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題名 道德危險下企業資本結構之研究
作者 楊俊烈
貢獻者 劉維琪
楊俊烈
日期 1990
1989
上傳時間 3-May-2016 14:11:07 (UTC+8)
摘要 論文摘要
當所有者兼經營者向債權人籌資時，由於所有者兼經營者之經營努力水準，債權人無法完全觀察，於是會產生道德危險的問題。債權人必須適當地透過債權期末評價來激勵所有者兼經營者努力於經營以提高公司的價值，由於債權人的債權期末評價會影響債權和權益的期末價值，自會反應在負債比率的變化，所以本文提供了另一研究方向來討論資本結構。本文依據代理理論，分別探討單期、多期和合併代理問題、稅及破產成本的情況下的資本結構，所得幾個重要結論如下：
(1)在單期的考量下，債權人只能從期末公司的價值來推論所有者兼經營者是否努力於經營資，當公司的價值較大(小)時，債權人推論所有者兼經營者有(沒有)致力於經營，於是對債權的期末評價較低(高)以使得權益的價值較高(低)以獎勵(懲罰)所有者兼經營者，所以負債比率較小(大)。
(2)在單期的考量下，再加入稅和破產成本兩因素，企圖合併代理問題和破產成本兩種解釋資本結構的理論，所以除了結論(1)之外資本結構也受到邊際節稅利益和邊際破產成本的影響，當公司的價值較大或邊際破產成本較大時，兩者都會使負債比率變小；反之，當公司的價值較小或邊際節稅利益較大時，兩者都會使負債比率變大。
(3)在多期的情形下，由於債權人可利用當期和未來各期誘因來激勵所有者兼經營者在前期提高經營努力水準，反應在負債比率上是負債比率受到當期公司的價值和前期公司價值水準的影響。此外，所有者兼經營者各期的經營努力水準是前期公司的價值的遞減函數，於是產生「價值平滑化」的現象，而價值平滑化也會使各期的負債比率變異變小。且所有者兼經營者和債權人之間的代理關係愈久，債權人愈有可能利用「分散效果」來降低誘因問題，而負債比率也愈接近充分資訊下的負債比率。
參考文獻 參考文獻

中文部分
李怡宗，"具降低成本誘因的電價政策之研究"，政大企管所未出版碩士論文，民民國78年6月。
吳國山，"臺灣地區股票上市公司資本結構及其決定因素之研究"，中山企研所未出版碩士論文，民國77年6月。
黃英陶，"代理問題對公司資本結構影響之研究"，成大工管所未出版碩士論文，民國77年6月。
陳隆麒譯，現代財務管理，台北：華泰書局，民國77年四版。

英文部分
劉維琪和連文杰，"Pub1ic Utility Pricing and Investment Under Cost Uncertainty ", proceedings of the First International Conference on Comparative Management, Taipei, 1988, p.936.
Allen, Franklin,"Repeated Principal-Agent Relationships with Lending and Borrowing," Economics Letter,17(1985),pp. 27-31.
Barnea, A., Robert A. Haugen, and Lemma W. Senbet,"Market Imperfections,Agency Problem, and Capita1 Structure: A Review, "Financial Management, Summer 1981, pp.7-22.
Barry, Christopher B. and LurraT. Stark, "Investment Management and Risk Sharing with Multiple Managers, "theJournal of Finance,Jun. 1984, pp.484-85.
Beidleman,Carl R.," Income Smothing:the Role of Management, "The Accounting Review, Vol XLVIII No 4, Oct. 1973,pp.653-667.
Black, F. and M. Scholes, "The Pricing of Options and Corporate Liabilities,"Journal of Political Economy, May-June 1973,pp. 637-654.
Bodie, Z. and R. Taggart, "Future Investment Opportunities and the Value of the Cal1 Provision on a Bond, "Journa1 of Finance,Sept. 1978,pp. 1187-1200 .
Brealey,Richard and Stewart Myers,Principals of Corporate Finanee,McGraw-Hill Inc., N.Y., 1984, pp.390-91.
DeAngelo,H. and R. Masulis, "Optirnal Capita1 Strueture underCorporation and Personal Taxation,"Journal of Financial Economics,May 1980,pp.39-65.
Eisenhardt,K. M., "Agency Theory:An Assessment and Review, "Academy of Management Review,1989,Vol 14 No 1,pp.57-74.
Fama,Eugene F.,"Agency Problems and the Thoery of the Firm,"Journal of Politica1 Economy,Vol 88 No 2,Apr.1980,pp.394-95.
