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:2010-07-18:(1972-),,,;(1964-),,,,()黄俊荣1,郑石桥3(1.,100081;2.,,211815):基于投资项目代理人的立场,将环境不确定性和代理问题结合起来,研究它们对资本预算方法和资本预算方案选择的影响根据实验数据统计分析发现:不确定性和代理问题对资本预算有显著影响,对于资本预算方法,在不确定性较强的情况下,选择实物期权与其他方法相结合的方式所占比例明显较高;在代理问题较为严重的情况下,项目代理人更多地会选择折现的现金流量法而不是经济增加值的方法;对于资本预算方案,代理人会从自身利益出发产生卸责行为:不确定性;代理问题;资本预算;经济增加值;实物期权:K561:A:1005-1007(2010)09-0074-07Abstract:Fromtheperspectiveofinvestmentproject'sagent,inthispaper,Imakearesearchontheeffectsofenvironmentaluncertaintyandagencyissuesincapitalbudgeting.Experimentaldatashowsthatenvironmentaluncertaintyandagencyissueshaveasignificanteffectuponthecapitalbudgeting.Whentheenvironmentaluncertaintyisstrong,thereisahigherproportionofchoosingthecoordinatingwayofrealoptionsandothermethods.Whentheagencyissueisserious,theprojectmanagerwillchoosediscountedcashflowmethodratherthaneconomicaddedvalue.KeyWords:Uncertainty,AgencyIssues,CapitalBudgeting,RealOptions,,,,,(Verbeeten,2005)[1],(Marino&Matsusaka,2005)[3],,,,,(,,),,()1.,,,(DCF),(NPV)(IRR),,,ArrowFisher(1974),[3]Myers(1977),2010930(248)MODERNFINANCE&ECONOMICSNo.9,2010Vo1.30GeneralNo.248[4]Verbeeten(2005),,[1],,,,,,,,,,,,1:,2.,,,,(),(),(Lambert,2001):;;;MarinoMatsusaka(2005),,[2](EVA)(Rogerson,1997;Reichelstein,1997;Reichelstein,2000),,EVA,EVA,,(),()(),EVA,,,,,,,2:,EVA()1.,,DixitPindyck(1994),,,,,,Verbeeten(2005),,()[1],,,,,,3:2.MarinoMatsusaka(2005),(),[2]Lambert(2005),,,,,75309,:20109,,,()4:,,(),,,1.(1),,:A,;B,11ABNCF()55.5DEVA()55.5,,:~(1);~(2);~(3);~(4),2,(1)AB21,,,,2,,,,,AB,3,,,A1,B0.9,,4,,,A1,B0.9,,,,1(2),,(3),,,,;,,,:,40,,,20;,7620109,,,(4),,,;,,152,,4,38,;,;,152,38,331234373629301322.,X1:,01,0,1X2:,01,0,1Y1:,1234,1(NPV),2(DEVA),3NCF+,4DEVA+Y2:,01,0A,1B1.45,,NCF+DEVA+,,,,,,1,DEVA90%,,;,NCF,,6.8,,,NCFDEVA2,6,,2120.504,P0.000,0.05,,299.350,P0.000,0.05,,12,,,EVA2.78,AB,,,-0.4+0.4,,,,920.197,P0.657,0.05,,,377309,:201094*CrosstabulationNCFDEVANCF+DEVA+TotalCount33380273ExpectedCount18.821.016.017.173.0%within45.2%52.1%.0%2.7%100.0%%within97.1%100.0%.0%6.5%55.3%%ofTotal25.0%28.8%.0%1.5%55.3%AdjustedResidual5.76.6-6.8-6.3Count10292959ExpectedCount15.217.013.013.959.0%within1.7%.0%49.2%49.2%100.0%%within2.9%.0%100.0%93.5%44.7%%ofTotal.8%.0%22.0%22.0%44.7%AdjustedResidual-5.7-6.66.86.3TotalCount34382931132ExpectedCount34.038.029.031.0132.0%within25.8%28.8%22.0%23.5%100.0%%within100.0%100.0%100.0%100.0%100.0%%ofTotal25.8%28.8%22.0%23.5%100.0%5*CrosstabulationNCFDEVANCF+DEVA+TotalCount03532866ExpectedCount17.019.014.515.566.0%within.0%53.0%4.5%42.4%100.0%%within.0%92.1