| Summary: | 碩士 === 國立臺灣大學 === 財務金融學系 === 85 === In this thesis I develop a signaling model to analyze a firm''
s investment decision when management has private information
that investors do not know. The model extends Myers and Majluf (
1984 ) by considering more types of information asymmetries.
In addition to the net present value of the investmentproject
and the value of the firm''s asset-in-place , the probability of
aliquidity shock, which is the probability that manager has to
sell his sharesbefore the value of the firm is realized, is also
considered as the manager''sprivate information.Several
interesting results follow. First, if manager posseses private
information about the value of the firm''s asset-in-place and the
probability of a liquidity shock,then as in Myers and Majluf the
manager may forsake valuable investment projects.Moreover, the
extent ofunderinvestment in this case is even more serious than
that in Myers and Majluf.Second, if the manager''s private
information is about the net presentvalue of the investment
opportunity and the probability of a liquidity shock,then both
overinvestment and underinvestment are possible. Finally, when
theprobabaility of a liquidity shock is the manager''s private
information ,stockprices may fall when the liquidity shock
occurs even if the manager can provethat the sale of shares does
not have information contents.
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