基于可协商的可转换债券和企业资本结构

Convertible Debt and Capital Structure with Debt Renegotiation Covenant

本文将债务协商机制引入利用普通股和可转换债券融资的上市企业,在一个动态模型框架下分析其对债券投资者行为和企业资本结构的影响。首先分别对采取破产清算和债务协商下,利用可转换债券和普通股融资的企业建模;然后利用风险中性定价方法给出企业证券价值的显示解;最后通过数值结果分析债务协商机制的影响并给出经济解释。数值分析表明:相比企业破产清算,协商可以提高企业价值、股权价值。当股东的谈判能力在一定的范围时,协商可以提高债券价值、降低企业杠杆率,增加社会福利。股东谈判能力越强,可转债投资者的转换时机越早。本文的研究丰富了可转换债券的融资理论,为可转换债券融资企业的去杠杆提供了一定的理论指导。

After 17 th Feb,2017,the convertible bond has become a very popular re-financing tool for listed companies in China due to the new refinancing policy.At the same time,it is noticed that the debt level in Chinese firms is very high and the bankruptcy liquidation cost is huge.So,how to design a reasonable convertible debt contract to reduce debt default risk is a very important question.To fulfill such requirement,debt renegotiation is introduced into convertible bonds in this paper.Most of the existing theoretical research regarding the capital structure with convertible bonds assume that the firm chooses bankruptcy liquidation when it faces financial distress.However,in practice debt renegotiation with debtholders is more popular.Thus,the research of convertible bonds with debt renegotiation on the firms’capital structure has both academic and practical value.Inspired by the composition of convertible bonds and debt renegotiation,a convertible bond financing model based on the trade-off theory is constructed.Firstly,the cash flow of the firm is described by the Geometric Brownian Motion.Secondly,debtholders can choose to negotiate with equityholders or liquidate after trade-off when they face the risk of debt default,and the case of bankruptcy liquida is set as the benchmark model.If the debtholders choose to negotiate with equityholders,debtholders don’t receive coupon payments but a proportionof cash flow,S(x)after negotiation.It is assumed thatθ~*and(1-θ~*)is the proportion of the firm value that equityholders and debtholders receive after negotiation separately,andηand1-ηis the bargaining power of quityholders and debtholders respectively.Thus,theθ~*and S(x)can be solved using the Nash Bargaining model.Thirdly,the value of corporate securities and the algebraic equations of the liquidation,negotiation and conversion threshold are given by the dynamic programming and risk neutral pricing.Lastly,the impact of debt renegotiation on the firm’s capital structure is explored.In the numerical analysis,the base parameter values are taken from Sundaresan and Wang(2007)and Lyandres and Zhdanov(2014)based on the empirical evidence.The results show that debt renegotiation can increase a firm’s value and equity value,compared to the bankruptcy liquidation.For moderate equityholders’bargain power,debt renegotiation could increase debt value,lower leverage ratio,and increase social welfare level at the same time.The larger the equityholders’bargaining power,the earlier the conversion time that debtholders choose.This paper enriches convertible debt financing theory and provides a theoretical guide for firms issuing convertible bond without raising debt level.