关键词: 信息不对称, 逆周期缓冲资本, 投融资, 信号传递

Abstract: Countercyclical contingent capital (CCC) is a financial innovation product proposed and gradually implemented in 2009 in response to the financial crisis. It is widely used in Asian and European countries, and theoretical research on this product is also in the ascendant. At the same time, it is noticed that domestic issuers are mostly small and medium-sized Banks with inadequate information disclosure and supervision, which leads to the weak applicability of existing research results on CCC to domestic institutions. Thus, it is of theoretical and practical significance to introduce information asymmetry into countercyclical contingent capital. So in order to gain an insight into the impact of countercyclical contingent capital on investment and financing decision under asymmetric information, a dynamic game model of corporate investment and financing decisions with CCC is developed by using real options signaling model under asymmetric information. Firstly, the risk-neutral pricing of banks’ securities are calculated under full information benchmark in which all outside investors have full information about the banks’ investment projects. In addition, to illustrate the characteristics of CCC, straight bonds for comparison are introduced. In this paper, the difference between CCC and straight bonds is that once the investment threshold is lower than the regulatory requirements, CCC will convert into the equity of β times (i.e. conversion rate). Before analyzing the effects of asymmetric information on equilibrium investment strategies, it starts by proving single-crossing condition under which banks with low operating cost send signals through the investment threshold is feasible. Then, the corresponding investment threshold and the least cost separating equilibrium is given by the incentive compatibility constraint. Using this result, it is show that asymmetric information leads to adverse selection cost and abnormal return for low-cost banks. Finally, the general rules of the influence mechanisms of each risk factor are obtained by simulation. The simulation results show that CCC induces banks to implement the project earlier than straight bonds, reduces investment distortions caused by asymmetric information, decreases the cost of adverse selection, lower the fluctuation degree of public belief about banks’ quality. More importantly, CCC can eliminate the cost of adverse selection by designing an appropriate conversion rate. At the same time, the results indicate that low-cost banks are more inclined to issue CCC.

Key words: asymmetric information, countercyclical contingent capital, investment and financing, signaling