Optimal dividend policy and growth option

被引：46
|
作者：
Decamps, Jean-Paul
Villeneuve, Stephane
机构：
[1] Univ Toulouse 1, GREMAQ, IDEI, F-31000 Toulouse, France
[2] Europl Inst Finance, F-75001 Paris, France
来源：
FINANCE AND STOCHASTICS | 2007年 / 11卷 / 01期
关键词：
mixed singular control/optimal stopping problem; local time; dividend; growth option;
D O I：
10.1007/s00780-006-0027-z
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We analyse the interaction between the dividend policy and the decision on investment in a growth opportunity of a liquidity constrained firm. This leads us to study a mixed singular control/optimal stopping problem for a diffusion that we solve quasi-explicitly by establishing a connection with an optimal stopping problem. We characterize situations where it is optimal to postpone the distribution of dividends in order to invest at a subsequent date in the growth opportunity. We show that uncertainty and liquidity shocks have an ambiguous effect on the investment decision.
引用
收藏
页码：3 / 27
页数：25
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