本文選題：激勵(lì)性金融合約 + 合約設(shè)計(jì)　； 參考：《華中科技大學(xué)》2013年博士論文

【摘要】：自Modigliani和Miller(1958)提出MM定理以來(lái),一直是公司金融理論研究的起點(diǎn)和基準(zhǔn),但是該模型對(duì)企業(yè)的融資選擇和治理結(jié)構(gòu)卻所言甚少。20世紀(jì)80年代以來(lái),公司金融領(lǐng)域發(fā)生了深遠(yuǎn)的變化,其中一個(gè)主要研究方向就是將信息不對(duì)稱導(dǎo)致的代理問(wèn)題引入到企業(yè)內(nèi)部的各個(gè)層面上來(lái)。如管理層激勵(lì)、各種索取權(quán)的研究等。應(yīng)用委托代理理論分析各種索取權(quán)對(duì)企業(yè)內(nèi)部人的激勵(lì)問(wèn)題是關(guān)于公司金融的微觀經(jīng)濟(jì)學(xué)理論的一個(gè)重要分支。 本文提到的激勵(lì)性金融合約設(shè)計(jì),所強(qiáng)調(diào)的就是投資者如何通過(guò)金融合約為內(nèi)部人設(shè)計(jì)激勵(lì)方案減輕道德風(fēng)險(xiǎn),從而更好地協(xié)調(diào)內(nèi)部人和外部人之間利益的問(wèn)題。本文首先以相關(guān)文獻(xiàn)研究為依據(jù),將Martimort和Laffont(2002)基于道德風(fēng)險(xiǎn)的委托代理模型應(yīng)用到企業(yè)融資領(lǐng)域,構(gòu)建了一個(gè)道德風(fēng)險(xiǎn)和有限責(zé)任框架下的單階段固定投資模型,分析了企業(yè)融資中的信息租金抽取與融資約束問(wèn)題,并證明在同時(shí)存在道德風(fēng)險(xiǎn)和有限責(zé)任時(shí),投資者面臨著支付企業(yè)家事前有限責(zé)任租金和激勵(lì)其努力收益之間的權(quán)衡,有限責(zé)任導(dǎo)致了企業(yè)面臨融資約束：在企業(yè)家努力的情況下,項(xiàng)目投資給投資者帶來(lái)的期望凈效用必須不小于企業(yè)家抽取的信息租金。并以此為基礎(chǔ),簡(jiǎn)要分析了企業(yè)融資約束的影響因素。為了分析企業(yè)融資約束的表現(xiàn)形式及其與投資對(duì)現(xiàn)金流敏感性之間的關(guān)系,在固定投資的委托代理模型中引入多階段融資模型,研究表明存在融資約束的持續(xù)經(jīng)營(yíng)企業(yè)在遇到(1)外部投資機(jī)會(huì)、(2)隨機(jī)的外生的流動(dòng)性沖擊、(3)序列相關(guān)的外生的流動(dòng)性沖擊和(4)內(nèi)生的流動(dòng)性沖擊等情況下投資對(duì)現(xiàn)金流具有正的敏感性。 為了探討金融發(fā)展對(duì)企業(yè)融資約束的緩解作用,本文以金融發(fā)展的內(nèi)涵和功能研究為基礎(chǔ),從(1)提供可行性投資機(jī)會(huì)和資本配置的相關(guān)信息,(2)監(jiān)督企業(yè)、改善公司治理,(3)有利于風(fēng)險(xiǎn)管理,(4)動(dòng)員儲(chǔ)蓄、匯集資金,(5)使產(chǎn)品和服務(wù)的交換更加便捷等五個(gè)方面探討了金融發(fā)展對(duì)企業(yè)融資約束的緩解作用。并以此為依據(jù),構(gòu)建了加入金融發(fā)展變量的激勵(lì)性金融合約設(shè)計(jì)模型,從減少企業(yè)內(nèi)部的道德風(fēng)險(xiǎn)成本和降低市場(chǎng)交易費(fèi)用兩個(gè)方面研究了金融發(fā)展對(duì)企業(yè)融資約束的緩解作用。金融信息系統(tǒng)中生產(chǎn)的信息性信號(hào)有利于改進(jìn)企業(yè)家的激勵(lì)契約,減少企業(yè)家抽取的信息租金從而緩解融資約束；通過(guò)在模型中加入反映市場(chǎng)交易費(fèi)用的變量證實(shí)了金融發(fā)展有利于減少企業(yè)外部市場(chǎng)的交易費(fèi)用從而緩解融資約束。 最后,本文構(gòu)建了用以檢驗(yàn)企業(yè)融資約束存在及金融發(fā)展對(duì)企業(yè)融資約束緩解作用的歐拉方程模型,并進(jìn)行了實(shí)證研究。以數(shù)理模型的分析結(jié)果為理論依據(jù),利用2006-2011年我國(guó)制造業(yè)上市公司面板數(shù)據(jù)和動(dòng)態(tài)面板廣義矩估計(jì)方法,考察了我國(guó)上市公司投資面臨的融資約束問(wèn)題以及金融發(fā)展對(duì)上市公司融資約束的緩解作用。研究結(jié)果表明(1)上市公司的投資與現(xiàn)金流存在顯著的正相關(guān)關(guān)系,即我國(guó)上市公司投資普遍存在融資約束現(xiàn)象；(2)金融發(fā)展顯著緩解了上市公司投資受到的融資約束,上市公司受到的融資約束在金融發(fā)展較低的地區(qū)比金融發(fā)展水平較高的地區(qū)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.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F272;F830

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