Fellingharn,J. C. and M. A. Wolfson, "Taxes and Risk Sharing,"The Accounting Review,Vol LX No 1,Jan 1985,pp.10-17.
Galai,Dan and Ronald W. Masulis,"The Option Pricing Model and the Risk Factor of Stock,"Journl of Financial Economics,Jan-Mar1976,pp.53-81.
Grossman,S. J. and O. D. Hart, "Corporate Financia1 Structure and Managerial Incentives,"in J. McCall ed. The Economics of Information and Uncertainty, University of Chicago Press,1982.
Harris, Milton and Artur Raviv, "Corporate Control Contests and Capital Structure, "Journal of Financial Economics, Jan/Mar 1988,PP.55-86.
Haugen, Robert A. and Lemma Senbet, "New Perspectives on Informational Asymmetry and Agency Relationships, "Journal of Financial and Quantitative AnaIysis, Nov.1979, pp.671-94.
Haugen,Robert A. and Lemma W. Senbet, "The Insignificance of Bankruptcy Costs to Theory of Optimal Capital Structure, "The Journal of Finance, May1978, pp.383-93.
Holmstrom,B., "Moral Hazard and Observability,"Bell Journal of Economics,Spring1979,pp.74-91.
Hommond,P.,"Straightforward Individual Incentive Compatibility in Large Economics,"Review of Economic Studies,Vol 46(1979),pp.263-282.
Jensen,Michael C.,"Agency Cost of the Free Cash Flow, Corporate Finance, and Take over, "American Economic Review, 76, 1986, pp.323-29.
Jensen,M.,"Organization Theory and Methodology,"the Accounting Review, 1983, Vol 56,pp.319-338.
Jensen,M. C. and W. H. Meckling, "Theory of the Firm: Manageria1 Behavior,Agency Costs and Ownership Structure, "Journal of Financial Economics , Oct.1976, pp.305-60.
Jewitt, Ian,"Justifying the First-Order Approach to Principal-Agent Problem, "Rand Journal of Economics, Vol 56 No.5,Sept.1988,pp.1171-1190.
Kalay,A., "Stoekhoider—Bondhoider Confliet and Dividend Constraints, "Journal of Financial Economics, Jul. 1982,p.212.
Kim,E. Han, "A Mean-Variance Theory of Optimal Capital Structure and Corporate Debt Capacity, "The Journal of Finance, Mar.1978, pp.45-63.
Lambert,R. A., "Income Smoothing as Retional Equilibrium Behavior,"The Accounting Review, Vol LIX No4, Oct.1984, pp.608-19.
Lambert, Richard A. "Long-TermContracts and Moral Hazard, "Bell Journal of Economics, Autumn 1983, p.442.
Lang,L., "Managerial Incentives and Capital Strueture: A Geometric Note,"the Wharton School, University of Pennsylvania, 1986.
Leland, H. and D. Py1e, "Informational Asymmetrics, Financial Structure, and Financial Intermediation, "Journal of Finanee, May1977, pp.371-87.
Malcomson,J. M. and Flans Spinnewyn," The Mu1tiperiod Principal-Agent Problem,"
Review of Economic Studies, 1988, pp.391-408.
Milgrom,P., "Good News and Bad News: Representation Theorems and Applications,"
The Bell Journal of Economics, Autum 1981, PP.380-396.
Miller,M. H., "Debt and Taxes," Journal of Finance, May 1977, pp.261-78.
Modigliani,F. and M. H. Miller,"The Cost of Capital, Corporate Finance and the Theory of Investment, "American Economic Review,Jun.1958,pp.261-97.
ModigIiani, F. and M.H.Miller, "Taxes and the Cost of Capital:A Correction, "America of Economic Review, Jun.1963, pp.433-43.
Myers,S. C.,"The Capital Structure Puzzle, "Journal of Finance,Jun.1984,pp.575-592
Myers,S., "Determinants of Corporate Borrowing, "Journal of Financial Economics, Nov.1977, pp.147-176.
Myers,S. C. and N. S. Majluf,"Corporate Financing and Investment Decisions when Firms Have Information that Investors Do Not Have, "Journal of Financial Economics, Jun.1984, pp.187-221.
Pratt.J., "Risk Aversion in the Small and in the Large. "Econornetrica, Jan-Apr 1964, pp.122-136.
Rander,R., "Does Decentralization Promote Wasteful Conflict?,"Bell Laboratories Discussion Paper,1980.
Rees,R.,"The Theory of Principal and Agent: Part 1,"Discussion Paper No. 267, Northwestern University, Evaoston, Illinois, Oct.1984.
