摘要
本文利用期权博弈方法,探析投资成长期权如何影响公司债务融资决策问题。在不确定条件下,综合考虑利率、税率、债息和债务的期限结构这些影响融资和投资的重要因素,构建期权博弈理论模型,确定企业的最优债务容量,并运用数值方法给出了债务容量与投资成长期权的回报率之间是非线性的"U"形关系的结论。研究表明,当投资成长期权的回报率较低时,债务容量随着投资成长期权的回报率增加而债务容量减少;当投资成长期权的回报率达到较高水平时,债务容量随着投资成长期权的回报率增加而债务容量增加。从而给出了关于债务容量与投资成长期权之间的内在关系的新理论解释。
Using option game method, it is explored that how the investment growth option affects the debt financing decision of firm. Consider some important factors such as the interest rate, tax rate, interest rate of debt and term structure of debt, which affect firm＇s debt financing and investment decisions, the option game theory model of the relation between debt financing and real investment growth option is constructed in uncertainty in this paper. The paper presents the optimal debt capacity, and by numerical analysis shows the non-linear “U” shape relation between debt capacity and growth option. The research shows that when the “U” shape relation states that the rate Of return on investment is lower, the optimal debt capacity is decreasing with the rate of return on investment; when the rate of return of investment is at higher level, the optimal debt capaci.ty is increasing with the rate of return on investment. Thus,a new interpretation of the relation between debt financing and real investment growth option is also given.
出处
《中国管理科学》
CSSCI
2007年第4期14-20,共7页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70671047)
关键词
期权博弈
资本结构
债务容量
成长期权
option game
capital structure
debt capacity
growth option
