激励性金融合约设计、金融发展与企业融资约束的关系研究

发布时间：2018-06-02 03:17

本文选题：激励性金融合约 + 合约设计　；参考：《华中科技大学》2013年博士论文

【摘要】：自Modigliani和Miller(1958)提出MM定理以来,一直是公司金融理论研究的起点和基准,但是该模型对企业的融资选择和治理结构却所言甚少。20世纪80年代以来,公司金融领域发生了深远的变化,其中一个主要研究方向就是将信息不对称导致的代理问题引入到企业内部的各个层面上来。如管理层激励、各种索取权的研究等。应用委托代理理论分析各种索取权对企业内部人的激励问题是关于公司金融的微观经济学理论的一个重要分支。本文提到的激励性金融合约设计,所强调的就是投资者如何通过金融合约为内部人设计激励方案减轻道德风险,从而更好地协调内部人和外部人之间利益的问题。本文首先以相关文献研究为依据,将Martimort和Laffont(2002)基于道德风险的委托代理模型应用到企业融资领域,构建了一个道德风险和有限责任框架下的单阶段固定投资模型,分析了企业融资中的信息租金抽取与融资约束问题,并证明在同时存在道德风险和有限责任时,投资者面临着支付企业家事前有限责任租金和激励其努力收益之间的权衡,有限责任导致了企业面临融资约束：在企业家努力的情况下,项目投资给投资者带来的期望净效用必须不小于企业家抽取的信息租金。并以此为基础,简要分析了企业融资约束的影响因素。为了分析企业融资约束的表现形式及其与投资对现金流敏感性之间的关系,在固定投资的委托代理模型中引入多阶段融资模型,研究表明存在融资约束的持续经营企业在遇到(1)外部投资机会、(2)随机的外生的流动性冲击、(3)序列相关的外生的流动性冲击和(4)内生的流动性冲击等情况下投资对现金流具有正的敏感性。为了探讨金融发展对企业融资约束的缓解作用,本文以金融发展的内涵和功能研究为基础,从(1)提供可行性投资机会和资本配置的相关信息,(2)监督企业、改善公司治理,(3)有利于风险管理,(4)动员储蓄、汇集资金,(5)使产品和服务的交换更加便捷等五个方面探讨了金融发展对企业融资约束的缓解作用。并以此为依据,构建了加入金融发展变量的激励性金融合约设计模型,从减少企业内部的道德风险成本和降低市场交易费用两个方面研究了金融发展对企业融资约束的缓解作用。金融信息系统中生产的信息性信号有利于改进企业家的激励契约,减少企业家抽取的信息租金从而缓解融资约束；通过在模型中加入反映市场交易费用的变量证实了金融发展有利于减少企业外部市场的交易费用从而缓解融资约束。最后,本文构建了用以检验企业融资约束存在及金融发展对企业融资约束缓解作用的欧拉方程模型,并进行了实证研究。以数理模型的分析结果为理论依据,利用2006-2011年我国制造业上市公司面板数据和动态面板广义矩估计方法,考察了我国上市公司投资面临的融资约束问题以及金融发展对上市公司融资约束的缓解作用。研究结果表明(1)上市公司的投资与现金流存在显著的正相关关系,即我国上市公司投资普遍存在融资约束现象；(2)金融发展显著缓解了上市公司投资受到的融资约束,上市公司受到的融资约束在金融发展较低的地区比金融发展水平较高的地区要高。
[Abstract]:Since Modigliani and Miller (1958) put forward the MM theorem, it has been the starting point and benchmark of the research on the financial theory of the company, but the financing choice and governance structure of the model is very little. Since the 80s, the financial field of the company has undergone profound changes. One of the main research directions is to lead to information asymmetry. The agency problem is introduced into every aspect of the enterprise, such as the management motivation, the study of all kinds of claims and so on. It is an important branch of the microeconomics theory of corporate finance to analyze the incentive problem of various claim rights to the internal people of the enterprise by applying the principal-agent theory.
The incentive financial contract design mentioned in this paper emphasizes how investors can reduce moral risk by designing incentive schemes for insiders through financial contracts, so as to better coordinate the interests between insiders and outsiders. First, based on relevant literature research, Martimort and Laffont (2002) are based on moral hazard. The principal-agent model is applied to the field of enterprise financing, and a single stage fixed investment model under the framework of moral hazard and limited liability is constructed. The problem of information rent extraction and financing constraints in enterprise financing is analyzed. And it is proved that when there is moral risk and limited liability at the same time, investors are faced with the limited responsibility before paying the enterprise's family affairs. On the balance between rent and incentive, limited liability leads to financing constraints. In the case of entrepreneur, the expected net utility of project investment to investors must not be less than the information rent of entrepreneur extraction. On the basis of this, it analyzes the influence factors of enterprise financing constraints. Analysis of the form of corporate financing constraints and its relationship with the sensitivity of investment to cash flow, the introduction of multi stage financing model in the principal-agent model of fixed investment. The study shows that the continuous operating enterprises with financing constraints encounter (1) external investment opportunities, (2) random exogenous liquidity shocks, and (3) sequence related exogenous enterprises. In the case of liquidity shocks and (4) endogenous liquidity shocks, investment is positively sensitive to cash flow.
In order to explore the alleviating effect of financial development on enterprise financing constraints, this paper is based on the connotation and function of financial development, from (1) providing the relevant information of the feasibility investment opportunities and capital allocation, (2) supervising enterprises, improving corporate governance, (3) benefit risk management, (4) mobilizing savings, collecting funds, and (5) exchange of products and services. More convenient and so on, the five aspects of financial development on the mitigation of enterprise financing constraints are discussed. On the basis of this, an incentive financial contract design model with financial development variables is constructed. The financial constraints are studied from two aspects of reducing the cost of moral risk and reducing the market transaction cost. In the financial information system, the information produced in the financial information system helps to improve the incentive contract of the entrepreneur, reduces the information rent taken by the entrepreneur and alleviates the financing constraints. By adding the variables reflecting the market transaction cost in the model, it is proved that the financial development is beneficial to reduce the transaction cost of the external market of the enterprise and thus it is slow. Solve financing constraints.
Finally, this paper constructs the Euler equation model which is used to test the existence of enterprise financing constraints and the mitigation effect of financial development on enterprise financing constraints, and carries out an empirical study. Based on the theoretical basis of the analysis results of mathematical models, this paper makes use of the panel data and the dynamic panel generalized moment estimation method of China's manufacturing listed companies for 2006-2011 years. The financing constraints faced by the investment of Listed Companies in China and the mitigation effect of financial development on the financing constraints of listed companies. The results show that (1) there is a significant positive correlation between the investment and cash flow of listed companies, that is, there is a common financing phenomenon in the investment of listed companies in China; (2) the financial development has significantly relieved the public listing public. The financing constraints imposed by the company's investment are constrained by the financing constraints of Listed Companies in areas with lower financial development than those with higher financial development level.
【学位授予单位】：华中科技大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F272;F830

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