业绩敏感性债券对资产流动性的影响

发布时间：2018-05-11 12:17

本文选题：业绩敏感性债券 + 资产流动性　；参考：《中国管理科学》2017年12期

【摘要】：假设融资约束型企业采用新型外部融资工具-业绩敏感性债券(PSD)进行融资,以具有风险防范性作用的现金存量为基础变量,考虑企业最优的融资选择和资产流动性问题。由于融资约束型企业需避免有成本的清算和选择适合的分红,通过判断企业现金存量所在的区域,求解优化问题可以得到企业股权价值和债权价值所满足的微分方程,明确边界条件。数值模拟说明:借贷要求比较高的企业会选择PSD作为融资工具,较高的业绩敏感因子通过提升券息与业绩表现的关联度可以提高企业的股权价值,降低债权价值和杠杆。比较静态分析部分说明较高的项目收益率、较大的市场利率、较小的公司税都能推迟分红,增加企业价值,降低杠杆。同时PSD类型债券还能抑制股东"过度风险动机"。"债务保守之谜"对于该类型债券依旧成立。本文的研究丰富了新型融资工具PSD的理论,为融资约束型企业的融资选择和资产流动性的影响提供了一定的理论和实际依据。
[Abstract]:Suppose a new external financing tool, performance sensitive bond (PSDSD), is used for financing, taking the cash stock with risk prevention as the basic variable, the optimal financing choice and asset liquidity are considered. Because the financing constrained enterprises need to avoid the cost of liquidation and choose the appropriate dividend, by judging the region where the cash stock of the enterprise lies, the differential equation of the equity value and the creditor's value can be obtained by solving the optimization problem. Clear boundary conditions. Numerical simulation shows that: enterprises with high borrowing requirements will choose PSD as the financing tool, and the higher performance sensitive factors can improve the equity value and reduce the value of debt and leverage by enhancing the correlation between coupon and performance. The comparative static analysis shows that higher project yield, higher market interest rate and smaller corporate tax can delay dividends, increase enterprise value and reduce leverage. At the same time, the PSD type of bonds can also curb shareholders "excessive risk motivation." The mystery of conservative debt "remains true for that type of bond." The research in this paper enriches the theory of the new financing tool PSD, and provides a certain theoretical and practical basis for the financing choice and the influence of asset liquidity of the financing constrained enterprises.
【作者单位】：湖南大学金融与统计学院;南方科技大学金融系;
【基金】：国家自然科学基金创新群体项目(71521061)
【分类号】：F275

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