【作者】 陈刚；

【导师】 刘星；

【作者基本信息】 重庆大学 ， 技术经济及管理， 2004， 博士

【摘要】 投资决策、融资决策作为现代财务理论三大财务政策中最重要的部分,一直受到中外财务经济学者们的重视。由于企业的融资、投资是一体的、互动的,那么如何筹集企业投资所需的资金;在投资项目之间如何选择、组合以构成企业满意的收益、风险组合;融资、投资究竟如何相互影响、牵制;怎样的融资组合才能使企业资本结构最优,这些都是有待深入研究且有现实意义的课题。传统经济学基本假设前提中,重要的一条就是“经济人”拥有完全信息。完全信息假定认为,市场上所有的经济主体掌握着相同的信息,从而他们对企业的盈利产生相同的预期。实际上,企业经营者所掌握的信息与投资者所掌握的信息并不对称,真正了解企业经营实情的是企业内部经理人员,而外部投资者只是根据企业输出的信息如企业损益表、资产负债表、负债比率等信息来判断企业的盈利和发展前景。因此,投资者和企业经营者在相互博弈的过程中,企业经营者占有明显的优势,双方处在一个典型的信息非对称的环境中。信息非对称下的资本结构问题是公司利益结构设计的核心问题,它直接关系到公司的行为特性(包括投资行为、融资行为和股利行为的特性),据此来研究信息非对称条件下企业的融资决策,形成合理的融资结构,优化资金配置,实现企业的价值目标,就成为作者研究的目的。全文以信息非对称为基础,以融资为主线,借鉴西方经济学者的研究成果和方法,沿着融资决策支持标准、最佳资本配置设计(即投资预算决策)、静态融资决策优化、动态融资决策优化展开,并构造模型来分析。作者综合运用微观经济学的知识、与资本结构问题相关的非对称信息理论、代理成本理论、委托代理理论、博弈论、财务契约理论、数理统计中的条件概率和Bayes方法、常微分、随机过程等方面的知识和方法规范研究非对称信息的形成机理、非对称信息的情况下最佳的资本配置、融资方式的目标选择过程,建立融资决策优化的静、动态模型;探索信息获取成本和准确率对融资决策的影响。全文的基本研究框架如下:论文的第一章阐述了论文的研究意义,回顾了有关中、外研究成果与现状,并提出研究目标和框架。论文的第二章研究信息非对称的产生及其经济学解释,是全文的基础。在金融市场上,典型的不对称信息存在于企业经营者与企业外部的投资者之间,因而会引发经理的逆向选择或道德风险问题。因此,要解决好现实中的投融资问题,须对信息非对称有较为充分的认识。文章先后表述了信息非对称产生的原因、信息非对称<WP=6>的表现以及对对企业理财的影响,最后系统地分析产生信息非对称的根本原因,并从个体获取信息的时间、成本、收益的角度对信息非对称给予经济学解释。论文的第三章研究基于信息非对称的融资决策标准,是为第五、六章做技术准备的。本章首先回顾了影响融资决策的因素有关文献,接着表述了融资的方式以及与之相对应的成本和投资收益,最后从市场价值最大化、成本最小化、现有股东财富最大化等几个方面分析了融资决策支持标准。文章基于信息非对称,按照股东至上主义逻辑,将现有股东财富最大化作为融资决策支持标准,并贯穿于后面讨论的融资决策。论文的第四章主要研究信息非对称条件下的最佳资本配置问题。在这样的信息非对称环境中,由于企业经营者有其自身的行为目标,因此他们随时可能发生逆向选择或道德风险的行为。在信息非对称条件下,代理人知道项目的真实质量和自己的勤勉水平而委托人不知道,由于代理人有向委托人浮夸项目质量的积极性与付出最少勤勉的动机,委托人的问题就是设计一个资本配置方案和代理人的补偿方案,以便了解到项目的真实质量和代理人的勤勉水平。文章采用博弈论等规范研究方法,分析在委托人和代理人间关于项目质量方面存在信息非对称的情况下最佳的资本配置;并运用不完全契约论、委托代理理论分析公司信息与代理人的激励和约束机制之间的内在联系,在投资决策上考虑信息和激励问题。论文的第五章研究基于信息非对称的静态融资决策。作者运用数理统计中的条件概率和Bayes方法、博弈论等相关知识模拟现实经济生活中的融资决策问题,分析在信息非对称条件下引入投资约束后各投资者的行为选择和互动影响以及所达到的均衡;分析融资方式的目标选择过程,建立融资决策的优化模型;探索信息获取成本和所获得的信息的质量对融资决策的影响。得出如下结论:信息获取成本存在一个临界值,对于所有成本低于该临界值的公司偏好发行股票,对于所有成本高于该临界值的公司偏好发行债券。论文的第六章研究基于信息非对称的动态融资决策模型。作者借用Wiener过程来刻画项目的质量和经理的勤勉水平,再综合运用微积分、常微分方面的方法和知识利用ITO过程分别构造PDE方程和边界条件,建立公司融资决策的动态模型。论文的第七章研究对我国上市公司融资决策的思考和启示。作者通过统计数据分析我国上市公司关于融资选择的实际情况,找出我国证券市场运行的若干特征,诊断其中存在的问题。最后提出改革我国资本市场体系构架的思路,并提出相应的政策建议。更多还原

