委托代理冲突下的企业投融资决策

采用实物期权与均衡定价理论,研究委托-代理冲突下的企业投融资决策问题.考虑管理者拥有企业投融资决策权时,其如何同时选择投资时机、投资规模及资本结构.分析了管理者持股与项目风险(不确定性)对企业非效率投融资的影响.数值分析表明:给定资本结构下,杠杆企业管理者决策的投资时机与投资规模变化呈现出负相关;对比于纯股权融资企业,杠杆企业管理者加速了投资期权的执行并增大了投资规模;财务杠杆率是管理者持股比例的U形函数,且管理者持股比例的增大,会加速投资期权的执行、增大投资规模与债务融资规模,并降低代理成本;项目风险的增大会导致企业投资时机、投资规模、债务融资规模和代理成本增大及财务杠杆率降低.     

债务治理、地方融资平台期限错配与企业绩效——基于“43号文”的研究

本文利用我国2009~2018年2193家地方融资平台的面板数据,采用基准回归模型和中介效应模型,分析了43号文件对地方融资平台期限错配的治理效应,并进一步分析了债务治理是如何通过缓解地方融资平台期限错配最终改善企业绩效的。结果表明:(1)43号文改善了地方融资平台期限错配问题,并增加了企业绩效,这一结论在稳健性检验中也得到了验证;(2)43号文改善了省及省会(单列市)类地方融资平台的期限错配问题,并相应的改善了企业的绩效;(3)43号文改善了土木工程类和房地产类地方融资平台的期限错配问题,并相应的改善了企业的绩效。     

地方政府债券信用风险缓释工具定价研究

随着地方政府债券发行规模的扩大,地方政府债务的信用风险日益凸出。本研究以企业债信用风险缓释工具的推出为契机,借鉴结构化模型的思路和KMV模型求解违约概率的逻辑,通过Monte Carlo方法模拟地方政府的违约过程,直接测算地方政府的整体违约概率;结合简约化模型的思路测算地方政府债券的具体违约概率,计算信用风险缓释工具的理论价格,从而构建了地方政府债券信用风险缓释工具的混合定价模型。研究发现,以企业债券为标的测算出的模型理论价格与市场报价基本一致,参数的敏感性检验进一步验证了模型的理论自洽性和实证可靠性。上述结论或将为新《预算法》实施过程中地方政府债务的治理与掌控及中国区域性、系统性金融风险的防范提供新思路。     

A framework for valuing corporate securities

We suggest a methodology for valuing corporate securities that allows the straightforward derivation of closed form solutions for complex scenarios. The tractability of the framework stems from its modularity-we provide a number of intuitive building blocks that are sufficient for valuation in typical situations. A further advantage of our approach is that it makes economic interpretation far easier than what is typically possible with other approaches, such as solving systems of partial differential equations. As examples we consider a corporate coupon bond with discrete payments, and debt subject to strategic debt service.     

境外机构投资者持股周期与公司治理绩效关系的实证研究

选取2003-2015年我国沪深A股上市公司中有境外机构投资者(QFII)持股的公司作为研究样本,将QFII持股周期划分为短期、中期和长期三类,通过理论分析和实证分析研究QFII不同持股周期对上市公司治理绩效的影响,研究结果表明,QFII短期持股时,奉行财务投资理念,通过买卖价差获取投资收益,不会对公司治理绩效产生影响;QFII中期持股时,会对公司治理绩效产生影响,但影响作用较微弱;QFII长期持股时,主要奉行价值投资理念,通过积极参与公司治理影响公司治理绩效,获得高额投资收益。本文的研究结论对我国境内机构投资者和上市公司具有一定的借鉴作用,同时可以为我国引入QFII提供政策建议。     

具有跳扩散模型下永久公司债券的定价和最佳资产结构

综合运用偏微分方程方法和结构化方法,在公司资产价值演化服从跳扩散模型下,研究永久公司债券的定价问题和最佳资产结构问题,获得了公司债券,股东权益和公司总价值的定价表达式和最佳杠杆比率的表达式.     

Calibration of the default probability model

In this paper, we study the calibration problem for the Merton–Vasicek default probability model [Robert Merton, On the pricing of corporate debt: the risk structure of interest rate, Journal of Finance 29 (1974) 449–470]. We derive conditions that guarantee existence and uniqueness of the solution. Using analytical properties of the model, we propose a fast calibration procedure for the conditional default probability model in the integrated market and credit risk framework. Our solution allows one to avoid numerical integration problems as well as problems related to the numerical solution of the nonlinear equations.     

