基于双边道德风险的创业投资组合规模之实证研究

【作者】 孙明；

【导师】 房四海；

【作者基本信息】 电子科技大学 ， 金融学， 2010， 硕士

【摘要】 创业投资作为一种新的投融资体制,对促进高新技术企业的快速发展起到了积极的作用。创业投资家除了提供资金外,还主动介入创业企业的管理,就战略和运营计划、招募管理、营销以及获得下一轮融资等为创业企业提供帮助。一个创业企业的成功需要创业投资家和创业企业家的共同努力,但是,双方的努力水平是不可观测的,自然也就无法以契约形式加以完备,因此便产生了双边道德风险。再者,创业投资家的时间和精力是有限的,这就限制了他们投资过多的项目,如何确定一个组合规模以最大化创业投资家的预期净利润,对创业投资家而言具有重要意义。本文试图在双边道德风险下分析创业投资家的组合规模问题。本文的主要内容分成三个部分:首先,我们对创业投资的基本概念、特点、创业投资的参与主体以及创业投资决策过程进行阐述,并回顾了双边道德风险下创业投资的相关理论文献研究。其次,我们简介了本文所要验证的Bernile, Cumming和Lyandres (2007)的创业投资的组合规模及其影响因素的理论模型;通过对本土VC三轮全样本问卷调研获得的一手资料,我们实证研究比较了不同资金来源、不同国别的VC组合上的差异,并实证检验了创业企业组合理论。最后,根据比较研究和实证分析,结合我国实际情况,就改善我国本土VC的投融资环境和运作机制等提出了相关建议。本文主要结论如下:第一,与模型预测一致,VC组合规模与给予创业企业的利润份额之间是非单调的关系,当给予创业企业的利润份额较低时,VC组合规模随创业企业的利润份额增加而增加;当创业企业的利润份额较高时,VC组合规模随给予的创业企业利润份额增加而减小;第二,与模型预测一致,给予创业企业的利润份额随VC组合规模的增加而增加;第三,政府VC投资了更多的创业企业,并且给予创业企业更多的利润份额。但是,其投资的种子期的项目少于非政府VC。更多还原

【Abstract】 As a new investing and financing system, venture capital plays an important role in promoting rapid development of new high-tech enterprises. Unlike regular investors, except providing funds, venture capitalists (VCs) are actively involved in the management of their portfolio companies. VCs also provide assistance with strategic and operating planning, management recruitment, market, and obtaining additional capital. The success of an enterprise needs the efforts of both VCs and entrepreneurs, however, in most cases, the parties’effort levels are unobservable/nonverifiable and noncontractible, and thus, the relationship between VCs and entrepreneurs are characterized by double-sided moral hazard. Moreover, VCs’time and energy are limited, so they could not invest too many enterprises. Thus,it is impartment for VCs to determine an optimal portfolio size to maximize their expected net income. This paper, we try to analyze VCs’optimal portfolio size.The main contexts contain three parts: firstly, we introduce the basic concepts,characteristics, main participation bodies and the decision process of venture capital; then we review related theory researches for venture capital based on double-side moral hazard between VCs and entrepreneurs. Secondly, we introduce the theoretical model on VCs’portfolio size and the profit sharing rules which is proposed by Bernile, Cumming and Lyandres (2007). According to the first-hand data we received through three rounds of total coverage survey on VC funds registered in China’s mainland. Then we analyze the impact of different fund sources and different countries on the portfolio, we empirically test the conclusions of the model.Thirdly, according to the comparative and empirical research, based on practical situation in China, we make some suggestions on VC’s operating mechanism and operative environment.There are three main conclusions in our paper:(1) VC’s portfolio size significantly varies non-monotonically with entrepreneurs’profit shares. VC’s portfolio size is first increasing when entrepreneurs’profit share is low and then decreasing when it is high;(2) entrepreneurs’profit share is significantly positive related with VC’s portfolio size; (3) the government-sponsored VCs invest more venture firms but retain less profit shares ,but they invested less seeds.更多还原