【作者】 张新立；

【导师】 杨德礼；

【作者基本信息】 大连理工大学 ， 管理科学与工程， 2008， 博士

【摘要】 风险投资作为一种新型投融资方式,具有特殊的契约机理。其相关的决策主体风险投资者、风险投资家和风险企业家之间形成了双层委托代理关系,由此存在严重的信息非对称性,进而导致他们之间存在复杂的利益冲突,最终使帕累托最优不能实现。因此,在信息非对称情况下,利用博弈理论和契约理论解决风险投资者和风险投资家、风险投资家与风险企业家之间的契约机理,从而提高整个风险投资的收益已成为当前急需解决的问题,这也正是本文研究的主要目的。论文共分六章。第一章绪论分析了论文选题背景、研究进展、研究工具和内容。第二章是风险投资组织机构的契约机理研究。第三章是风险投资者与风险投资家之间的契约机理研究。第四章是风险投资家与风险企业家之间的契约机理研究。第五章是风险投资退出的契约机理研究。第六章是结论与展望。论文的主要研究工作如下:(1)研究了非对称信息条件下风险投资机构的契约机理。以净现金流量和成本收益为目标函数,建立了风险投资机构存在的契约理论模型,指出了风险投资机构存在的原因。分析了风险投资机构存在的不同契约组织形式,并进一步对其进行了数理分析,得出有限合伙制是风险投资机构最优的组织形式。由此根据我国目前风险投资机构组织形式的现状提出了一些建议。(2)研究了非对称信息条件下风险投资者与风险投资家之间的契约机理。针对风险投资家的逆向选择问题,建立了以其能力和努力水平为变量的契约模型,模型设计的契约能有效地防范风险投资家逆向选择行为的发生,避免了目前利用既往业绩或相对业绩来衡量风险投资家管理水平的缺陷,保证了风险投资者委托资金的合规性与合理性;针对风险投资者的“柠檬现象”,构建了以转移性约束为变量的契约模型,此契约安排能有效地把流动性和非流动投资者甄别出来,防范了风险投资的流动性风险,对在合同中处于劣势的风险投资家提供了切实可行的决策依据;针对风险投资者与风险投资家之间的道德风险,建立了不完全信息动态博弈模型,求出了临界监督成本和临界收益,分析了影响它们的相关因素,科学地解释了防范风险投资家出现道德风险的制度性安排的有效性与合理性,改变了现有研究仅仅考虑完全信息静态的现状。(3)研究了非对称信息条件下风险投资家和风险企业家之间的契约机理。他们之间出现的道德风险主要通过投资工具选择、分段投资、组合投资与联合投资等契约机制来实现。由于可转换优先股具有保护投资者、激励企业管理层、稳定投资回报、分享企业增长潜力等优势,因此成为风险投资的首选工具;通过建立分段投资的单合同契约模型,求出了分段投资的最优契约和退出时机,此契约安排克服了现有研究每阶段都经过讨价还价签订多个合同的缺陷,有利于风险投资的稳定和运行;通过把持股比例与项目数引入到风险投资组合投资模型,求出了它们的最优解析式,分析了其对风险投资家和企业家努力水平的影响,改变了目前研究模型的参变量不易被控制的现状,使得最优契约安排更易为风险投资家提供可行操作的投资方案;以投资额和投资回报为变量的联合投资模型,分对称和非对称信息两种情形,就如何设计最优契约才能使联合投资双方都能真实地显示他们的信号进行了研究,分析了风险投资家的职业能力对联合投资契约的影响,此契约适用于风险投资家在中期或晚期联合投资情形,解决了目前研究仅适用于早期的状况,为已做初始投资的风险投资家在后几轮找到适宜的联合投资伙伴提供了决策依据。(4)研究了非对称信息条件下风险投资退出的契约机理。建立了基于共享型可转换优先股的风险投资退出决策模型,求出了风险投资最优退出的条件,分析了影响它们的决定因素;针对风险投资在首次公开招股市场上是否全部退出问题,建立了其相应的契约模型,分析了声誉效应对风险资本退出的决定作用,给出了建立声誉效应的有效方式;对风险投资并购退出问题,建立了基于价格博弈的并购交易行为模型,得出了并购交易均衡价格存在的条件,分析了影响它们的相关因素,为风险投资的退出提供决策参考依据。更多还原

