Risky investment decisions for publicly held firms.

摘要

The concern of the research described in this dissertation is the specification of necessary conditions for representation of the risk attitude of a publicly held firm. When firm ownership is in the form of equity shares traded in a publicly accessible market, the objective is the statement of a firm utility function. We provide a market equilibrium condition and stipulation under which the firm's risk tolerance may be calculated from market data and is equivalent to the sum of (unobserved) equity market investor risk tolerances. Unlike previous efforts directed toward this problem, our result does not depend on market investors holding completely diversified portfolios.;We also explicitly show how our approach connects with the CAPM of finance from perspectives of valuation and the discounting of risky investment alternatives, and provide new insights into the issue of investor allocation of joint interasset risk. From a managerial perspective, our results indicate that most firms should be risk neutral when confronted with decisions with relatively small (in magnitude) risks. Managers who do not wish to behave in a more risk neutral manner than their personal preferences permit may wish to issue debt in order to establish a principal constituency separate from shareholders--a constituency with different ideas about agent obligations than are held by shareholders.;This research provides a linkage between decision analysis and financial economics, and stands as a basis for further work in the area of the revised theory of the firm.