【作者】 刘向华；

【导师】 李楚霖；

【作者基本信息】 华中科技大学 ， 概率论与数理统计， 2004， 博士

【摘要】 在不确定环境下,市场需求条件以及企业市场价值随机变动,企业的投资和筹资行为面临各种风险。各种风险相互交织,使得企业的决策环境错综复杂。实物期权方法深入应用随机分析、最优停时、鞅、随机微分方程、博弈论等数学工具,并与金融学、投资决策和公司管理等学科相互结合,克服了传统方法的局限,为企业提供了一套投资财务战略管理和风险管理的新方法。本文利用实物期权方法研究企业竞争投资决策和风险债务评估问题。本文第一章分析和概述国内外文献中利用实物期权方法研究竞争投资决策和风险债务评估的现状,第二章介绍与本文讨论相关的模型,然后就有关专题研究如下方面的问题:1. 研究存在潜在竞争对手的研究与开发(R&D)投资策略问题。针对不确定的竞争市场,本文第三章讨论已安装生产容量的在位企业的成本节约的R&D投资决策。早期的R&D投资使得企业在未来比潜在进入市场的竞争对手具有成本优势,投资机会可以看作策略增长期权。在利用博弈论方法分析和给出了策略增长期权价值后,以随机市场需求规模服从均匀分布和对数正态分布为例,分析了各种因素对策略投资的影响。对随机市场需求规模服从均匀分布的情形,可以得到公司投资阈值的解析表达式,较大的市场需求预期、成本节约效应和已安装生产容量鼓励了策略R&D投资;当随机市场需求规模服从对数正态分布时,市场需求的波动度对投资决策的作用受成本节约效应和已安装生产容量的影响是不确定的。2. 研究在技术创新条件下的对称双头竞争投资策略问题。在动态投资环境中,采用当前新技术的投资决策受到对手行动与技术进步的影响。本文第四章运用期权博弈方法提出一个关于技术采用的简化的双头的连续时间模型:企业采用当前新技术的不可逆投资是在策略竞争环境中;并且,在竞争局面建立后,当前新技术面临被一项更先进的新技术淘汰的威胁。分析表明,快速的技术替代效应鼓励了主者的投资,挫败了从者的投资。与没考虑到有一项更先进新技术情形下的投资问题进行比较,当没有企业投资时,考虑到有一项更新技术情形下企业急于投资;然而,一旦已有企业投资时,考虑到有一项更新技术情形下企业延迟投资。利用混合策略分析,得到了企业在博弈的开始选择他们进行序列投资或同时投资的均衡投资策略。 <WP=5>3. 研究公司债务与内生破产问题。在实际公司运营中,当公司出现财务危机和债务违约而宣布破产时,公司可能是立即破产清算或被债权人接管。在存在公司税收好处和破产成本的情形下,将各种公司权益看成写在公司资产上的期权,本文第五章讨论风险债务的债权人在公司破产时选择破产清算或破产营运时公司债务水平与破产决策之间的关系,分析了纯股票公司和不同债务水平的杠杆公司破产决策问题,表明公司债务对公司的破产决策具有重要影响。杠杆公司股东策略违约的破产时间与公司价值最大化的时间通常不一致,破产导致公司价值损失;而且由于杠杆融资,公司破产时间与纯股票公司破产时间不一致,破产带来效率损失。4. 研究政府补贴与公司内生破产问题。在实际公司运营中,当公司出现财务危机和债务违约而宣布破产时,公司有可能得到政府的特殊补贴。在存在公司所得税和破产成本的情形下,本文第六章讨论具有政府补贴的公司价值评估和破产决策问题,分析了政府分别补贴债权人和公司股东时公司的破产效率问题。研究表明政府补贴可以避免公司低效提早或延迟破产。比较政府补贴债权人和补贴公司股东两种情形下的最优补贴水平,政府补贴债权人促使公司有效破产的支出较小。特别地,如果政府补贴水平低于最优水平但允许债务重组时,公司低效提前破产可以避免;如果政府补贴水平高于最优水平但允许债权妥协时,公司低效延迟破产可以避免。5. 研究公司债务优先级结构与内生破产问题。在公司的运营中,公司可以发行不同优先级别的债务来融资。本文第七章讨论了公司破产和发行次级债务的决策,以及优先债务与次级债务之间的关系。公司债务优先级对公司的破产和融资决策具有重要影响。分析表明优先债务的存在扭曲了公司股东发行次级债务的决策,发行次级债务对优先债务价值具有负面影响。债务的发行使公司选择社会次优的破产策略,债务优先级导致了公司的次优的资本结构。更多还原

【Abstract】 In uncertain circumstances, market demand conditions and the corporate values change stochastically, and the corporate faces various kinds of risks during decision-making of investment and financing. The mixture of risks makes difficult for the corporate to make decisions. Real options theory, which combines corporate finance, investment decisions and management science, deeply applys mathematical tools, such as stochastic calculus, optimal stopping times, martingale, stochastic differential equations, game theory, etc. Real options analysis overcomes the drawbacks of traditional methods, and provides a new method of investment decisions, financing policies and risk management for the corporate. This thesis adopts real options approach to study investment decisions in competitive circumstances and valuation of risky debt of the corporate. Chapter 1 outlines and analyzes current research situations on the adoption of real options approach to study investment decisions in competitive circumstances and valuation of risky debt of the corporate in the literature. Chapter 2 presents the relevant models. The main ideas and contributions of this thesis are as follows.1. Study on the strategic research & development (R&D) investment decisions with a potential competitor. Chapter 3 considers an uncertain and competitive market, where the incumbent corporate conducts cost-reduction R&D, taking account of the fact that the corporate has installed a production capacity before performing R&D. The R&D investment leads to cost advantage and the investment opportunity can be looked as a growth option. The value of investment opportunity with capacity installed is derived by means of game theory. For the case that the stochastic market demand follows a uniform distribution, the explicit expression of the investment threshold is obtained; and the result shows that the larger expectation of market demand, the stronger cost-reduction effect and the larger installed capacity encourage the investment. For the case that the stochastic market demand follows a lognormal distribution, the impacts of the uncertainty over the market demand on R&D investment decisions are ambiguous, which are influenced by the cost-reduction effect and the installed capacity.2. Study on competitive investment strategies of symmetric duopoly taking into account technology innovation. In dynamic uncertain environments, the investment timing of the firm about adopting the existing new technology is influenced by the <WP=7>rival’s actions and technological progress. Chapter 4 employs option games approach to present a simplified duopoly continuous time model of technology adoption. In the model, the irreversible investment in adoption of the existing new technology is in strategic competitive circumstances and facing the threat of a further new technology after the competition setting is established. The results show that rapid displacement of the technology encourages the leader’s investment and discourages the follower’s investment. Comparing with the optimal timing without the expectation of a further new technology, the firm hastens to invest when no firm has invested; however, once one firm has invested first, the firm will delay the investment. Using mixed strategy analysis, competitive investment strategies with sequential exercise and simultaneous exercise are derived.3. Study on corporate debt and endogenous bankruptcy. In corporate practices, the corporate is liquidated immediately or as a going concern when the corporate is in financial distress and declares bankruptcy. With the existence of corporate tax benefits and bankruptcy costs, Chapter 5 examines corporate debt and endogenous bankruptcy in a risk-neutral framework. While corporate bankruptcy and taking over understood as the options held by the equity holders and the creditor, bankruptcy decisions of the levered corporate with different leverage are discussed in detail after the values of contingent claims on the corporate assets have been obtained. The analysis shows that debt has import更多还原