Corporate sustainability, investment, and capital structure
构建实物期权模型，分析企业在可持续与不可持续项目间的投资选择，发现ESG风险、增长率、波动率和贴现率影响可持续投资，且可持续性较低的企业杠杆更高。
Abstract This study develops a real options model in which a firm invests in either a sustainable project or an unsustainable project. The sustainable project requires a high investment cost and yields cash flows perpetually, whereas the unsustainable project requires a low investment cost and yields cash flows until a random maturity. The random termination of cash flows reflects the project’s environmental, social, and governance (ESG) risk. In the model, the optimal investment choice and timing are analytically derived, and the effects of key parameters on the choice are also examined. Higher ESG risk, growth rate, and volatility, and lower discount rate encourage sustainable investing mainly through their impacts on the net present value and timing option value. The less sustainable firm chooses higher leverage because it cares less about the disadvantages of debt. Therefore, access to debt financing and a higher corporate tax rate (tax shield) discourage sustainable investing.