目:An Investment Theory with Lags and Adjustment Costs

  讲  人:香港科技大学 蒋为教授



主办单位: 金融工程研究中心


We propose a stochastic control model to study corporate investment with generalized investment frictions, including investment lags and various of adjustment costs. We find that the dominance of the “good news principle'” or “bad news principle” is determined by the joint effect of investment lags and adjustment costs, reconciling the results in Bernanke (1983) and Bar-Ilan and Strange (1996). Meanwhile, we resolve disputes between the net present value rule and the real option method of making investment decisions, and we find that the accuracy of the NPV rule depends on both investment lags and the opportunity cost of adjustment. Moreover, we calibrate our model with aggregated firm data and show that the co-existence of investment lags and the opportunity cost of adjustment is the key to explaining the correlation between investment and lagged profit.


Prof. Wei Jiang is an assistant professor at the Hong Kong University of Science and Technology in the department of Industrial Engineering and Decision Analytics. He received Ph.D. in Quantitative Finance from National University of Singapore (2018), and both M.S. in Financial Mathematics (2012) and B.S. in Mathematics (2009) from Peking University. His research interests include corporate Finance, international Finance, financial engineering and FinTech, stochastic modelling, and applied probability. He has papers published or forthcoming at journals such as Mathematical Finance and Journal of Finance.

版权所有 Copyright © 2012 苏州大学金融工程研究中心. 访问次数: