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作 者:甘丽蓉 罗鹏飞[2] 杨招军 GAN Lirong;LUO Pengfei;YANG Zhaojun(Department of Finance,South University of Science and Technology,Shenzhen 518055 ,Guangdong,China;School of Finance and Statistics,Hunan University,Changsha 410079,China)
机构地区:[1]南方科技大学金融系,广东深圳518055 [2]湖南大学金融与统计学院,长沙410079
出 处:《系统管理学报》2019年第4期644-651,共8页Journal of Systems & Management
基 金:国家自然科学基金资助项目(71371068)
摘 要:假设企业家具有成熟型时间偏好不一致特性下,企业采用股权、普通债及或有可转换债(CCB)对企业融资.基于双曲贴现函数模型、利用资产定价理论,得到了成熟型企业家管理下的企业股权、普通债权及或有债权价值的解析解,并分析了时间偏好不一致对债券企业最优券息、杠杆率以及破产水平的影响.结果表明:时间偏好不一致的企业家在CCB融资下选择的券息更小、破产成本更低;企业家利用CCB融资会降低企业破产水平,减轻因企业家时间偏好不一致而导致的企业提前破产风险;此外,在时间偏好不一致作用下,CCB转换比例越低,股东的风险转移动机更加明显,一定程度上会提高企业杠杆率.Assuming that the entrepreneurs with time-inconsistent preference are sophisticated, the capital structure of firm is composed of equity, ordinary debt, and contingent convertible bonds (CCB). Based on the hyperbolic discounting function model and using the asset pricing theory, the closed-form expression of corporate equity value, ordinary debt value, and contingent convertible debt value for sophisticated entrepreneur were derived. Besides, the impact of time-inconsistent preference on optimal coupon, default threshold, and leverage ratio was analyzed.The results show that financed by CCB, entrepreneurs with time-inconsistent preference choose a smaller optimal coupon and a lower cost of bankruptcy. Entrepreneurs can decrease the default threshold and reduce the default risk resulted from their timeinconsistent preference by issuing CCB. However, under the influence of entrepreneurs? time-inconsistent preference, as the conversion ratio decreases, the shareholders9 motivation for risk transfer increases, which, to some extent, may increase the leverage ratio.
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