成熟型企业家的融资策略与道德风险及债务积压问题

Financing policy, moral hazard and debt overhang with sophisticated entrepreneur

本文假设企业家是时间偏好不一致的且属于成熟型,企业现金流服从双指数跳过程,利用资产定价理论,解析地得到了企业股权,债券价值以及最优破产水平.分析了时间偏好不一致对成熟型企业家的企业最优资本结构,破产决策以及风险转移动机和债务积压问题的影响.数值分析表明:较时间偏好一致而言,成熟企业家往往选择较小券息,较高的破产水平.时间偏好不一致减弱了成熟企业家的风险转移动机,却加剧了债务积压程度.尤其是,本文模型给出了"债务保守"之谜的一个新解释.

We assume that entrepreneur is time-inconsistent and sophisticated, and the cash flow generated by the enterprise follows a double exponential jump diffusion process. According to the asset pricing theory, we explicitly derive tile equity value, debt value and optimal default level. We show that the impact of time-inconsistent preferences on sophisticated entrepreneur＇s optimal capital structure, default policy, risk- shifting motive and debt overhang. By numerical analysis, we show that compared to the time-consistent benchmark, sophisticated entrepreneur often chooses the smaller coupon and the higher default level. Time-inconsistent preferences mitigate the sophisticated entrepreneur＇s risk-shifting incentives, reducing the sophisticated entrepreneur＇s moral hazard and adverse selection, while, it makes debt-overhang problem more serious. Most of all, we give a new explanation of the ＂debt conservatism puzzle＂.