Rogerson,William P.,"The First-Order Approach to Principle-Agent Problem,"
Econometria,Vol 53 No.6,Nov.1985,pp.1357-1367.
Ross,S.,"The Determination of Financia1 Strueture: The Incentive-Signa1ling Approach,"Bell Journal of Economics,Spring 1977, pp.23-40.
Rubinstein,A. and M. Yaari " Repeated Insurance Contracts and Moral Hazard,"Journal of Economic Theory,1984.
Scott,James H., "A Theory of Optimal Capita1 Strueture,"Bell Journal of Economics,Spring 1976,pp.33-54.
Smith,Clifford W. and Jerold B. Waroer, "on Financial Contracting—An Analysis of Bond Covenants,"Journal of Financia1 Economics, Jun.1979, pp.117-61.
Stulz,R. and H. Johnson,"An Analysis of Secured Debt,"Journal of Financial Economics,Dec.1985,pp.501-21.
Thakor,V.,"Strategic Issues in Financia1 Contracting: An Overview,"Financial Management,Summer 1989,pp. 39-58.
描述 碩士
國立政治大學
企業管理學系
資料來源 http://thesis.lib.nccu.edu.tw/record/#B2002005234
資料類型 thesis
dc.contributor.advisor 劉維琪zh_TW
dc.contributor.author (Authors) 楊俊烈zh_TW
dc.creator (作者) 楊俊烈zh_TW
dc.date (日期) 1990en_US
dc.date (日期) 1989en_US
dc.date.accessioned 3-May-2016 14:11:07 (UTC+8)-
dc.date.available 3-May-2016 14:11:07 (UTC+8)-
dc.date.issued (上傳時間) 3-May-2016 14:11:07 (UTC+8)-
dc.identifier (Other Identifiers) B2002005234en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/90029-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 企業管理學系zh_TW
dc.description.abstract (摘要) 論文摘要
當所有者兼經營者向債權人籌資時，由於所有者兼經營者之經營努力水準，債權人無法完全觀察，於是會產生道德危險的問題。債權人必須適當地透過債權期末評價來激勵所有者兼經營者努力於經營以提高公司的價值，由於債權人的債權期末評價會影響債權和權益的期末價值，自會反應在負債比率的變化，所以本文提供了另一研究方向來討論資本結構。本文依據代理理論，分別探討單期、多期和合併代理問題、稅及破產成本的情況下的資本結構，所得幾個重要結論如下：
(1)在單期的考量下，債權人只能從期末公司的價值來推論所有者兼經營者是否努力於經營資，當公司的價值較大(小)時，債權人推論所有者兼經營者有(沒有)致力於經營，於是對債權的期末評價較低(高)以使得權益的價值較高(低)以獎勵(懲罰)所有者兼經營者，所以負債比率較小(大)。
(2)在單期的考量下，再加入稅和破產成本兩因素，企圖合併代理問題和破產成本兩種解釋資本結構的理論，所以除了結論(1)之外資本結構也受到邊際節稅利益和邊際破產成本的影響，當公司的價值較大或邊際破產成本較大時，兩者都會使負債比率變小；反之，當公司的價值較小或邊際節稅利益較大時，兩者都會使負債比率變大。
(3)在多期的情形下，由於債權人可利用當期和未來各期誘因來激勵所有者兼經營者在前期提高經營努力水準，反應在負債比率上是負債比率受到當期公司的價值和前期公司價值水準的影響。此外，所有者兼經營者各期的經營努力水準是前期公司的價值的遞減函數，於是產生「價值平滑化」的現象，而價值平滑化也會使各期的負債比率變異變小。且所有者兼經營者和債權人之間的代理關係愈久，債權人愈有可能利用「分散效果」來降低誘因問題，而負債比率也愈接近充分資訊下的負債比率。		zh_TW
dc.description.tableofcontents 目錄：
論文摘要……Ⅰ
目錄……Ⅲ
圖表目錄……Ⅴ
第一章 緒論……1
第一節 研究動機與研究目的……1
第二節 研究方法……5
第三節 研究架構……7
第四節 本文結構……8
附註……9
第二章 文獻探討……11
第一節 有關代理理論……11
第二節 代理理論與資本結構……13
第三節 和資本結構有關的其它研究課題……25
第四節 本文探討問題之相關文獻……28
附註……29
第三章 基本模式之建立……36
第一節 基本模式和假設前提……36
第二節 完全資訊下債權之評價和資本結構……40
第三節 道德危險下債權之評價和資本結構……49
附註……57
第四章 基本模式之引申……61
第一節 考慮稅和破產成本下的評價原則和資本結構……61
第二節 多期情況下的評價原則與資本結構……68
附註……82
第五章 結論與建議……86
第一節 結論……86
第二節 建議……88
參考文獻……90

圖表目錄
圖1-1 道德危險下企業資本結構之研究架構圖……7
圖2-1 不同負債融資程度下，稅前息前盈餘分佈圖……16
圖2-2 財務槓桿對公司股價所造成的效果……18
圖2-3 財務槓桿對公司現值的影響……19
圖2-4 有負債融資時的投資決策……21
表2-1 群體間利益衝突產生的代理問題與代理成本……23
圖3-1 完全資訊及道德危險時公司價值分配模式……37
