摘要
本文利用实物期权方法在风险中性概率测试下研究公司的债务与内生破产问题。将公司破产与接管理解为股东和债权人持有的期权,在得到写在公司资产上的各种相机权益的价值后,本文详细讨论风险债务的债权人在公司破产时选择破产清算或破产营运时公司债务水平与破产决策之间的关系,分析了不同杠杆水平的公司破产决策问题,发现公司债务对公司的破产决策具有重要影响。杠杆公司股东策略违约的破产时间与公司价值最大化的时间通常不一致,破产导致公司价值损失;而且由于杠杆融资,公司破产时间与纯股本公司破产时间不一致,破产带来效率损失。本文的分析对我国公司债务与破产政策的研究具有一定借鉴意义。
This paper adopts the real option approach to examine corporate debt and endogenous bankruptcy in a risk-neutral framework.While corporate bankruptcy and taking over understood as the options held by the equity holders and the creditor,bankruptcy decisions of different levered corporate are discussed in detail after the values of contingent claims on the corporate assets having been obtained.Corporate bankruptcy is endogenously determined by maximizing the value of equity claims.Corporate default bankruptcy moment isn't consistent with one maximizing corporate value to incur loss of value.Furthermore, levered corporate bankruptcy moment isn't consistent with one of pure equity corporate to incur loss of efficiency.The survey shows that debt has important effects on corporate bankruptcy decisions.The analysis in the paper can be used as a reference to study on Chinese corporate debt and bankruptcy problems.
出处
《管理工程学报》
CSSCI
2005年第1期95-99,共5页
Journal of Industrial Engineering and Engineering Management
基金
国家自然科学基金(70301003)。
关键词
实物期权
内生破产
破产清算
破产营运
real option
endogenous bankruptcy
liquidation bankruptcy
operating concern bankruptcy
