Optimal dividend policy and growth option

被引：0
|
作者：
Jean-Paul Décamps
Stéphane Villeneuve
机构：
[1] Université de Toulouse 1,GREMAQ
[2] Europlace Institute of Finance,IDEI
[3] Université de Toulouse 1,GREMAQ
来源：
Finance and Stochastics | 2007年 / 11卷
关键词：
Mixed singular control/optimal stopping problem; Local time; Dividend; Growth option; G11; C61; G35; 60G40; 91B70; 93E20;
D O I：
暂无
中图分类号：
学科分类号：
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.
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页码：3 / 27
页数：24
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