圖3-2 當i變動時，公司的價值x之機率密度函數f(x|i) 和分配數F(x|i) 的變動情形……38
圖4-1 在第t期中，公司的價值Xi的機率密度函數f(xt|it) 和分配函數F(xt|it) 的變動情形……69
圖4-2 完全資訊及道德危險下兩期評價原則的模式……71		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#B2002005234en_US
dc.title (題名) 道德危險下企業資本結構之研究zh_TW
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 參考文獻

中文部分
李怡宗，"具降低成本誘因的電價政策之研究"，政大企管所未出版碩士論文，民民國78年6月。
吳國山，"臺灣地區股票上市公司資本結構及其決定因素之研究"，中山企研所未出版碩士論文，民國77年6月。
黃英陶，"代理問題對公司資本結構影響之研究"，成大工管所未出版碩士論文，民國77年6月。
陳隆麒譯，現代財務管理，台北：華泰書局，民國77年四版。

英文部分
劉維琪和連文杰，"Pub1ic Utility Pricing and Investment Under Cost Uncertainty ", proceedings of the First International Conference on Comparative Management, Taipei, 1988, p.936.
Allen, Franklin,"Repeated Principal-Agent Relationships with Lending and Borrowing," Economics Letter,17(1985),pp. 27-31.
Barnea, A., Robert A. Haugen, and Lemma W. Senbet,"Market Imperfections,Agency Problem, and Capita1 Structure: A Review, "Financial Management, Summer 1981, pp.7-22.
Barry, Christopher B. and LurraT. Stark, "Investment Management and Risk Sharing with Multiple Managers, "theJournal of Finance,Jun. 1984, pp.484-85.
Beidleman,Carl R.," Income Smothing:the Role of Management, "The Accounting Review, Vol XLVIII No 4, Oct. 1973,pp.653-667.
Black, F. and M. Scholes, "The Pricing of Options and Corporate Liabilities,"Journal of Political Economy, May-June 1973,pp. 637-654.
Bodie, Z. and R. Taggart, "Future Investment Opportunities and the Value of the Cal1 Provision on a Bond, "Journa1 of Finance,Sept. 1978,pp. 1187-1200 .
Brealey,Richard and Stewart Myers,Principals of Corporate Finanee,McGraw-Hill Inc., N.Y., 1984, pp.390-91.
DeAngelo,H. and R. Masulis, "Optirnal Capita1 Strueture underCorporation and Personal Taxation,"Journal of Financial Economics,May 1980,pp.39-65.
Eisenhardt,K. M., "Agency Theory:An Assessment and Review, "Academy of Management Review,1989,Vol 14 No 1,pp.57-74.
Fama,Eugene F.,"Agency Problems and the Thoery of the Firm,"Journal of Politica1 Economy,Vol 88 No 2,Apr.1980,pp.394-95.
Fellingharn,J. C. and M. A. Wolfson, "Taxes and Risk Sharing,"The Accounting Review,Vol LX No 1,Jan 1985,pp.10-17.
Galai,Dan and Ronald W. Masulis,"The Option Pricing Model and the Risk Factor of Stock,"Journl of Financial Economics,Jan-Mar1976,pp.53-81.
Grossman,S. J. and O. D. Hart, "Corporate Financia1 Structure and Managerial Incentives,"in J. McCall ed. The Economics of Information and Uncertainty, University of Chicago Press,1982.
Harris, Milton and Artur Raviv, "Corporate Control Contests and Capital Structure, "Journal of Financial Economics, Jan/Mar 1988,PP.55-86.
Haugen, Robert A. and Lemma Senbet, "New Perspectives on Informational Asymmetry and Agency Relationships, "Journal of Financial and Quantitative AnaIysis, Nov.1979, pp.671-94.
