信用担保下的企业最优投资与融资.PDFVIP

第32 卷第2 期 系统工 程 学 报 Vol.32 No.2 2017 年4 月 JOURNAL OF SYSTEMS ENGINEERING Apr. 2017 信用担保下的企业最优投资和融资 , 杨招军 , 罗鹏飞 (1. 湖南大学金融与统计学院, 湖南长沙410079; 2. 南方科技大学金融系, 广东深圳518055) 摘要: 考虑企业基于混合担保模式筹集投资成本的最优投融资问题. 解析地给出了公司证券的价格和担保契约设 计参数, 解析地给出了企业最优的投资时机和债务融资数量. 数值分析表明: 混合担保中的年固定担保费比重增加 会加快投资并降低债务融资数量; 项目波动率的上升会延迟投资, 但它对企业债务融资数量和担保公司获得的股 权数量具有两种互为相反的影响, 企业债务融资数量和担保公司获得的股权数量是项目波动率的凹函数. 关键词: 混合担保; 实物期权; 投融资决策 中图分类号: F830 文献标识码: A 文章编号:2017 doi: 10.13383/ki.jse.2017.02.009 Optimal investment and financing with credit guarantee Yang Zhaojun, Luo Pengfei (1. School of Finance and Statistics, Hunan University, Changsha 410079, China; 2. Department of Finance, Southern University of Science and Technology, Shenzhen 518055, China) Abstract: This paper considers the optimal investment and financing policies for an entrepreneur entering into a mixed guarantee agreement to obtain a bank loan. It derives closed-form results for the pricing of corporate securities and guarantee costs, for the pricing and timing of the option to invest and for an optimal bond coupon. By numerical analysis, It is shown that a growth of the fixed annual payment to the insurer will accelerate investment and reduce the amount of debt. A higher project volatility leads to a later investment. However, the volatility has two opposite impacts on the amount of debt and the fraction of equity allocated to an insurer and both of them are a concave function of the volatility. Key words: a mixed guarantee; real options; investment and financing policies 1 引引引 言言言 据国家发