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題名 資本結構與代理問題－或有求償權評價法
Capital Structure and Agency Problem－Contingent Claim Approach
作者 黃星華
Huang, Hsing-Hua
貢獻者 廖四郎
Liao, Szu-Lang
黃星華
Huang, Hsing-Hua
關鍵詞 資本結構
代理成本
次順位債券
或有求償權評價法
公司價值模型
內生破產
Capital Structure
Agency Cost
subordinated debt
Contingent Claim Approach
Firm Value Model
Endogenous Bankruptcy
日期 2001
上傳時間 18-Apr-2016 16:28:07 (UTC+8)
摘要 本文立基於Merton(1974)或有求償權評價法及Leland(1994)內生破產資本結構模型上，加入次順位債券的考量，建立一個連續時間資本結構分析模型，量化的資本結構可作為企業融資之決策依據。內生破產行為與風險移轉行為都是股東與債權人之間可能產生的代理問題，本文的模型不但分析這兩種代理問題，更計算其所產生的代理成本。由模擬的結果發現內生破產成本雖然不大，但是其對無風險利率及公司非槓桿價值的波動度卻是非常的敏感。在本文的模型下，只要債務契約不能重新訂立，次順位債券的發行永遠都會降低優先債務的價值。在本模型中次順位債券的風險貼水比優先債券的風險貼水高；但是本文發現不管是優先債券或是次順位債券的風險貼水，當公司接近宣告破產時，公司非槓桿價值的波動度對兩種債券風險貼水的影響出現高風險低報酬的現象，可能的解釋理由如下：當公司接近宣告破產時，公司非槓桿價值波動度的增加使破產可能性提高，進而使風險貼水減少的間接力量大於波動度增加直接使風險貼水上升的力量。
Based on Merton(1974) and Leland(1994), we construct a continuous-time capital structure model with subordinated debt. Quantitative results may serve the guidance of financial policy of the firm. Both endogenous bankruptcy and risk shifting behaviors are the agency problems between the equityholders and debtholders. Based on our model, the agency problems is considered and the agency costs are calculated. From the result of simulation, endogenous bankruptcy agency cost is small but sensitive to the volatility of unlevered asset value of the firm. Under renegotiation-proof, the senior debt is harmed by the issuance of the subordinated debt in our model. The risk premium of the subordinate debt is higher than that of the senior debt is confirmed by the model, however, when the firm is near bankruptcy, the behavior of "high risk high return" of both debts is reversed. The reason for the junk bond behavior may be explained as the negative effect of risk premiums due to the increase of the probability of bankruptcy is higher than the positive effect of the greater risk caused by higher volatility.
參考文獻 (一)中文部分
     1. 邱淑芳, 民國81年6月, 以代理成本觀念探討資本結構決定因素, 國立交通大學管理科學研所未出版碩士論文.
     2. 紀景耀, 民國89年7月, 信用風險下可轉換公司債之評價, 國立政治大學金融研究所未出版碩士論文.
     3. 陳樹衡, 民國74年6月, 試論最適股權結構的決定因素-代理成本分析法的應用, 國立台灣大學經濟學研究所未出版碩士論文.
     4. 葉玉芳, 民國88年7月, 公司之債券融資策略-以台灣、美國公司為例, 國立中正大學企業管理研究所未出版碩士論文.
     5. 簡志昇, 民國87年6月, 台灣地區股票上市公司資本結構影響因素之研究, 國立交通大學管理學研究所未出版碩士論文.
     (二)英文部分
     1. Ammann, Manuel, 1999, Pricing Derivative Credit Risk, Springer.
     2. Anderson, Ronald and Suresh Sundaresan, 1996, Design and Valuation of Debt Contracts, Review of Financial Studies v9 n1, P37-68.
     3. Black, F., and M. S. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, P637-654.
     4. Brennan, M., and E. Schwartz, 1978, Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure, Journal of Finance 51, P103-114.
