实物期权定价理论及其发展述评

一、实物期权理论的基本内容 实物期权(real option)概念是相对金融资产而提出来的,它是金融期权理论在实物资产或非金融资产领域的推广和延伸.类似的,我们从实物期权的角度审视某项投资行为.假设某公司拥有对一项目的投资机会,项目类似于金融期权的标的物.该项目赋予了这公司在一定期限内按投资成本(执行价格)得到该项目价值(标的资产的价格)的权力.同金融期权一样,该约定项目的市场价值(标的资产的价格)是随市场条件变化而变化的,当项目的市场价值(标的资产的价格)大于投资成本(执行价格)时,公司便选择投资(即执行该期权).反之,公司可以选择停止投资(放弃该期权).公司损失的沉没成本可视为金融期权的期权费.     

实物期权定价理论及其发展述评

一、实物期权理论的基本内容实物期权(real option)概念是相对金融资产而提出来的,它是金融期权理论在实物资产或非金融资产领域的推广和延伸。类似的,我们从实物期权的角度审视某项投资行为。假设某公司拥有对一项目的投资机会,项目类似于金融期权的标的物。该项目赋予了这公司在一定期限内按投资成本(执行价格)得到该项目价值(标的资产的价格)的权力。同金融期权一样,该约定项目的市场价值(标的资产的价格)是随市场条件变化而变化的,当项目的市场价值(标的资产的价格)大于投资成本(执行价格)时,公司便选择投资(即执行该期权)。反之,公司可…     

内部控制、企业投资与公司期权价值!

借鉴实物期权理论,本文考察了内部控制质量对企业投资决策和期权价值的影响。研究发现,良好的公司内部控制有助于公司高管层更好地把握投资机会,提高公司投资支出与投资机会的敏感性;良好的公司内部控制可以提高公司的投资效率,减少非效率投资尤其是过度投资。此外,给定净资产的前提下,如果公司的盈利能力较好,公司的内部控制会增加公司价值与净利润之间的凸增关系即增长期权价值;但是,给定净利润的前提下,如果公司的盈利能力较差,内部控制并不会增加公司价值与净资产之间的凸增关系即清算期权价值。本文的研究有助于更好地理解内部控制对公司价值影响的路径与作用机理,对于有关内部控制强制执行的争议也有重要的启示意义。     

基于实物期权思想的企业并购价值评估方法

本文针对目前实物期权方法在并购价值评估中的不完善,从一个全新的视角,提出了充分利用价格、成本和产量等市场信息的实物期权价值评估方法,使实物期权方法在企业价值评估中得到了进一步发展。     

公司重组业务的会计及税务处理——资本结构调整中增资扩股、减资、股权转让、股票分割、缩股业务

一．增资扩股 （一）概念 增资扩股是指企业向社会募集股份、发行股票（包括配股和定向增发）、新股东投资入股或原股东增加投资扩大股权，从而增加企业的资本金。被增资企业不须经清算程序，其债权、债务关系，在股权重组后继续有效。     

实物期权研究述评

实物期权思想是Wcisbrod（1974）和Arrow（1974）等人研究在给定不可逆条件下政府投资决策时首先提出的。随后,实物期权被广泛运用于资本预算和价值评估领域,相比传统的资本预算模型（DCF）具有无比优越性。而将实物期权理论用于解释企业存在与效率边际则为企业理论提供了一个动态的观察角度,必将对企业理论的发展产生深远影响。     

中国企业长期资本结构影响因素分析——基于中国制造业上市公司面板数据的实证研究

本文认为通过对中国制造业上市公司10年面板数据的实证研究表明,中国企业有尽量避免使用长期债务的倾向,即使他们有能力负债。历史越悠久,盈利能力越强的公司越不愿轻易使用长期负债这种杠杆工具,只有在以下两种情况下公司才会变得积极起来:第一,该公司面临充沛的投资机会,这时公司会积极地利用财务杠杆加速发展抢占市场;第二,公司能够得到低于市场平均成本的资金。     

法制环境、管理者能力与企业债务契约

本文从管理者能力的视角出发,选取2010-2018年沪、深A股上市公司为样本,实证分析了管理者能力对债务契约的影响及其影响路径。研究证明:管理者能力越强,企业的债务期限结构越短、债务融资成本越低。进一步研究发现,在不同的法制环境中,二者的关系存在异质性,即管理者能力对债务期限结构、债务融资成本的影响在法制环境较高的地区较为显著。本文丰富了企业债务契约的影响因素,探寻了管理者能力影响债务期限结构、债务融资成本的路径。     