A simple model of deferred callability in defaultable debt

Banks and other financial institutions issue hybrid capital as part of their risk capital. Hybrid capital has no maturity, but, similarly to most corporate debt, includes an embedded issuer’s call option. To obtain acceptance as risk capital, the first possible exercise date of the embedded call is contractually deferred by several years, generating a protection period. We value the call feature as a European option on perpetual defaultable debt. We do this by first modifying the underlying asset process to incorporate a time-dependent bankruptcy level before the expiration of the embedded option. We identify a call option on debt as a fixed number of put options on a modified asset, which is lognormally distributed, as opposed to the market value of debt. To include the possibility of default before the expiration of the option we apply barrier options results. The formulas are quite general and may be used for valuing both embedded and third-party options. All formulas are developed in the seminal and standard Black–Scholes–Merton model and, thus, standard analytical tools such as ‘the greeks’, are immediately available.     

A latent process model for the pricing of corporate securities

We propose a structural model with a joint process of tangible assets (marker) and firm status for the pricing of corporate securities. The firm status is assumed to be latent or unobservable, and default occurs when the firm status process reaches a default threshold at the first time. The marker process is observable and assumed to be correlated with the latent firm status. The recovery upon default is a fraction of tangible assets at the time of default. Our model can evaluate both the corporate debt and equity to fit their market prices in a unified framework. When the two processes are perfectly correlated, our model is reduced to the seminal Black–Cox model. Numerical examples are given to support the usefulness of our model. A previous version of this paper was presented at the Tsukuba–Stanford workshop held at Stanford University on March 2006. The authors are grateful to participants of the workshop for helpful discussions.     

Corporate taxes, changing risk, and wealth transfers between shareholders, lenders, and the taxman

This paper examines how risk and corporate taxes jointly affectthe value of the debt and equity of a firm. We view thetotalpretax value of the firm as being divided between the taxman,lenders, and shareholders, and examine how increasing the riskof a leveraged firm, with no change in its pretax value, affectsthese claimants. We show that shareholders may gain while thetaxman loses, or vice versa, or that both gain at the expenseof lenders. The outcome depends on several factors includingthe ranking of the claims of the taxman and lenders. The analysisis extended to investments which expand the firm; here our conclusionsare at variance with some frequently expressed views on possibletax advantages of merging. We obtain different conclusions becausewe make allowance for the diversification effects of mergingon the value of the debt claims. A careful examination of thisrequires a precise mathematical formulation of the values ofthe tax, debt, and equity claims using option-pricing techniques.     

具有一般跳幅度分布的跳扩散模型下永久公司债券的定价

在公司资产价值演化服从具有一般跳幅度分布的跳扩散模型下,采用结构化方法研究具有无限到期日公司债券的定价问题,通过微分方程的方法和无套利原理获得了公司债券,股东权益和公司总价值的定价表达式以及最佳违约边界的表达式.     

信息披露质量影响公司风险承担:治理效应抑或声誉效应？

基于信息披露理论和公司治理理论,本文实证检验了信息披露质量对公司风险承担的影响。实证结果发现:较高的信息披露质量有助于提高公司风险承担水平,从而验证了信息披露的“治理效应”。进一步发现,管理层持股激励能够影响上市公司的信息披露行为,并提高公司风险承担水平,说明管理层持股能够加强信息披露质量与公司风险承担之间的正向关系,且这种影响关系在高管理层持股组中更显著。研究结论不仅丰富和拓展了信息披露和公司风险承担的相关研究,而且对管理层激励契约的设计和公司风险认知具有重要的启示作用和现实意义。     

中国上市公司治理、绩效与高管薪酬相关性研究

本文以中国社会科学院公布的中国上市公司100强治理评价报告和上市公司年报为基础,以中国上市公司为对象,研究了公司治理与公司绩效、高管薪酬的关系。通过分析和实证检验,得出中国上市公司治理、高管薪酬和公司绩效之间没有明显的线性关系,高管薪酬更多的是由公司规模而不是公司绩效决定的。     

Corporate governance and firm performance: Evidence from Japanese manufacturing industries after the lost decade

This study investigates whether a series of recent economic reforms on corporate governance influence the operational performance of Japanese manufacturing industries after the bubble economy. This study finds that stable shareholding is an important aspect of traditional Japanese corporate governance. Many Japanese corporate leaders still believe that the stable shareholders are important for their governance. However, the stable shareholding enhances their operational performance only when the ratio of shares held by stable shareholders is more than 61.21%. This result is inconsistent with the previous governance strategy of Japanese management. Moreover, the foreign investment enhances the operational performance of Japanese firms until the ratio of shares held by foreign shareholders becomes 19.49%. Japanese corporate leaders are very afraid of the foreign investment. This result is inconsistent with their opinions, as well. The second result indicates that Japanese firms need to accept more foreign investment and pay attention to the opinion of foreign investors. Finally, it is important for Japanese firms to make a balance between the traditional stable shareholding and the foreign investment.     

