资本市场不完美,信贷配给与公司投资.docVIP

资本市场不完美、信贷配给与公司投资 Capital Market Imperfections, Credit Rationing and Corporate Investment 刘康兵 　　　　　 Liu Kangbing 复旦大学经济系 上海市徐汇区梅陇四村93号905室 邮编：200237021 kangbingliu@ Elmer Sterken 荷兰Groningen大学经济系、SOM研究院 University of Groningen, Faculty of Economics, PO Box 800 9700 AV Groningen, the Netherlands 0031 50 3633723 e.sterken@rug.nl 尹伯成 Yin Bocheng 复旦大学经济系 上海市水电路800号10＃402室 021 yinbch@ 资本市场不完美、信贷配给与公司投资( ―内容提要：本文分析了资本市场不完美条件下的公司投资行为，通过一个标准的借贷模型我们证实了Stiglitz和Weiss(1981)的结论，信贷市场存在均衡配给和/或歧视Abstract：Weiss (1981) that there exist equilibrium rationing and/or redlining in credit markets. More importantly, however, we further demonstrate that equilibrium credit rationing implies that the marginal cost of funds raised externally to the entrepreneur is infinite. Henceforth, when project scale divisibility is introduced, as we do, entrepreneurs have an overpowering incentive to cut back their investment spending and thus loan demand even by one unit of currency. This action guarantees that lenders will be on the rising part of their return function. As a result, credit rationing disappears in equilibrium and the credit market clears. The similar analysis also shows that redlining is not an equilibrium phenomenon. Finally we show that the extent to which borrowers will cut their project, and therefore entrepreneurs’ actual capital spending depends on the level of net worth of firms. Key Words：Asymmetric nformation; External Finance Premium; Credit Rationing; Costly State Verification 一 引言 公司或厂商可以通过发行股票或举债为其投资项目融资。然而，这两类融资方式的回报具有完全不同的特征：股票代表公司的所有权，股票投资者可以获得一定比例的该公司不确定的未来利润；债务则意味着对债权人的一个数额固定的偿付。股票契约只具有有限责任，当公司破产时，或者说公司收益不足以清偿债务时，其股东不必偿付公司债务。鉴于股票融资和债务融资的不同回报特征，可以作出的一个合理的预期是，应当存在一个最优杠杆比率，该比率能够最大化公司的市场价值。但令人吃惊的是，Modigliani和Miller(1958)证明，在完美的资本市场等条件下，一家厂商或公司采取何种融资政策并不会影响其市场价值。更确切地说，如果MM定理的假设条件得到满足，以股东利益最大化为动机的厂商实际决策将独立于企业的