时间偏好不一致下控制权私利与最优股权结构  

Private Benefits of Control and Optimal Equity Structure under Time-inconsistent Preferences

作　　者：甘柳 杨波 GAN Liu;YANG Bo(School of Finance,Jiangxi University of Finance and Economics,Nanchang 330013,China;Research Centre of Financial Management and Risk Prevention,Nanchang 330013,China;School of Finance,Shanghai University of Finance and Economics(SUFE),Shanghai 200433,China)

机构地区：[1]江西财经大学金融学院,江西南昌330013 [2]金融发展与风险防范研究中心,江西南昌330013 [3]上海财经大学金融学院,上海200433

出　　处：《中国管理科学》2020年第6期51-62,共12页Chinese Journal of Management Science

基　　金：教育部人文社会科学研究青年基金资助项目(19YJCZH032);湖南省自然科学基金资助项目(2018JJ3262)。

摘　　要：引入时间偏好不一致,基于实物期权框架构建控制股东谋取私利的动态模型。运用均衡定价方法,得到不同类型控制股东财富价值的显示表达,并在最优股权结构的基础上给出内生化的投资时机、投资规模以及退出时机所满足的代数方程。研究结果表明,时间偏好不一致控制股东持有的最优股权比例大都集中于区间20%-30%,且成熟型控制股东较幼稚型控制股东持有更低的最优股权比例。与无代理冲突情形相比,时间偏好不一致控制股东表现出延迟投资,但投资规模随着时间偏好不一致程度的增大而先增后减。最后,在最优股权结构下分析投资者保护程度对控制股东决策的影响,为公司治理提供新的视角。After sorting out a large number of literatures.It is found that:1)in theory,most of the literatures discuss the intrinsic mechanism of controlling shareholder’s expropriation and how to strengthen corporate governance to restrain it.Also,there still many researchers examine the impact of the opportunistic behavior of the controlling shareholder on investment and financing decisions.For instance,Morellec and Wang(2004)have begun the task of incorporating imperfect investor protection into the real options model and examine the impact of opportunistic behavior by the insider of the company on corporate investment decisions.2)however,researchers all follow the hypothesis of coincidence of individual time preference in frame of the neoclassical financial theory and ignore the most significant factor---time-inconsistent Preferences---which can match the reality very well since the individual’s preferences for future periods are completely different.Furthermore,the decision makers’time preference inconsistency has a significant impact on enterprise decision-making.If simply the consistency preference were assumed,it is dangerous for it is probably to get a wrong conclusion concerning when will invest and what the optimal scale of investment for company or controlling shareholders.Therefore,in order to be more in line with the reality,this research is on the basis of 1)and 2)to explore the intrinsic mechanism of control shareholder’s expropriation to corporate decision-making under the premise of inconsistent preference.In this research,based on a continuous-time model of quasi-hyperbolic discounting,an analytically tractable model is provided in which the controlling shareholder can divert part of the firm’s cash flow as private benefits at the expense of outside shareholders.The theory assumes that controlling shareholder maximizes the present value of his future cash flow,subject to constraints imposed by outside shareholders property rights to the firm’s assets.The value of the controlling shareholder a

关 键 词：时间偏好不一致 控制权私利 投资策略 最优股权结构 

分 类 号：F830[经济管理—金融学]