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Villeneuve, Stéphane
and Warin, Xavier
(2012)
Optimal Liquidity Management and Hedging in the presence of a non predictable investment opportunity.
TSE Working Paper, n. 12-266, Toulouse
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Abstract
In this paper, we develop a dynamic model that captures the interaction between
the cash reserves, the risk management policy and the profitability of a non-predictable irreversible investment opportunity. We consider a firm that has assets in place generating a stochastic cash- ow stream. The firm has a non-predictable growth opportunity to expand its operation size by paying a sunk cost. When the opportunity is available, the firm can finance it either by cash or by costly equity issuance. We provide an explicit characterization of the firm strategy in terms of investment, hedging, equity issuance and dividend distribution.
| Item Type: | Monograph (Working Paper) |
|---|---|
| Language: | English |
| Date: | 23 January 2012 |
| Place of Publication: | Toulouse |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse), TSM Research (Toulouse) |
| Institution: | Université Toulouse 1 Capitole |
| Site: | UT1 |
| Date Deposited: | 09 Jul 2014 17:22 |
| Last Modified: | 02 Apr 2021 15:47 |
| OAI Identifier: | oai:tse-fr.eu:25455 |
| URI: | https://publications.ut-capitole.fr/id/eprint/15179 |
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- Optimal Liquidity Management and Hedging in the presence of a non predictable investment opportunity. (deposited 09 Jul 2014 17:22) [Currently Displayed]