     5. ---------------, 1984, Optimal financial Policy and Firm Valuation, Journal of Finance 39, P593-607.
     6. ---------------, 1995, Corporate Finance Over the Past 25 Years, Financial Management 24, P9-22.
     7. Gordon, M. J., 1989, Corporate Finance Under the MM Theorems, Financial Management 1989 summer, P19-28.
     8. Harris, Milton, and Artur Raviv, 1991, The Theory of Capital Structure, Journal of Finance 44, P297-355.
     9. Ingersoll, J. E., 1987, Theory of Financial Decision Making, Rowman & Littlefield, Savage M.D.
     10. Jensen, M., and R. and W. Meckling, 1976 Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure, Journal of Financial Economics 3, P305-360.
     11. Leland, H. E., 1994, Corporate Debt Value, Bond Covenants, and Optimal Capital Structure, Journal of Finance 49, P1213-1252.
     12. ---------------, and K. B. Toft, 1996, Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads, Journal of Finance 51, P987-1019.
     13. ---------------, 1998, Agency Costs, Risk Management, and Capital Structure, Journal of Finance 53, P1213-1243.
     14. Mella-Barral, Pierre and William P., 1997, Strategic Debt Service, Journal of Finance 1997 June, P531-556.
     15. Mello, A. S. and J.E. Parsons, 1992, Measuring the Agency Costs of Debt, Journal of Finance 47, P1887-1904.
     16. Merton, R. C., 1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance 2, P449-470.
     17. ---------------, 1977, On the Pricing Contingent Claims and the Modigliani-Miller Theorem, Journal of Financial Economics 5, P241-249.
     18. ---------------, 1990, Continuous Time Finance, 2nd Edition, Blackwell, Cambridge M.A.
     19. Miller, M. H., 1977, Debt and Taxes, Journal of Finance 1977 May, P261-275.
     20. Modigliani, F., and M. Miller, 1958, The Cost of Capital, Corporation Finance and the Theory of Investment, American Economic Review 48, P267-297.
     21. ---------------, 1963, Corporate Incomes Taxes and The Cost of Capital: A Correction, American Economic Review 1963 June, P433-443.
     22. Myers, S. C., 1977, Determinants of Corporate Borrowing, Journal of Financial Economics 5, P147-175.
     23. ---------------, 1984, The Capital Structure Puzzle, Journal of Finance 39, P575-592.
     24. ---------------, 2000, A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation, Journal of Banking and Finance 24, P255-269.
     25. Rubinstein, Mark and Eric Reiner, 1991, Breaking Down the Barriers, Risk 4, P28-35.
     26. Ziegler, Alexandre, 1999, A Game Theory Analysis of Options, Springer.
描述 碩士
國立政治大學
金融研究所
88352002
資料來源 http://thesis.lib.nccu.edu.tw/record/#A2002001545
資料類型 thesis
dc.contributor.advisor 廖四郎zh_TW
dc.contributor.advisor Liao, Szu-Langen_US
dc.contributor.author (Authors) 黃星華zh_TW
dc.contributor.author (Authors) Huang, Hsing-Huaen_US
dc.creator (作者) 黃星華zh_TW
dc.creator (作者) Huang, Hsing-Huaen_US
dc.date (日期) 2001en_US
dc.date.accessioned 18-Apr-2016 16:28:07 (UTC+8)-
dc.date.available 18-Apr-2016 16:28:07 (UTC+8)-
dc.date.issued (上傳時間) 18-Apr-2016 16:28:07 (UTC+8)-
