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现金持有水平是企业财务决策的重要事项,本文利用连续型动态规划对管理者和股东的现金持有最优决策进行了研究。基于投资动机持有现金的研究结果表明:不管是规模不变还是规模变化时管理者和股东的最优决策都是bang-bang控制,现金和非现金资产与企业(股东)价值之间都是存在倒U形关系。而且考虑现金真实回报率后,管理者和股东最优现金持有决策的bang-bang控制点有差异,而这种差异会导致一类新的委托代理成本。
The level of cash holdings is an important issue in corporate financial decision-making. This paper studies the optimal cash-holding decision-making of managers and shareholders by using continuous dynamic programming. The research on cash holding based on investment motivation shows that the optimal decision-making of managers and shareholders in both the constant scale and the change of scale is bang-bang control. The value between cash and non-cash assets and the shareholders (shareholders) is There is an inverted U-shaped relationship. Moreover, after considering the true cash return rate, the bang-bang control points of managers and shareholders’ optimal cash holding decision are different, and this difference will lead to a new type of principal-agent cost.