常弹性方差下的动态代理问题及企业融资策略

Dynamic Agency and Corporate Finance in Constant Elasticity Process

考虑了常弹性方差下的动态代理问题及企业最优资本结构。假设股东是风险中性的,管理者是风险厌恶的。利用动态规划原理和资产定价理论,给出了动态代理下最优合同的解及企业各未定权益价值。分析了常弹性方差对管理者努力水平及企业融资策略的影响。数值结论表明:低弹性方差企业管理者的努力水平较高,但企业债务积压问题严重。此外,企业最优破产水平和杠杆率随弹性方差的增加先递减后增加,同时,高的弹性方差企业具有较高信用风险溢价。

In this paper, the dynamic agency problem with constant elastic variance and corporate optimal capital structure are considered assuming that shareholder is risk-neutral and manager is risk averse. Besides, according to the dynamic programming and the capital asset pricing theory, the solution to the optimal contract and the values of corporate uncertain claims are provided. Moreover, the impact of constant elasticity on manager’s effort and corporate optimal capital structure are examined. The numerical analysis shows that managers in the corporates with a low constant elasticity make more effort, but the debt-overhang problem is severe. The optimal default threshold and the leverage ratio first decrease and then increase with the increase in constant elasticity. The corporate with a high constant elasticity has a higher credit premium.