【作者】 古志辉；

【Author】 GU Zhi-hui;Business School,Nankai University;

【机构】 南开大学商学院；

【摘要】 我们的论文以包含维纳过程和泊松过程的复合随机过程为基础,建立了风险规避条件下股东的面临环境和研发结果双重不确定性时的决策模型。论文的研究表明,如果R&D支出的公司其投资存在额外收益,则额外收益与R&D成功的概率和成功后带来的资产增益正相关,与R&D支出水平负相关。其次,资本结构对上述研究结论不产生显著的影响。而且,如果不存在额外收益则R&D支出水平与资产负债率负相关,与权益比率正相关。最后,在不存在额外收益的条件下我们的研究发现风险规避态度与R&D支出之间存在非线性关系。更多还原

【Abstract】 Based on the stochastic process combining Weiner process and Poisson process,we construct a decision-making model under the condition of risk aversion is constructed when both the environment faced by shareholders and the R&D result are uncertain.Our findings demonstrate that:(1) if a firm with R&D expenditures gets excess returns on investment,the excess returns have a positive correlation with respective to the probability of R&D success and the capital plus due to the R&D success and have a negative correlation with respective to the R&D expenditure level;(2) if there exist no excess returns,the R&D expenditure level has a negative correlation with respective to the liability/asset ratio and a positive correlation to the debt/equity ratio;and(3) when there exist no excess returns,there exists a nonlinear relationship between risk aversion attitude and R&D expenditures.更多还原