实物期权在企业并购中的应用研究

目标企业定价在并购行为中具有至关重要的意义,本文将实物期权方法运用于目标企业的定价,并运用Black-Scholes期权定价模型和二叉树定价模型分析了单一期权和多期权条件下并购企业的期权价值。通过例子证明实物期权的运用有利于并购企业更好地评估投资行为本身,并做出正确的决策。     

企业战略激进程度与债务期限结构北大核心CSSCI

本文以2005-2017年中国A股上市公司为样本,实证检验企业战略激进程度对债务期限结构的影响及其影响机理。结果发现,在不同战略下,企业债权人、股东和管理层对债务期限结构的偏好具有明显差异,债务期限结构是各方博弈的结果:企业战略越激进,债务期限结构越短;这一决策以增加流动性风险为代价降低企业信息不对称程度和代理成本,同时也有助于企业在激进战略下灵活调整资本结构和降低融资成本。     

Dynamic capital structure with callable debt and debt renegotiations

We consider a dynamic trade-off model of a firm's capital structure with debt renegotiation. Debt holders only accept restructuring offers from equity holders backed by threats which are in the equity holders' own interest to execute. Our model shows that in a complete information model in which taxes and bankruptcy costs are the only frictions, violations of the absolute priority rule (APR) are typically optimal. The size of the bankruptcy costs and the equity holders' bargaining power affect the size of APR violations, but they have only a minor impact on the choice of capital structure.     

Investment-based financing constraints and debt renegotiation

We consider how equity holders’ bargaining power during financial distress influences the interactions between financing and investment decisions when the firm faces the upper limit of debt issuance. We obtain four results. First, weaker equity holders’ bargaining power is more likely that the firm is financially constrained. Second, the investment quantity is independent of equity holders’ bargaining power. Third, the constrained credit spreads are increasing with equity holders’ bargaining power, contrary to the unconstrained ones. Fourth, higher volatility and weaker equity holders’ bargaining power are likely that the firm prefers to issue debt with renegotiation, compared with debt without renegotiation.     

Strategic Default and Equity Risk Across Countries

We show that the prospect of a debt renegotiation favorable to shareholders reduces the firm's equity risk. Equity beta and return volatility are lower in countries where the bankruptcy code favors debt renegotiations and for firms with more shareholder bargaining power relative to debt holders. These relations weaken as the country's insolvency procedure favors liquidations over renegotiations. In the limit, when debt contracts cannot be renegotiated, equity risk is independent of shareholders' incentives to default strategically. We argue that these findings support the hypothesis that the threat of strategic default can reduce the firm's equity risk.     

Investment,agency conflicts,debt maturity,and loan guarantees by negotiation

We consider an irreversible investment, of which the sunk cost is financed by a finite-term debt after entering into an option-for-guarantee swap (OGS) with negotiation. The OGS is a three-party agreement among a lender (bank), an insurer, and a borrower (entrepreneur), where the bank lends at a given interest rate to the entrepreneur and if the borrower defaults on debt, the insurer must pay all the principal and remaining interests to the lender instead of the borrower. In return for the guarantee, the borrower must allocate a perpetual American call option to purchase a fraction (guarantee cost) of his equity at a given strike price. We find that the investment threshold decreases but the exercise threshold of the insurer’s option increases with the borrower’s bargaining power. Both the investment and exercise threshold increase with debt maturity, but there is a U-shaped relation between the guarantee cost and debt maturity. The borrower postpones investment once the funding gap or project risk increases. The swap may overcome the inefficiencies from asset substitution and debt overhang, strongly depending on the debt maturity and borrower’s bargaining power.     

Underinvestment,capital structure and strategic debt restructuring

This paper shows that shareholders' option to renegotiate debt in a period of financial distress exacerbates Myers' (1977) underinvestment problem at the time of the firm's expansion. This result is a consequence of a higher wealth transfer from shareholders to creditors occurring upon investment in the presence of the option to renegotiate. This additional underinvestment is eliminated by granting creditors the entire bargaining power. In such a case, renegotiation commences at shareholders' bankruptcy trigger so no additional wealth transfer occurs. In addition to deriving the firm's policies, we provide results on the values of corporate claims, the agency cost of debt, and the optimal capital structure. Empirically, we predict, among others, a lower sensitivity of capital investment to shocks to Tobin's q and cash flow for firms financed with renegotiable debt, and a negative effect of debt renegotiability on the relationship between growth opportunities and systematic risk as well as leverage.     

