最优长期合同下的企业投融资决策
Investment and financing decisions under optimal long-term contracting

作为金融市场摩擦之一的代理问题可能导致非效率的企业投资融资决策, 本文在企业进行扩张投资和债 务融资的基础上, 构建动态委托代理模型. 首先基于管理者不可观测的努力和储蓄行为进行最优合同设计, 利用鞅 方法得到了管理者价值函数满足的随机微分方程, 并在此基础上给出合同激励相容下价值函数均衡演变的充分必 要条件. 其次, 运用随机控制方法, 推导企业价值满足的微分方程, 同时给出了合同的解及最优投资触发水平满足的 条件. 最后, 讨论在不同融资情形下, 合同预定努力程度随企业现金流变化的不同趋势, 给出相应解释, 并指出相关 参数与最优投资触发水平及企业价值之间的变动关系.
One important source of financial market frictions involves agency problems which can distort investment and financing decisions. In this paper we develop a dynamic principal-agent model which is based on expand investment and debt financing. Firstly, we consider an optimal contract design problem that assumes unobservable effort and savings of agent. Stochastic differential equation of the agent’s continuation value function is provided by using martingale method. Then we obtain a necessary and sufficient condition for the equilibrium evolution of agent’s value function when contract is incentive compatible. Furthermore, this paper gets the differential equation for the enterprise value where the solution of contracting and optimal level of investment trigger can be obtained at the same time. Finally, we show and explain the different results of optimal effort policy with the corporate cash flow changes under different financing situation. The relationships between the investment trigger level (enterprise value) and the related coefficients are also discussed.