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基于或有可转换证券的投资和融资决策
引用本文:赵志明,杨招军,王淼. 基于或有可转换证券的投资和融资决策[J]. 中国管理科学, 2016, 24(7): 18-26. DOI: 10.16381/j.cnki.issn1003-207x.2016.07.003
作者姓名:赵志明  杨招军  王淼
作者单位:1. 湘潭大学商学院, 湖南 湘潭 410005;2. 南方科技大学金融系, 广东 深圳 518055;3. 湖南大学金融与统计学院, 湖南 长沙 410079
基金项目:国家自然科学基金资助项目(71171078,71371068);湘潭大学博士科研启动项目(KZ08069)
摘    要:通过引入新的融资工具或有可转换证券(CCS),应用最优控制和最优停时理论、分析基于实物期权视角下的公司最优投融资决策问题,计算了公司各证券价值、有限期破产概率及公司最优资本结构,获得代理成本为零的一个充分条件。数值仿真及静态比较分析表明:CCS作为融资工具能够降低投资项目破产风险和普通债券的收益率差价,能够显著增加实物期权的价值,促使管理者提前投资,且显著降低代理成本。

关 键 词:或有资本  实物期权  资本结构  最优停时  
收稿时间:2014-09-01
修稿时间:2016-03-28

Investment and Financing Policy Based on Contingent Convertible Security
ZHAO Zhi-ming,YANG Zhao-jun,WANG Miao. Investment and Financing Policy Based on Contingent Convertible Security[J]. Chinese Journal of Management Science, 2016, 24(7): 18-26. DOI: 10.16381/j.cnki.issn1003-207x.2016.07.003
Authors:ZHAO Zhi-ming  YANG Zhao-jun  WANG Miao
Affiliation:1. Business School, Xiangtan University, Xiangtan 411105, China;2. Department of Finance, South University of Science and Technology of China, Shenzhen 518055, China;3. College of Finance and Statistics, Hunan University, Changsha 410079, China
Abstract:In this paper, an innovative financing instrument called contingent convertible security (CCS) is introduced. Using the optimal control, optimal stopping and real options theory, the optimal investment and financing decisions of a firm that issues CCS together with equity and the straight bond is examined. The risk-neutral prices of all the corporate securities, ruin probability within a given time horizon and optimal capital structure are provided. It's shown that there is an optimal fraction of equity allocated to the CCS holders upon conversion that eliminates the agency cost of debt. The optimal fraction is given explicitly. The numerical simulation is performed and static comparative analysis is provided. The numerical examples prove the rationality of the model and the validity of conclusions. In particular, It's demostrated the new invented CCS can significantly increase the value of the option to invest. In contrast to the standard capital structure that issues equity and the straight bond only, issuing CCS can lead to as much as 11.5 percent increase in the real option's value but the number declines to 7.4 percent if the contingent convertible bond is issued instead of CCS. CCS decreases bankruptcy risk as well as the yield spread of the straight bond. With a growth of the volatility rate of the investment project, the issuing firm will increase the investment trigger, the amount of CCS issued, instead of the straight bond and the firm's leverage.
Keywords:contingent capital  real options  capital structure  optimal stopping  
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