鍏抽敭璇�: 闅忔満娉㈠姩鐜�, 闅忔満鎺у埗, 鎵樺q鐞嗚

Abstract:

We introduce stochastic volatility to Tobin's q theory, in order to find how volatility of productivity shock affects a firm's value and its investment decision. We show that volatility of productivity shock has significant effect on firm's Tobin's q, which decreases as volatility rises and the effect gets more obvious as volatility gets bigger. On the other hand, this effect can also affect firm's investment decision because the decrease of Tobin's q can reduce firm's investment, and the effect gets larger when volatility rises too. We also illustrate the effect of volatility upon firm's assets in place and growth opportunities. Our assumption that volatility of productivity shock is stochastic is more realistic than existing literature, so our conclusion is able to provide a reference for firm's valuation and investment decision.

Key words: stochastic volatility, stochastic control, Tobin's q theory