信息非对称下动态投融资的约束住呈I口博弈模型①-中国科技论文在线.PDFVIP

第19卷第6期 系 统 工 程 学 报 V01．19 No．6 20O4年12月 JOURNAL OF SYSTEMS ENGINEERING Dec．2004 ∞短 啦 {；文 t 信息非对称下动态投融资的约束 住呈 I口 博弈模型① 秦学志，孙承廷，魏 强 (大连理工大学管理学院金融工程研究与管理研究中心，辽宁大连 1 16024) 摘要：研究了信息非对称下企业动态投融资决策问题，建立了约束信号博弈模型．在动态投融资过程中，经营 者的自筹资金比例及项目的收益率等具有向投资者传递经营者和项目状况信号的功能，投资者可通过观察 和／或预期这些信号的变化对经营者的道德风险及逆向选择程度进行推测．分析表明：在Mercurio效用函数 下，若订立长期合作合约，经营者有增大其道德风险程度的激励，且可获得的最大效用为其期望投资收益的 一 半． 关键词：非对称信息；道德风险；逆向选择；动态；博弈 中图分类号：F830 文献标识码：A 文章编号：1000—5781{2~4)06—0643—04 Constrained signaling game models for dynamic investment-fmancing strategy under asymmetric information conditions QIN Xue-zhi，SUN Cheng4~ag，WEI Qiang (Research Center of Financial EngineeringManagement，School of Management， Dalian University of Technology，Dalian 116024，China) Abstract：The finn’S dynamic ivestment and financing problem is studied and corresponding constrained signaling game model is established．The analysis shows that in the dynamic investment and financing process，the ratio ofInanager’s investment amount to the total investment amount and the investment prof- it ratio have the function of transferring the manager’s and the project’s signals of what and how they should be to the investors．The investors can infer the degrees of the manager’s adverse selection and moral hazard by analyzing these signals．With Mercurio utility function，we can conclude that，if the in— vestors want to cooperative with the manager for a longer period，then there is an incentive for the manag— er to enhance his degree of moral hazard．and the