【作者】 曾鸿志；

【导师】 张维；

【作者基本信息】 天津大学 ， 管理科学与工程， 2005， 博士

【摘要】 风险对于公司的融资行为有着非常重要的影响,但是将融资理论与风险结合起来研究一直是公司融资理论研究的一个难点问题。本文研究了价值及资产风险的信息非对称对公司的融资决策的影响,并从应用混合融资工具——可转换债券的角度寻求有效解决上述问题的途径。所以本文的主要研究内容分为两个部分:(1)对资产风险信息不对称与公司融资政策进行模型与实证研究;(2)对公司可转换债券融资与风险信息不对称进行模型与实证研究。具体研究内容概括如下:1.通过模型研究与实证分析,证明了关于资产风险的信息不对称对于中国上市公司融资行为和资本结构有着重要影响,这也从另一个角度解释了中国的股权融资偏好现象,并且对关于融资结构不同理论的分歧提出了新的解释,得出结论:传统的融资优序理论没有考虑到风险的信息不对称,当存在对资产风险的信息不对称时,可能会得出和融资优序相反的结论。为了进一步证明所得结论的有效性,文中做了大量的显著性检验,结果表明负债约束,时机选择及传统权衡理论的决定因素均不能排斥本文的结论。2.正因为资产风险的信息不对称对中国上市公司融资行为存在显著的影响,所以本文另一部分的工作是研究能有效解决上述问题的融资工具——可转换债券的应用。为此本文研究了可转换债券与资产风险信息不对称的信号模型,拓展了Brennan和Kraus(1987)提出的无成本可转债融资信号模型,通过引入信息透明度,成本等因素,说明了使用可转债融资有助于克服资产风险的信息不对称问题,并能提高融资效率,减少债务融资成本。3.结合中国上市公司的可转换债券的融资实践对上市公司发行可转换债券的融资动机作了大量的实证研究,其中也专门研究了可转换债券发行与上述研究的资产风险信息不对称关系。以累积标准正态分布函数N(d2)估计可转债的预期转换率,将中国上市可转债的类型进行负债类型、权益类型和混合类型的分类。实证研究了中国上市公司可转债融资的动机,对中国上市公司发行可转债的多种动机观点进行了综合性的实证研究,通过t检验、Mann-Whiney U检验、Logistic回归分析和Tobit回归分析等实证方法,探讨了上市公司发行可转债的融资成本与可转债融资决策的关系。更多还原

【Abstract】 Linking capital structure to risk has been difficult in the past, although risk playsimportant role in corporate financing. This paper try to show how inside informationabout value and risk impacts on the firm leverage. On the other hand, we considerresolution of the information asymmetry about the riskiness of the returns byapplication of hybrid financing instrument----convertible debt. The dissertationconsists of two sections: (1) Research on the impact of the information asymmetryabout the risk on leverage by both in theory and empiricism. (2) Research onasymmetric financing and financing with convertibles by both in theory andempiricism. The contents in detail as follows:1. By empirical research and theory study, the important role of informationasymmetry about the risk playing in the financing decision of Chinese listedcompanies is disclosed and verified. It also resolves the puzzle of equity financingpreference in Chinese listed companies and presents a simple unifying logic to theseemingly asymmetric information literature on firms’ capital structure. The papershows risk is an aspect missing in the traditional pecking order and the reverseconclusion can be obtained if there is only asymmetric information about the risk offirms’ future investments. We find robust and economically empirically support forthe adverse selection logic that conditions on risk. The results do not appear to bedriven by debt capacity concerns, market timing or the omission of conventionaldeterminants of leverage.2. Since the above conclusions of the important role of asymmetric information aboutthe risk of, it’s necessary to do research on convertible bonds which can be used tosolve the problem caused by asymmetric information on risk. So in the second partthe paper, we studied the costless signaling equilibrium of convertible financing basedon the research results of Brennan and Kraus (1987). By considering the factors ofcost and information transparency, the paper show that not only that the problemcaused by asymmetric information on risk can be solved, but also the financingefficiency can be improved and the financing cost can be mitigated.3. We do empirical study on Chinese listed companies’ characteristics, conversionprobability and convertible bonds financing decisions. The relationship of theissuance of convertible bonds with the information asymmetry about the risk is alsostudied. The convertible bonds are classified according to conversion probability, i.e.debt-like, hedge-like, and equity-like convertible bonds. Five empirical are performedunder Variance Test, T test, Mann-Whitney U Test, Logistic Model and Tobit Modelto characterize how issuers should design convertible bonds to efficiently mitigatespecific debt-and equity-related costs of external finance.更多还原