Скачать или смотреть Ambiguity in Corporate Finance

Lorenzo Garlappi, Associate Professor of Finance at the University of British Columbia, presents on his collaborative research on the effect of ambiguity on corporate financial decisions using a non-Bayesian multiprior approach. He and his colleagues use two models of decision making under ambiguity, Minimum Expected Utility (MEU) due to Gilboa and Schmeidler (1989) and Consensus Expected Utility (CEU) due to Bewley (2002), to study a canonical corporate finance model of real investment with expansion and contraction options. They show that MEU decision makers behave as pessimistic single-prior decision makers, reluctant to invest and eager to abandon. On the other hand, CEU decision makers act very dierently. They too are reluctant to invest but reluctant to abandon projects. Moreover, anticipation of future reluctance to abandon may induce CEU agents to forgo investment in the first place. In this setting financial contracts, such as convertible bonds, can be used to make the initial investment attractive. Garlappi also argues that CEU is a reasonable model of group decision making within corporations, and he identifies related empirical predictions. This lecture is a part of the Workshop on Ambiguity and Robustness in Macroeconomics and Finance.

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