A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options

We propose a general framework to model equity volatility for a firm financed by equity and additional non-equity sources of funds. The stochastic nature of equity volatility is endogenous, and comes from the impact of a change in the value of the firm's assets on the financial leverage. We first present the basic model, which is an extension of the Black-Scholes model, to value corporate securities. Second, we show for the first time in the option literature, that instantaneous equity volatility is a solution of a partial differential equation similar to Black-Scholes', although it is non-linear and in general does not have any analytical solution. However, analytical approximations for equity volatility are proposed for different capital structures: (1) equity and debt, (2) equity and warrants, and (3) equity, debt and warrants. They are shown to be very accurate.     

Analytical pricing of defaultable discrete coupon bonds in unified two-factor model of structural and reduced form models

Pricing formulae for defaultable corporate bonds with discrete coupons (under consideration of the government taxes) in the united two-factor model of structural and reduced form models are provided. The aim of this paper is to generalize the two-factor structural model for defaultable corporate discrete coupon bonds (considered in [1]) into the unified model of structural and reduced form models. In our model the bond holders receive the stochastic coupon (which is the discounted value of a predetermined value at the maturity) at predetermined coupon dates and the face value (debt) and the coupon at the maturity as well as the effect of government taxes which are paid on the proceeds of an investment in bonds is considered. The expected default event occurs when the equity value is not sufficient to pay coupon or debt at the coupon dates or maturity and the unexpected default event can occur at the first jump time of a Poisson process with the given default intensity provided by a step function of time variable. We provide the model and pricing formula for equity value and using it calculate expected default barrier. Then we provide pricing model and formula for defaultable corporate bonds with discrete coupons and consider its duration.     

国家治理体系完善能抑制企业盈余管理吗？——基于准自然实验的经验证据

本文以沪深A股上市公司为研究对象,从巡视监督的视角考察了国家治理体系完善的公司治理效应。研究结论表明:巡视监督能够有效的抑制企业盈余管理,降低24%的应计盈余管理和22%的真实盈余管理。采用平行趋势检验、安慰剂检验和倾向得分法之后的结论依然稳健;相对于地方巡视监督而言,中央巡视监督对企业盈余管理治理的效果更为显著;巡视监督对于腐败地区企业盈余管理治理效应更强。本文丰富了国家治理体系发挥公司治理效应的文献体系,揭示了制度建设在实体经济发展中的重要作用。     

Predicting the event and time horizon of bankruptcy using financial ratios and the maturity schedule of long-term debt

We study the problem of simultaneous and coherent assessment the probability of a firm’s bankruptcy at various time horizons in future. In contrast with usual (one-period) formulations of the problem, such multi-period formulation better matches the nature of bankruptcy process (bankruptcy occurs in time) and allows an easier and more natural incorporation of bankruptcy (default) prognoses in valuation of risky debt and equity, optimization of corporate capital structure etc. The study uses a new mathematical apparatus—multi-alternative decision rules of statistical decision theory. We investigate a new type of predictive variables that can be extracted from the maturity schedule of a firm’s long-term debt. The study develops Bayesian-type forecasting rules that use both maturity schedule factors and traditional financial ratios. These rules noticeably enhance bankruptcy prediction (compared with the familiar one-period Z-score rules of Altman) for bankruptcy within the first 1, 2 or 3 years. Predictive factors derived from schedule information enhance bankruptcy prediction at distant time horizons.     

营运资本与公司综合治理对公司价值影响研究

拓展Faulkender和Wang(2006)模型,引入公司综合治理水平变量,分析了公司综合治理水平和营运资本对公司价值的影响.运用我国A股市场2008~2013年数据进行实证,证实公司综合治理水平与营运资本对企业价值影响显著;边际营运资本价值小于边际现金价值,企业在现有营运资本水平下增加营运资本投资,将降低企业超额收益率,减少企业投资价值;商业性企业比工业性企业、高治理效率企业比低治理效率企业、受融资约束企业比不受融资约束企业具有更高的边际营运资本价值.     

薪酬差距与企业金融化的非线性影响机制研究

为探究薪酬差距这个带有激励色彩的因素,是否有助于缓解管理层的过度金融化,论文先是构建了一个理论模型来说明薪酬差距与企业金融化可能存在U型非线性关系,而后以沪深A股2009~2017年上市公司的16371个观测数据为样本进行实证检验。研究发现:薪酬差距与企业金融化存在显著U型非线性关系,过高和过低的薪酬差距激励都会造成管理层过度金融化,从而导致企业创新投入的挤占和企业生产本质的偏离。进一步研究显示,薪酬差距与企业金融化这种U型非线性关系,主要表现在低管理者代理行为、无缺陷内部控制和有审计委员会等较好公司治理的企业,而在高管理者代理行为、有缺陷内部控制和无审计委员会等弱公司治理的企业,虽有U型非线性关系但不显著。