The Impact of Ambiguity on Managerial Investment and Cash Holdings
The Impact of Ambiguity on Managerial Investment and Cash Holdings
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模糊性对管理投资和现金持有的影响
DOI：
10.1111/jbfa.12079
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发表时间：
2014
期刊：
影响因子：
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通讯作者：
Christopher D. Williams
中科院分区：
文献类型：
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作者：
Monica Neamtiu;Nemit Shroff;H. White;Christopher D. Williams
标准金融理论表明，管理者投资的项目预期会产生证明资本使用合理性的回报。一个基本假设是，管理者拥有理解决策背后收益的分配特性所需的信息。本文研究了当管理者可能发现制定回报预期更具挑战性时（即宏观经济模糊性加剧时期）时的公司投资行为。我们特别研究了宏观经济的模糊性——以方差溢价（Drechsler，）和专业预测员调查中企业利润预测的离散度（Anderson等人，）为代表——如何影响管理资本投资和现金持有量。与模糊性理论一致，我们发现宏观经济模糊性与资本投资负相关，与现金持有量正相关。这些结果对于与风险、投资者情绪和经济状况相关的其他解释来说是稳健的。此外，与最近的实物期权理论文献一致，我们发现模糊性降低了投资机会的价值，而风险则增加了此类机会的价值。总体而言，这些发现为管理投资和现金持有方面的模糊性和风险之间的经济区别提供了初步的经验证据。
Standard finance theory suggests that managers invest in projects that, in expectation, produce returns that justify the use of capital. An underlying assumption is that managers have the information necessary to understand the distributional properties of the pay-offs underlying the decision. This paper examines firm investment behavior when managers are likely to find it more challenging to develop expectations of pay-offs, namely during periods of increased macroeconomic ambiguity. In particular, we examine how macroeconomic ambiguity – proxied by the variance premium (Drechsler, ) and the dispersion in forecasts of corporate profits from the Survey of Professional Forecasters (Anderson et al., ) – impacts managerial capital investment and cash holdings. Consistent with ambiguity theory, we find that macroeconomic ambiguity is negatively associated with capital investment and positively associated with cash holdings. These results are robust to alternative explanations related to risk, investor sentiment and economic conditions. Moreover, consistent with recent theoretical real options literature, we find that ambiguity reduces the value of investment opportunities, while risk increases the value of such opportunities. Overall, these findings provide initial empirical evidence on the economic distinction between ambiguity and risk with respect to managerial investment and cash holdings.