最適資本結構與策略投資

Abstract

最適資本結構與策略投資 摘要 此二年期計畫嘗試立在一個寡佔市場下，利用隨機微分賽局之建立並檢驗一個新的結構 式模型。在計畫第一年中，我們將研究重心置於理論模型之建構與修正。首先將應用更 符合廠商間互動行為之封閉迴路回饋納許均衡，以分析廠商之最適營運投資行為；然後 基於廠商之均衡營運利潤動態過程，來架構結構式模型，以探討廠商如何在競爭下共同 決定其策略投資與最適資本結構。在進行模型之比較靜態分析後，我們預期此模型將可 在相關理論研究中提供一些新的看法。在計畫第二年中，我們將專注於模型結果之實證 分析。首先將利用模型來建構可驗證之假設，但由於考慮產業結構特性之企業資料必須 自行整合、對照與分類，因此我們預期資料處理過程將是費時的。緊接著將採用合適之 計量方法來驗證此模型所產生之假說。最後，實證結果將會與現有文獻做比較，預期本 計畫之理論與實證結果將能使既有之相關文獻更加充實。

Optimal Capital Structure and Strategic Investment Abstract The present two-year project attempts to construct and examine a new structural model in an oligopoly industry equilibrium through a stochastic differential game framework. In the first year, the main focus of the project is to construct and modify the theoretical model. The closed-loop feedback Nash equilibria, which capture firms’ interactions more appropriately, would be first employed to derive the optimal operating investments of firms. A structural model based on the equilibrium dynamics of firms’ operating profits is then utilized to analyze the strategic investment and optimal capital structure taking account of competition. By conducting the comparative statics analysis, we expect the model could generate some model implications and new insights in this line of research. As for the second year, we would concentrate on empirical examinations of the model. Since the firm-level data with respect to industrial structures need to be merged, matched and grouped, we expect that processing and preparing data is time-consuming. Next, we would adopt an adequate econometric methodology to empirically examine the implications of the model. The empirical results will be then compared to those of recent literature. Not only the theoretical model but also the empirical results are expected to supplement the existing relevant studies.