【Abstract】 Venture capital is a new pattern of financing with a unique contractual mechanism. Investors, venture capitalists and entrepreneurs form double-sided agency relation, these bring on several kinds of asymmetric information and complicate interest conflicts, the optimal Pareto solution cannot be achieved. Therefore, under asymmetric information, different contracts are established not only between investors and venture capitalists, but also venture capitalists and entrepreneurs by game theory and contracts theory. These improve venture capital income and efficiency. These questions are starved for being solved among theory and economy industry. This is why the dissertation is studied.The paper is divided into six chapters. The first chapter is about the issue background, relative research review, research tool and content. The second chapter is the research on contractual mechanism of venture capital institution under asymmetric information. The third chapter is the research on contractual mechanism between investors and venture capitalists. The fourth chapter is the research on the contractual mechanism between venture capitalists and entrepreneurs. The fifth chapter is the research on contractual mechanism of venture capital exit. The sixth chapter is the conclusion and expectation. The main outcomes of the paper are shown as follows:(1) The paper studies a contractual mechanism on venture capital institution under asymmetric information. It takes the net cash flow and cost income as the target function, a contractual theory model is set up. The model gives why venture capital institution exists and analyzes different contract form. The different contract form is quantitatively analyzed by reward incentive model. It points out that limited partnership is the most optimal. Some advice is brought forward aiming at some questions on venture capital institution in China.(2) The paper studies a contractual mechanism model between investors and venture capitalists under asymmetric information. Aiming at adverse selection question for venture capitalists, the incentive contract model is set up when both venture capitalist’s ability genres and efforts are unobservable, the optimal contract can keep away adverse selection behavior of venture capitalists and assure the investor’s cash rationality. In order to solve lemon phenomenon of investors, a contracted model is set up using transferable constraints as a variable. The model can effectively discriminate liquid investors and illiquid investors and keep away the liquidity risk of venture capital, so some decision-making gist is provided for venture capitalists. Aiming at moral hazard question between investors and venture capitalists, an incomplete information dynamic model is set up, the first-best solutions are solved which are investor’s critical monitor costs and venture capitalist’s critical income, analyzes their correlative factors, explains reasonably some system arrangement, changes the phenomenon of the most present research only considering static perfect information.(3)The paper studies the contractual mechanism between venture capitalists and entrepreneurs under asymmetric information. Generally, the moral hazard is solved by investment tool, stage investment, portfolio investment and syndication. The convertible preferred equity can protect investors, bestir corporation administers, gain investment return and participate company increase, so it is the most important investment tool. A single contract incentive reward model is set up for staged investment, the contract and exit time is optimized. The contract overcome some disadvantage which bargaining must be resolved every investment stage, make for stabilization and movement of venture capital. The portfolio investment model is set up using the number of projects and the share of each project’s profits as variables, the first-best solution is solved and affects the effort levels of the entrepreneurs and the venture capitalists, changes the present question that the variables are not controlled. A syndication model is set up whose variables are investment and income, under symmetric and asymmetric information, it analyzes how the optimal syndication contracts can induce venture capitalists to truthfully reveal their signals to each other, vary with the quality of venture capitalists’ expertise in evaluating projects, The model provides with decision-making gist in second and later stage syndications.(4)The paper studies the contractual mechanism when venture capital exits under asymmetric information. It sets up exit decision-making model under partaking convertible preferred equity. The model studies the optimal exit solution, analyzes the determinants of exit. Aiming at whether to exit fully in IPO, a game model is set up. It analyzes how reputation affects exit, gives an effective way how the reputation is established. A bargaining model is founded for trade sales exit and gives equilibrium conditions and analyzes some factors what effect equilibrium price. The model provides with decision-making gist for venture capital exit.更多还原