基于时间偏好不一致的最优关系租金与银企估值  

Optimal Relationship Rents,Bank And Enterprise Valuation with Time-inconsistent Preferences

作　　者：张铁铸[1] 李坚 李彤彤 ZHANG Tiezhu;LI Jian;LI Tongtong(School of Finance,Shanghai University of International Business and Economics,Shanghai 201620,China;School of Economics,Fudan University,Shanghai 200433,China)

机构地区：[1]上海对外经贸大学金融管理学院,上海201620 [2]复旦大学经济学院,上海200433

出　　处：《审计与经济研究》2023年第3期86-97,共12页Journal of Audit & Economics

基　　金：上海市长三角科创产业金融服务协同创新中心项目(2022TIIFS-XS008)。

摘　　要：基于时间偏好不一致性的理论框架,构建了银企合作的关系贷款模型,模型中银行的最优停贷决策被视为一项实物期权。数值结果表明,时间偏好不一致性会导致代理人选择更低的违约门槛,但借款人的融资成本会更高。在项目估值方面,相比时间偏好一致情形,具有时间偏好不一致特征的银行和企业项目价值都大幅减少。此外,幼稚型和成熟型代理人对比结果显示,幼稚型代理人的错误信念能够抑制由于时间偏好不一致而导致的违约风险上升,并且能够降低最优关系租金,从而减轻具有财务约束的企业的融资成本。构建的贷款模型不仅丰富了银企关系型借贷的相关理论研究,而且指出在代理人具有时间偏好不一致的条件下最优关系租金(融资成本)更高,这从行为金融的认知偏差角度为中小企业融资难、融资贵的困境提供了新的解释。This paper constructs a relationship lending model,which considers the banker s optimal default decision as a real option,for agents with time-inconsistent preferences.The numerical results indicate that the inconsistency of time preferences induces an earlier default choice for the lender,and leads to a higher financing cost for the borrower.As a result,the values of the projects of banker and entrepreneur with time-inconsistent preferences suffer substantially.Moreover,the comparison between naive agents and mature agents shows that naive agents enjoy a bliss that their false belief can curb the increase of default risk due to the inconsistency,and reduce the optimal relationship rents for enterprises with financial constraints.The model constructed in this paper not only enriches the theoretical research related to relationship lending,but also points out that the optimal relationship rent(financing cost)is higher under the condition that agents have inconsistent time preferences,which provides a new explanation for the dilemma of expensive financing for SMEs from the perspective of time preferences.

关 键 词：时间偏好不一致 银企合作 银行估值 企业估值 最优关系租金 贷款决策 财务约束 

分 类 号：F830.3[经济管理—金融学]