【作者】 王俊海；

【导师】 易江；

【作者基本信息】 华中科技大学 ， 数量经济学， 2004， 硕士

【摘要】 本文以企业未来的经营及发展状况的不确定性为背景 研究了基于成长期权下的财务困境企业的最优清算 投资及其债务重新谈判政策 并运用实物期权的方法对存在于企业中的各种实质选择权逐一加以考虑 从而将基于成长期权下的财务困境企业决策问题模型化 定量地考察了重新谈判期权 讨价还价能力分布和间接破产成本对企业的最优投资与清算政策的具体影响 尤其是债务特征对投资不足问题的影响 以及一个单一成长期权的存在对企业最优破产和重新谈判时点的影响分析表明 企业投资与清算政策受自身资本结构的影响 首先 企业成长期权会延迟对企业的清算 而企业债务融资的存在又将导致企业成长期权在执行上被无效的延迟 其次 企业债务再谈判的存在使得Myers所提出的企业投资不足问题变得尤为严重 其原因在于债务重新谈判期权使企业财富在投资时更容易向债权人转移 再者 基于债务重新谈判期权下的企业清算政策将不同于其在全股权融资时的情形 也即 企业通过引入债务重组并不能完全消除其高昂的破产成本 第四 即使是忽略债务税盾利益的影响 企业清算政策仍然受到其股权人次优投资政策的影响 并最终导致企业被过早的 无效率的清算 最后 当企业股权人拥有足够高的谈判力时 重新谈判将会使股权人对其原始债务进行策略性毁约的可能性变得更大更多还原

【Abstract】 In this paper, on the background of uncertainties of enterprises’ future managementand development, the optimal investment, liquidation and renegotiation policies offinancially distressed enterprises are studied based on the growth options. Moreover,various kinds of options existing in enterprises have been considered respectively byusing the theoretical methods of real options, thus a model that handles the decisionquestions of financially distressed enterprises has been constructed, whose mainobjectives are to quantitatively investigate the impacts of the renegotiation options,distribution of bargaining power and indirect bankruptcy costs onthe optimal investmentand liquidation policies of enterprises, particularly, the impacts of those debtcharacteristics on the magnitudes of under-investment problems and the impacts of agrowth opportunity on the optimal bankruptcyand renegotiation timing. As a conclusion of this analysis, the optimal investment and liquidation polices ofenterprises are affected by the capital structures of themselves. Firstly, the growthoptions deferred the liquidation while the presence of debt financing hindered theexecution of growth options. Meanwhile, the possibilities of renegotiating the originaldebt contracts deteriorated Myers’ under-investment problems because of the higherwealth transfer to debtholders upon investment in the presence of the renegotiationoptions. Thirdly, liquidation policies differed from debt financing and all-equityfinancing, that is, debt reconstruction can not remove the whole bankruptcy costs.Fourthly even ignoring the influences of the tax shields, liquidation policies are stillaffected by the second-best investment policies, which leading to the inefficientbankruptcy earlier. Finally, when shareholders have enough bargaining power,shareholders is prone to the strategic default of original debt contracts on the conditionsof debt reconstruction.更多还原