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中国管理科学

中国管理科学 ›› 2007, Vol. 15 ›› Issue (4): 14-20.

• 论文 • 上一篇    下一篇

债务容量与成长期权关系研究

薛明皋, 龚朴   

  1. 华中科技大学管理学院财务金融系, 湖北 武汉 430074
  • 收稿日期:2006-07-21 修回日期:2007-06-22 出版日期:2007-08-31 发布日期:2007-08-31
  • 作者简介:薛明皋(1965- ),男(汉族),陕西城固人,华中科技大学管理学院财务金融系,副教授,博士后,研究生导师,研究方向:资本资产定价与公司金融
  • 基金资助:

    国家自然科学基金资助项目(70671047)

A Study on the Relation Between Debt Capacity and Growth Option

XUE Ming-gao, GONG Pu   

  1. Department of Finance, College of Management, Huazhong University of Science and Technology, Wuhan 430074, China
  • Received:2006-07-21 Revised:2007-06-22 Online:2007-08-31 Published:2007-08-31

PDF (PC)

890

被引次数

4

摘要： 本文利用期权博弈方法,探析投资成长期权如何影响公司债务融资决策问题。在不确定条件下,综合考虑利率、税率、债息和债务的期限结构这些影响融资和投资的重要因素,构建期权博弈理论模型,确定企业的最优债务容量,并运用数值方法给出了债务容量与投资成长期权的回报率之间是非线性的"U"形关系的结论。研究表明,当投资成长期权的回报率较低时,债务容量随着投资成长期权的回报率增加而债务容量减少;当投资成长期权的回报率达到较高水平时,债务容量随着投资成长期权的回报率增加而债务容量增加。从而给出了关于债务容量与投资成长期权之间的内在关系的新理论解释。

关键词: 期权博弈, 资本结构, 债务容量, 成长期权

Abstract: Using option game method,it is explored that how the investment growth option affects the debt financing decision of firm.Consider some important factors such as the interest rate,taxrate,interest rate of debt and termstructure of debt,which affect firm's debt financing and investment decisions,the option game theory model of the relation between debt financing and real investment growth option is constructed in uncertainty in this paper.The paper presents the optimal debt capacity,and by numerical analysis shows the non-linear "U" shape relation between debt capacity and growth option.The research shows that when the "U" shape relation states that the rate of return on investment is lower,the optimal debt capacity is decreasing with the rate of return on investment; when the rate of return of investment is at higher level,the optimal debt capacity is increasing with the rate of return on investment.Thus,a new interpretation of the relation between debt financing and real investment growth option is also given.

Key words: option game, capital structure, debt capacity, growth option

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