题 目：Double Marginalization due to External Financing: Capacity Investment under Uncertainty
主讲人：Nick Huberts, Assistant Professor, School for Business and Society, the University of York, UK
Abstract: This paper considers a firm's investment decision determining the timing and capacity level within an uncertain framework. Its investment is financed by borrowing from a lender that has market power, generating a capital market inefficiency. We show that the firm's investment is subject to double marginalization in the sense that the need for external financing results in a considerably smaller investment and thus a reduction in welfare. In addition we find that the presence of the bankruptcy option mitigates the double marginalization effect unless the bankruptcy cost is small: in particular, the firm's investment size is increasing in bankruptcy costs albeit at the expense of an investment delay. Based on this, an increase of bankruptcy costs raises social welfare.
Dr Nick Huberts is an assistant professor, who joined the University of York's School for Business and Society in August 2018. He did his Doctorate at Tilburg University (the Netherlands) in Optimal Stopping problems. His research interests include (strategic) decisions under uncertainty, real options, game theory, industrial organisation, and mechanism design. His areas of teaching include microeconomics, operations research, mathematical analysis, linear algebra, industrial organisation, and game theory.