dc.identifier (Other Identifiers) A2002001545en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/85402-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 金融研究所zh_TW
dc.description (描述) 88352002zh_TW
dc.description.abstract (摘要) 本文立基於Merton(1974)或有求償權評價法及Leland(1994)內生破產資本結構模型上，加入次順位債券的考量，建立一個連續時間資本結構分析模型，量化的資本結構可作為企業融資之決策依據。內生破產行為與風險移轉行為都是股東與債權人之間可能產生的代理問題，本文的模型不但分析這兩種代理問題，更計算其所產生的代理成本。由模擬的結果發現內生破產成本雖然不大，但是其對無風險利率及公司非槓桿價值的波動度卻是非常的敏感。在本文的模型下，只要債務契約不能重新訂立，次順位債券的發行永遠都會降低優先債務的價值。在本模型中次順位債券的風險貼水比優先債券的風險貼水高；但是本文發現不管是優先債券或是次順位債券的風險貼水，當公司接近宣告破產時，公司非槓桿價值的波動度對兩種債券風險貼水的影響出現高風險低報酬的現象，可能的解釋理由如下：當公司接近宣告破產時，公司非槓桿價值波動度的增加使破產可能性提高，進而使風險貼水減少的間接力量大於波動度增加直接使風險貼水上升的力量。zh_TW
dc.description.abstract (摘要) Based on Merton(1974) and Leland(1994), we construct a continuous-time capital structure model with subordinated debt. Quantitative results may serve the guidance of financial policy of the firm. Both endogenous bankruptcy and risk shifting behaviors are the agency problems between the equityholders and debtholders. Based on our model, the agency problems is considered and the agency costs are calculated. From the result of simulation, endogenous bankruptcy agency cost is small but sensitive to the volatility of unlevered asset value of the firm. Under renegotiation-proof, the senior debt is harmed by the issuance of the subordinated debt in our model. The risk premium of the subordinate debt is higher than that of the senior debt is confirmed by the model, however, when the firm is near bankruptcy, the behavior of "high risk high return" of both debts is reversed. The reason for the junk bond behavior may be explained as the negative effect of risk premiums due to the increase of the probability of bankruptcy is higher than the positive effect of the greater risk caused by higher volatility.en_US
dc.description.tableofcontents 封面頁
     證明書
     論文摘要
     目錄
     第一章 緒論
     第一節 研究動機與目的
     第二節 研究方法與架構
     第二章 文獻回顧與理論探討
     第一節 資本結構理論與代理問題
     第二節 違約風險下公司債的評價方法
     第三章 模型建構及相關問題分析
     第一節 基本假設
     第二節 內生破產下之最適資本結構
     第三節 內生破產的代理問題與代理成本
     第四節 投資不足的問題
     第五節 風險移轉問題與代理成本
     第六節 次順位債券的發行對優先債券之影響
     第七節 優先債券與次順位債券風險貼水之分析
     第四章 模擬分析
     第一節 分析環境設定與基本分析
     第二節 比較靜態分析
     第五章 結論與後續研究建議
     附錄
     參考文獻		zh_TW
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#A2002001545en_US
dc.subject (關鍵詞) 資本結構zh_TW
dc.subject (關鍵詞) 代理成本zh_TW
dc.subject (關鍵詞) 次順位債券zh_TW
dc.subject (關鍵詞) 或有求償權評價法zh_TW
dc.subject (關鍵詞) 公司價值模型zh_TW
dc.subject (關鍵詞) 內生破產zh_TW
dc.subject (關鍵詞) Capital Structureen_US
dc.subject (關鍵詞) Agency Costen_US
dc.subject (關鍵詞) subordinated debten_US
dc.subject (關鍵詞) Contingent Claim Approachen_US
dc.subject (關鍵詞) Firm Value Modelen_US
dc.subject (關鍵詞) Endogenous Bankruptcyen_US
dc.title (題名) 資本結構與代理問題－或有求償權評價法zh_TW
dc.title (題名) Capital Structure and Agency Problem－Contingent Claim Approachen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) (一)中文部分
     1. 邱淑芳, 民國81年6月, 以代理成本觀念探討資本結構決定因素, 國立交通大學管理科學研所未出版碩士論文.
     2. 紀景耀, 民國89年7月, 信用風險下可轉換公司債之評價, 國立政治大學金融研究所未出版碩士論文.
