成熟型企业家的投资策略与可转债的代理问题

Investment policy and agency problem of convertible debt 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,可转债持有者是时间偏好一致的,企业家通过发行股权和可转债来筹集投资成本.本文考虑了企业实物投资问题,利用实物期权、随机最优控制方法以及博弈理论,解析地得到了时间偏好不一致企业家的企业股权价值、债券价值和期权价值.分析了时间偏好不一致对企业家投资决策、破产决策,可转债持有者的转换决策以及企业家与债券人代理成本的影响.结果表明:与时间偏好一致情况相比较,时间偏好不一致导致企业家延迟投资,降低了期权价值;同时,企业家会选择较高的破产水平,可转债持有者会选择较低的转换水平.本文也发现时间偏好不一致企业家投资决策的自利行为可以缓解Myers(1977)的债务积压问题和Jensen和Meckling(1976)的资产替代问题.尤其是,时间偏好不一致可以消除企业家和可转债持有者之间的代理成本.

We assume that entrepreneur is time-inconsistent and sophisticated,but the holder of convertible debt is time-consistent.The investment cost raised by equity and convertible debt.We consider the real investment problem,according to the real options approach,the stochastic optimal control approach and game theory,we explicitly derive the equity value,convertible debt value and option value.This paper examines the impact of time-inconsistent preferences on sophisticated entrepreneur’s investment policy,default policy,conversion policy of holder of convertible debt and agency cost between entrepreneur and holder of convertible debt.Our results show that compared to the time-consistent benchmark,time-inconsistent preferences results in entrepreneur’s incentive to underinvestment and decreases the option value.The entrepreneur chooses the higher default level,while,the holder of convertible debt chooses the lower conversion level.We find that entrepreneur’s interested behaviour with time-inconsistent preferences can mitigate the debt overhang problem of Myers(1977)and the asset substitution problem of Jensen and Meckling(1976).Most of all,the time-inconsistent preferences can eliminate the agency cost between entrepreneur and holder of convertible debt.