基于或有可转换证券的投资和融资决策

doi:10.16381/j.cnki.issn1003-207x.2016.07.003

中国管理科学 ›› 2016, Vol. 24 ›› Issue (7): 18-26.doi: 10.16381/j.cnki.issn1003-207x.2016.07.003

基于或有可转换证券的投资和融资决策

赵志明¹, 杨招军², 王淼³

1. 湘潭大学商学院, 湖南湘潭 410005;
2. 南方科技大学金融系, 广东深圳 518055;
3. 湖南大学金融与统计学院, 湖南长沙 410079

收稿日期:2014-09-01 修回日期:2016-03-28 出版日期:2016-07-20 发布日期:2016-07-27
通讯作者: 杨招军(1964-),男(汉族),湖南人,南方科技大学金融系副教授,博士生导师,研究方向:金融工程、数量金融与风险管理,E-mail:yangzj@sustc.edu.cn E-mail:yangzj@sustc.edu.cn
基金资助:
国家自然科学基金资助项目（71171078，71371068）；湘潭大学博士科研启动项目（KZ08069）

Investment and Financing Policy Based on Contingent Convertible Security

ZHAO Zhi-ming¹, YANG Zhao-jun², WANG Miao³

1. Business School, Xiangtan University, Xiangtan 411105, China;
2. Department of Finance, South University of Science and Technology of China, Shenzhen 518055, China;
3. College of Finance and Statistics, Hunan University, Changsha 410079, China

Received:2014-09-01 Revised:2016-03-28 Online:2016-07-20 Published:2016-07-27

摘要/Abstract

摘要： 通过引入新的融资工具或有可转换证券（CCS），应用最优控制和最优停时理论、分析基于实物期权视角下的公司最优投融资决策问题，计算了公司各证券价值、有限期破产概率及公司最优资本结构，获得代理成本为零的一个充分条件。数值仿真及静态比较分析表明：CCS作为融资工具能够降低投资项目破产风险和普通债券的收益率差价，能够显著增加实物期权的价值，促使管理者提前投资，且显著降低代理成本。

关键词: 或有资本, 实物期权, 资本结构, 最优停时

Abstract: In this paper, an innovative financing instrument called contingent convertible security (CCS) is introduced. Using the optimal control, optimal stopping and real options theory, the optimal investment and financing decisions of a firm that issues CCS together with equity and the straight bond is examined. The risk-neutral prices of all the corporate securities, ruin probability within a given time horizon and optimal capital structure are provided. It's shown that there is an optimal fraction of equity allocated to the CCS holders upon conversion that eliminates the agency cost of debt. The optimal fraction is given explicitly. The numerical simulation is performed and static comparative analysis is provided. The numerical examples prove the rationality of the model and the validity of conclusions. In particular, It's demostrated the new invented CCS can significantly increase the value of the option to invest. In contrast to the standard capital structure that issues equity and the straight bond only, issuing CCS can lead to as much as 11.5 percent increase in the real option's value but the number declines to 7.4 percent if the contingent convertible bond is issued instead of CCS. CCS decreases bankruptcy risk as well as the yield spread of the straight bond. With a growth of the volatility rate of the investment project, the issuing firm will increase the investment trigger, the amount of CCS issued, instead of the straight bond and the firm's leverage.

Key words: contingent capital, real options, capital structure, optimal stopping

中图分类号:

F830

赵志明, 杨招军, 王淼. 基于或有可转换证券的投资和融资决策[J]. 中国管理科学, 2016, 24(7): 18-26.

ZHAO Zhi-ming, YANG Zhao-jun, WANG Miao. Investment and Financing Policy Based on Contingent Convertible Security[J]. Chinese Journal of Management Science, 2016, 24(7): 18-26.

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基于或有可转换证券的投资和融资决策

Investment and Financing Policy Based on Contingent Convertible Security

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