     3. 陳樹衡, 民國74年6月, 試論最適股權結構的決定因素-代理成本分析法的應用, 國立台灣大學經濟學研究所未出版碩士論文.
     4. 葉玉芳, 民國88年7月, 公司之債券融資策略-以台灣、美國公司為例, 國立中正大學企業管理研究所未出版碩士論文.
     5. 簡志昇, 民國87年6月, 台灣地區股票上市公司資本結構影響因素之研究, 國立交通大學管理學研究所未出版碩士論文.
     (二)英文部分
     1. Ammann, Manuel, 1999, Pricing Derivative Credit Risk, Springer.
     2. Anderson, Ronald and Suresh Sundaresan, 1996, Design and Valuation of Debt Contracts, Review of Financial Studies v9 n1, P37-68.
     3. Black, F., and M. S. Scholes, 1973, The Pricing of Options and Corporate Liabilities, Journal of Political Economy 81, P637-654.
     4. Brennan, M., and E. Schwartz, 1978, Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure, Journal of Finance 51, P103-114.
     5. ---------------, 1984, Optimal financial Policy and Firm Valuation, Journal of Finance 39, P593-607.
     6. ---------------, 1995, Corporate Finance Over the Past 25 Years, Financial Management 24, P9-22.
     7. Gordon, M. J., 1989, Corporate Finance Under the MM Theorems, Financial Management 1989 summer, P19-28.
     8. Harris, Milton, and Artur Raviv, 1991, The Theory of Capital Structure, Journal of Finance 44, P297-355.
     9. Ingersoll, J. E., 1987, Theory of Financial Decision Making, Rowman & Littlefield, Savage M.D.
     10. Jensen, M., and R. and W. Meckling, 1976 Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure, Journal of Financial Economics 3, P305-360.
     11. Leland, H. E., 1994, Corporate Debt Value, Bond Covenants, and Optimal Capital Structure, Journal of Finance 49, P1213-1252.
     12. ---------------, and K. B. Toft, 1996, Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads, Journal of Finance 51, P987-1019.
     13. ---------------, 1998, Agency Costs, Risk Management, and Capital Structure, Journal of Finance 53, P1213-1243.
     14. Mella-Barral, Pierre and William P., 1997, Strategic Debt Service, Journal of Finance 1997 June, P531-556.
     15. Mello, A. S. and J.E. Parsons, 1992, Measuring the Agency Costs of Debt, Journal of Finance 47, P1887-1904.
     16. Merton, R. C., 1974, On the Pricing of Corporate Debt: The Risk Structure of Interest Rates, Journal of Finance 2, P449-470.
     17. ---------------, 1977, On the Pricing Contingent Claims and the Modigliani-Miller Theorem, Journal of Financial Economics 5, P241-249.
     18. ---------------, 1990, Continuous Time Finance, 2nd Edition, Blackwell, Cambridge M.A.
     19. Miller, M. H., 1977, Debt and Taxes, Journal of Finance 1977 May, P261-275.
     20. Modigliani, F., and M. Miller, 1958, The Cost of Capital, Corporation Finance and the Theory of Investment, American Economic Review 48, P267-297.
     21. ---------------, 1963, Corporate Incomes Taxes and The Cost of Capital: A Correction, American Economic Review 1963 June, P433-443.
     22. Myers, S. C., 1977, Determinants of Corporate Borrowing, Journal of Financial Economics 5, P147-175.
     23. ---------------, 1984, The Capital Structure Puzzle, Journal of Finance 39, P575-592.
     24. ---------------, 2000, A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation, Journal of Banking and Finance 24, P255-269.
     25. Rubinstein, Mark and Eric Reiner, 1991, Breaking Down the Barriers, Risk 4, P28-35.
     26. Ziegler, Alexandre, 1999, A Game Theory Analysis of Options, Springer.		zh_TW