“不平等条约?”:我国对赌协议的风险因素分析  

“Unfair Contracts?”Risk Analysis for VAMs in China

作　　者：王茵田[1] 黄张凯[1] 陈梦[1] 

机构地区：[1]清华大学经济管理学院,北京100084

出　　处：《金融研究》2017年第8期117-128,共12页Journal of Financial Research

基　　金：国家自然科学基金(项目号71101080);清华大学自主科研基金的资助

摘　　要：本文探究我国企业与风险投资机构之间在融资时签订的对赌协议的公平性。我们首先将对赌协议看成两值期权,运用二叉树模型对我国二十个对赌协议案例进行估值定价,结果显示几乎所有协议都存在显著定价偏差,说明风险投资方索取过高的风险溢价。我们进而搜集影响协议价值的微宏观因素采用回归分析对风险溢价进行解释。结果表明,所提出的风险因素只能解释不足一半的风险溢价,未被解释的部分则被认为来自于投资方的过度保护。总体来看,对赌协议总体上有失公平,我国企业与风险投资机构在签订对赌协议中处于被动和弱势,需要改善投资环境以促进公平交易。The article investigates the ＂fairness＂ of the VAMs （Valuation Adjustment Mechanism） adopted by China＇ s enterprises in venture financing. We treat VAM as binary options and price 20 VAMs using Binomial Tree Model. We find that almost all VAMs are mispriced such that there are high ＂prenfium＂ charged by tbe financial institutions as investors. To justify the ＂fairness＂ of the premium, we present risk factors to explain the ＂premium＂. We finally find that less than half of the ＂premium＂ can be justified by the risk factors, which means a significant part of the premium might be attributed to ＂over- protection＂ of the investors.

关 键 词：对赌协议 价值偏离 风险因素 

分 类 号：F279.2[经济管理—企业管理] F832.39[经济管理—国民经济]