Inside debt renegotiation: Optimal debt reduction,timing, and the number of rounds

This paper develops a model of debt renegotiation in a structural framework that accounts for taxes, bankruptcy costs and renegotiation costs. To our knowledge, all the previous work on debt renegotiation implies an infinite number of renegotiations. This feature preempts the analysis of the optimal number of renegotiations. We address this drawback by incorporating fixed renegotiation costs in a model of multiple renegotiations, hence obtaining a small finite number of renegotiations. Simple analytical formulae are derived for debt and equity, as well as implicit formulae for the coupon reduction, as a result of a backward recursive technique. The results show that the optimal number of renegotiations, the size and the dynamics of the coupon reductions depend critically on the bargaining power of the claimants. Testable empirical implications regarding multiple costly renegotiations are drawn.     

Renegotiation of financial contracts: Evidence from private credit agreements

Using a large sample of private credit agreements between U.S. publicly traded firms and financial institutions, we show that over 90% of long-term debt contracts are renegotiated prior to their stated maturity. Renegotiations result in large changes to the amount, maturity, and pricing of the contract, occur relatively early in the life of the contract, and are rarely a consequence of distress or default. The accrual of new information concerning the credit quality, investment opportunities, and collateral of the borrower, as well as macroeconomic fluctuations in credit and equity market conditions, are the primary determinants of renegotiation and its outcomes. The terms of the initial contract (e.g., contingencies) also play an important role in renegotiations; by altering the structure of the contract in a state contingent manner, renegotiation is partially controlled by the contractual assignment of bargaining power.     

OPERATING LEVERAGE AND UNDERINVESTMENT

Using a contingent claims model, we examine the impacts of both operating leverage and financial leverage on a firm's investment decisions in the context of capacity expansion. Our model shows that quasi‐fixed operating costs could significantly mitigate the underinvestment problem for debt‐financed firms. The existing debt induces equity holders to delay equity‐financed expansion because the expanded earnings base will also benefit the debt holders by lowering the bankruptcy risk. The operating costs decrease this type of wealth transfer from equity holders to debt holders by magnifying the bankruptcy risk of the existing debt upon investment. By applying the Cox proportional hazard model on a large sample of publicly traded U.S. firms over 1966–2016, we offer empirical support for the theoretical predictions. The results are robust to various measures of operating leverage.     

Financial Frictions,Investment Delay,and Asset Market Interventions

We construct a dynamic macro model to incorporate financial frictions and investment delay. Investment is undertaken by entrepreneurs who face liquidity frictions in the equity market and a collateral constraint in the debt market. After calibrating the model to the U.S. data, we quantitatively examine how aggregate activity is affected by a shock to equity liquidity and a shock to entrepreneurs' borrowing capacity. We then analyze the effectiveness of government interventions in the asset market after such financial shocks. In particular, we compare the effects of government purchases of private equity and of private debt in the open market. In addition, we examine how these effects of government interventions depend on the option to delay investment.     

The choice between informal and formal restructuring: The case of French banks facing distressed SMEs

This empirical paper investigates the paths leading to the resolution of financial distress for a sample of small and medium-sized French firms in default, focusing in particular on their decisions between bankruptcy and informal (out-of-court) renegotiations. The procedure is depicted as a sequential game in which stakeholders first decide whether to engage in an informal renegotiation. Second, conditional on opting for renegotiation, the debtor and its creditors may succeed or fail in reaching an agreement to restructure the firm’s capital structure. We test different hypotheses that capture (i) coordination and bargaining power issues, (ii) informational problems, (iii) firm characteristics, and (iv) loan characteristics. The empirical implementation is based on sequential LOGIT regressions. First, we find that the likelihood of informal renegotiations increases with loan size and the proportion of long-term debt. These two results support the argument that size matters when deciding whether to opt for informal renegotiation. Second, the probability of a successful renegotiation decreases when (i) the bank in charge of handling the process is the debtor’s “main” creditor and when (ii) the firm is badly rated and its management is considered faulty. Third, the estimations show that collateral plays a significant role in the first stage of the renegotiation process. However, it does not impact the likelihood of success in reaching a renegotiated agreement. Finally, some banks are clearly better than others at leading successful renegotiation processes.