运营时滞、债务协商和可转债融资企业投资决策研究
|
摘要
在运营时滞的背景下,将债务协商机制引入到利用股权和可转债融资的上市企业,建立动态模型分析企业的投资问题。数值分析表明:在相同的运营时滞下,如果股东谈判能力较弱(强),相比于破产清算,债务协商会加速(推迟)投资;项目首次投资成本和股东谈判能力会同时影响运营时滞与企业投资水平之间的关系。当首次投资成本低时,随着运营时滞增加,较强(弱)的股东谈判能力会推迟(加速)投资;当首次投资成本较高时,运营时滞增加会推迟投资,但股东谈判能力越强,推迟程度越小;债务协商可以提高实物期权价值,并且实物期权价值和股东谈判能力成正比,和运营时滞成反比。
This paper introduces debt renegotiation into convertible debt financing, and analyses debt renegotiation effects on investment under implementation lags. The main finding is that debt renegotiation can have substantially effects on investment under implementation lags. First, under same implementation lags, if the equity holders' bargaining power is strong(weak), the investment threshold under debt renegotiation is higher(lower) than the investment threshold under bankruptcy. Second, the investment cost on the first stage and equity holders' bargaining power have effects on the relation between implementation lags and investment threshold. With implementation lags getting longer, when the cost of first stage is low, strong(weak) bargaining power will delay(accelerate) investment; when the cost of first stage is high, investment will be delayed, but the stronger equity holders' bargaining power is, the lower degree of delay. Last, debt renegotiation can increase real options value, and it is proportional to equity holders' bargaining power, and inversely proportional to implementation lags.
This paper introduces debt renegotiation into convertible debt financing, and analyses debt renegotiation effects on investment under implementation lags. The main finding is that debt renegotiation can have substantially effects on investment under implementation lags. First, under same implementation lags, if the equity holders' bargaining power is strong(weak), the investment threshold under debt renegotiation is higher(lower) than the investment threshold under bankruptcy. Second, the investment cost on the first stage and equity holders' bargaining power have effects on the relation between implementation lags and investment threshold. With implementation lags getting longer, when the cost of first stage is low, strong(weak) bargaining power will delay(accelerate) investment; when the cost of first stage is high, investment will be delayed, but the stronger equity holders' bargaining power is, the lower degree of delay. Last, debt renegotiation can increase real options value, and it is proportional to equity holders' bargaining power, and inversely proportional to implementation lags.
引文
[1] Lyandres E, Zhdanov A. Convertible debt and investment timing[J]. Journal of Corporate Finance, 2014, 24:21-37.
[2] Myers S C. The determinants of corporate investment borrowing[J]. Journal of Financial Economics, 1977, 5(2): 147-175.
[3] Yagi K, Takashima R. The impact of convertible debt financing on investment timing[J]. Economic modelling, 2012, 29, 2407-2416.
[4] Fan H, Sundaresan S. Debt Valuation, Renegotiation, and Optimal Dividend Policy[J]. Rivew of Financial Studies, 2000, 13(4): 1057-1099.
[5] Sundaresan S, Wang N. Investment under Uncertainty with Strategic Debt Service[J]. American Economic Review, 2007, 97(2): 256-261.
[6] Shibata T, Nishihara M. Investment-based financing constraints and debt renegotiation[J]. Journal of banking & finance, 2015, 51: 79-92.
[7] Dixit A, Pindyck R S. Investment Under Uncertainty[M]. Princeton University Press. 1994, Princeton, NJ.
[8] Bar-Ilan A, Strange W C. Investment lags[J]. American Economic Review, 1996, 86, 610-622.
[9] Milne A. Whalley A E. Time to build, options value and investment decisions’: a comment [J]. Journal of Financial Economics, 2000, 56, 325-332.
[10] Sarkar S, Zhang C. Implementation lag and the investment decision[J]. Economic Letters, 2013, 119, 136-140.
[11] Alvarez L H R, Keppo J. The impact of delivery lags on irreversible investment under uncertainty[J]. European Journal of Operational Research, 2002, 136, 173-180.
[12] Sarkar S, Zhag C. Investment policy with time-to-build[J]. Journal of Banking & Finance, 2015, 55, 142-156.
[13] Leland H. Corporate Debt Value, Bond Covenants, and Optimal Capital Structure[J]. Journal of Finance, 1994, 49(4): 1213-1252.
[2] Myers S C. The determinants of corporate investment borrowing[J]. Journal of Financial Economics, 1977, 5(2): 147-175.
[3] Yagi K, Takashima R. The impact of convertible debt financing on investment timing[J]. Economic modelling, 2012, 29, 2407-2416.
[4] Fan H, Sundaresan S. Debt Valuation, Renegotiation, and Optimal Dividend Policy[J]. Rivew of Financial Studies, 2000, 13(4): 1057-1099.
[5] Sundaresan S, Wang N. Investment under Uncertainty with Strategic Debt Service[J]. American Economic Review, 2007, 97(2): 256-261.
[6] Shibata T, Nishihara M. Investment-based financing constraints and debt renegotiation[J]. Journal of banking & finance, 2015, 51: 79-92.
[7] Dixit A, Pindyck R S. Investment Under Uncertainty[M]. Princeton University Press. 1994, Princeton, NJ.
[8] Bar-Ilan A, Strange W C. Investment lags[J]. American Economic Review, 1996, 86, 610-622.
[9] Milne A. Whalley A E. Time to build, options value and investment decisions’: a comment [J]. Journal of Financial Economics, 2000, 56, 325-332.
[10] Sarkar S, Zhang C. Implementation lag and the investment decision[J]. Economic Letters, 2013, 119, 136-140.
[11] Alvarez L H R, Keppo J. The impact of delivery lags on irreversible investment under uncertainty[J]. European Journal of Operational Research, 2002, 136, 173-180.
[12] Sarkar S, Zhag C. Investment policy with time-to-build[J]. Journal of Banking & Finance, 2015, 55, 142-156.
[13] Leland H. Corporate Debt Value, Bond Covenants, and Optimal Capital Structure[J]. Journal of Finance, 1994, 49(4): 1213-1252.