【Abstract】 The investment decision & financing decision, which is the most important parts of the three financial policies in modern financial theory, have been receiving Chinese and foreign financial scholars’ attention all the time. Since investment integrate, mutual affect with the financing of enterprise, how to finance the investing fund needed by enterprise, how to choose and to compound between investment projects so as to form the satisfied earnings of the enterprise, how the financing influence and pin down investment each other, what kinds of financing portfolio can optimize the capital structure of enterprise, all these subjects are being investigated further and having realistic meanings for the time being.The important one of traditional economic prerequisite is that " economic persons" have perfect information. The perfect information assume that all the parties in market posses as much as the same information so as to have the same expectancy to the profit of the enterprise. In fact, the mangers’ information are asymmetric with that investors’. Only the insiders managing the enterprise know the truth of the enterprise really. The outside investors judge the profitability and the perspective of the corporation just by checking the information such as the balance statements and the profit statements etc which the enterprise disclose. So the mangers have the advantage of game between mangers and investors. Both sides are in the environment of a typical informational asymmetry.The issue of capital structure under informational asymmetry is the kernel issue of corporate designing its interest structure, which concerns the behavior characteristic of the company directly, including the characteristics of investing behavior, financing behavior and the dividend behavior. In view of the above, it is author’s purpose to study financing decision of enterprise under informational asymmetry so as to establish the reasonable financing structure, to optimize the disposal of fund and to realize the goal in value of enterprise.This paper is evolved along calibration of financing decision, the optimal capital disposal, the optimization of static financing decision and dynamic financing decision by referencing the achievements and methods of western financial scholars, based on informational asymmetry, run through financing. The model is constructed to analyze. The author studied in theory the mechanism of asymmetric information to form, the optimal disposal of capital under informational asymmetry, the process to choose the <WP=8>objective between the financing style, establishing the static and dynamic model to optimize the financing decision, explored the influence on financing decision exerted by the cost to acquire information and the precision of information using synthetically the knowledge of microeconomics , the asymmetric information theory relating with capital structure,the agent cost theory, the principal-agent theory, the game theory ,the financial indenture theory, the conditional probability and Bayes method in mathmatic-statistics.The basic research frame of full text is as follows:The first chapter of the paper explains the research meaning of the paper, review the relevant Chinese & foreign research achievements and current situations , put forward the research goal and research frame.The second chapter of the paper is the base of the full text studying the form and economic explain of informational asymmetry. On the financial market, the typical informational asymmetry exists between the managers and the outside investors. Therefore the managers’ adverse selection or morals hazard problem will be caused. So the studiers must have abundant understanding comparatively to informational asymmetry in order to solve the investment and financing problems well in reality. This chapter describe the reason why informational asymmetry is produced, the display of informational asymmetry and the effect on enterprise finance successively. Finally analyze systemically the reason why informational asymmetry be更多还原