%10.3%90.3%50.0%%ofTotal.0%26.5%2.3%21.2%50.0%AdjustedResidual-6.86.2-4.85.1Count34326366ExpectedCount17.019.014.515.566.0%within51.5%4.5%39.4%4.5%100.0%%within100.0%7.9%89.7%9.7%50.0%%ofTotal25.8%2.3%19.7%2.3%50.0%AdjustedResidual6.8-6.24.8-5.1TotalCount34382931132ExpectedCount34.038.029.031.0132.0%within25.8%28.8%22.0%23.5%100.0%%within100.0%100.0%100.0%100.0%100.0%%ofTotal25.8%28.8%22.0%23.5%100.0%78201096Chi-SquareTestsValuedfAsymp.Sig.(2-sided)ValuedfAsymp.Sig.(2-sided)PearsonChi-SquareLikelihoodRatioNofValidCases120.504a157.64913233.000.00099.350b122.99813233.000.000a0cells(.0%)haveexpectedcountlessthan5.Theminimumexpectedcountis12.96.b0cells(.0%)haveexpectedcountlessthan5.Theminimumexpectedcountis14.50.8,,B93.4%,A,A,B;,,A87.3%,B,9.3,,,A,(9),285.613,P0.000,0.05,,,,,A,B,,AEVAB,,,,4,,,()7*CrosstabulationABTotalCount383573ExpectedCount39.333.773.0%within52.1%47.9%100.0%%within53.5%57.4%55.3%%ofTotal28.8%26.5%55.3%AdjustedResidual-0.40.4Count332659ExpectedCount31.727.359.0%within55.9%44.1%100.0%%within46.5%42.6%44.7%%ofTotal25.0%19.7%44.7%AdjustedResidual0.4-0.4TotalCount7161132ExpectedCount71.061.0132.0%within53.8%46.2%100.0%%within100.0%100.0%100.0%%ofTotal53.8%46.2%100.0%79309,:201098*CrosstabulationABTotalCount95766ExpectedCount35.530.566.0%within13.6%86.4%100.0%%within12.7%93.4%50.0%%ofTotal6.8%43.2%50.0%AdjustedResidual-9.39.3Count62466ExpectedCount35.530.566.0%within93.9%6.1%100.0%%within87.3%6.6%50.0%%ofTotal47.0%3.0%50.0%AdjustedResidual9.3-9.3TotalCount7161132ExpectedCount71.061.0132.0%within53.8%46.2%100.0%%within100.0%100.0%100.0%%ofTotal53.8%46.2%100.0%9Chi-SquareTestsValuedfAsymp.Sig.(2-sided)ValuedfAsymp.Sig.(2-sided)PearsonChi-SquareContinuityCorrectionNofValidCases.197a.07213211.657.78885.613b82.41213211.000.000a0cells(.0%)haveexpectedcountlessthan5.Theminimumexpectedcountis27.27.b0cells(.0%)haveexpectedcountlessthan5.Theminimumexpectedcountis30.50.,,,,,,,,,;,,,,,,,,:[1]Verbeeten,F.H.M.Doorganizationsadoptsophisticatedcapitalbudgetingpracticestodealwithuncertaintyintheinvestmentdecision?Aresearchnote[J].ManagementAccountingResearch,2005,17(1):106-120.[2]Marino,A.M.andMatsusaka,J.G.DecisionProcesses,AgencyProblems,andInformation:AnEconomicAnalysisofCapitalBudgetingProcedures[J].TheReviewofFinancialStudies,2005,18(1):301-325.[3]ArrowK.,FisherA.EnvironmentalPreservation,Uncertainty,andIrreversibility[J].TheQuarterlyJournalofEconomics,1974,88(2):312-319.[4]Myers,S.DeterminantsofCapitalBorrowing[J].JouralofFinancialEconomics,1977,5(2):147-175.[5]迪克西特,平迪克.著,不确定条件下的投资[M]