Haugen,Robert A. and Lemma W. Senbet, "The Insignificance of Bankruptcy Costs to Theory of Optimal Capital Structure, "The Journal of Finance, May1978, pp.383-93.
Holmstrom,B., "Moral Hazard and Observability,"Bell Journal of Economics,Spring1979,pp.74-91.
Hommond,P.,"Straightforward Individual Incentive Compatibility in Large Economics,"Review of Economic Studies,Vol 46(1979),pp.263-282.
Jensen,Michael C.,"Agency Cost of the Free Cash Flow, Corporate Finance, and Take over, "American Economic Review, 76, 1986, pp.323-29.
Jensen,M.,"Organization Theory and Methodology,"the Accounting Review, 1983, Vol 56,pp.319-338.
Jensen,M. C. and W. H. Meckling, "Theory of the Firm: Manageria1 Behavior,Agency Costs and Ownership Structure, "Journal of Financial Economics , Oct.1976, pp.305-60.
Jewitt, Ian,"Justifying the First-Order Approach to Principal-Agent Problem, "Rand Journal of Economics, Vol 56 No.5,Sept.1988,pp.1171-1190.
Kalay,A., "Stoekhoider—Bondhoider Confliet and Dividend Constraints, "Journal of Financial Economics, Jul. 1982,p.212.
Kim,E. Han, "A Mean-Variance Theory of Optimal Capital Structure and Corporate Debt Capacity, "The Journal of Finance, Mar.1978, pp.45-63.
Lambert,R. A., "Income Smoothing as Retional Equilibrium Behavior,"The Accounting Review, Vol LIX No4, Oct.1984, pp.608-19.
Lambert, Richard A. "Long-TermContracts and Moral Hazard, "Bell Journal of Economics, Autumn 1983, p.442.
Lang,L., "Managerial Incentives and Capital Strueture: A Geometric Note,"the Wharton School, University of Pennsylvania, 1986.
Leland, H. and D. Py1e, "Informational Asymmetrics, Financial Structure, and Financial Intermediation, "Journal of Finanee, May1977, pp.371-87.
Malcomson,J. M. and Flans Spinnewyn," The Mu1tiperiod Principal-Agent Problem,"
Review of Economic Studies, 1988, pp.391-408.
Milgrom,P., "Good News and Bad News: Representation Theorems and Applications,"
The Bell Journal of Economics, Autum 1981, PP.380-396.
Miller,M. H., "Debt and Taxes," Journal of Finance, May 1977, pp.261-78.
Modigliani,F. and M. H. Miller,"The Cost of Capital, Corporate Finance and the Theory of Investment, "American Economic Review,Jun.1958,pp.261-97.
ModigIiani, F. and M.H.Miller, "Taxes and the Cost of Capital:A Correction, "America of Economic Review, Jun.1963, pp.433-43.
Myers,S. C.,"The Capital Structure Puzzle, "Journal of Finance,Jun.1984,pp.575-592
Myers,S., "Determinants of Corporate Borrowing, "Journal of Financial Economics, Nov.1977, pp.147-176.
Myers,S. C. and N. S. Majluf,"Corporate Financing and Investment Decisions when Firms Have Information that Investors Do Not Have, "Journal of Financial Economics, Jun.1984, pp.187-221.
Pratt.J., "Risk Aversion in the Small and in the Large. "Econornetrica, Jan-Apr 1964, pp.122-136.
Rander,R., "Does Decentralization Promote Wasteful Conflict?,"Bell Laboratories Discussion Paper,1980.
Rees,R.,"The Theory of Principal and Agent: Part 1,"Discussion Paper No. 267, Northwestern University, Evaoston, Illinois, Oct.1984.
Rogerson,William P.,"The First-Order Approach to Principle-Agent Problem,"
Econometria,Vol 53 No.6,Nov.1985,pp.1357-1367.
Ross,S.,"The Determination of Financia1 Strueture: The Incentive-Signa1ling Approach,"Bell Journal of Economics,Spring 1977, pp.23-40.
Rubinstein,A. and M. Yaari " Repeated Insurance Contracts and Moral Hazard,"Journal of Economic Theory,1984.
Scott,James H., "A Theory of Optimal Capita1 Strueture,"Bell Journal of Economics,Spring 1976,pp.33-54.
Smith,Clifford W. and Jerold B. Waroer, "on Financial Contracting—An Analysis of Bond Covenants,"Journal of Financia1 Economics, Jun.1979, pp.117-61.
Stulz,R. and H. Johnson,"An Analysis of Secured Debt,"Journal of Financial Economics,Dec.1985,pp.501-21.
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