基于动态公司金融模型的非债务因素对债务代理问题的影响研究

The firm-level debt overhang or high financial leverage will lead to agency cost of conflicts between shareholders and bondholders, which distorts firms’ optimal investment decisions. Meanwhile, it is also noteworthy that the investment could be impacted by other non-debt or operating factors. The joint effect stemmed from debt and non-debt factors unavoidably complicate investment decisions. Unfortunately, previous academic literatures overwhelmingly keep silent on this topic. Considering a variety of factors related to corporate daily operations, this project prepares to investigate three most discussed ones: products market competition, operating leverage and production flexibility. To facilitate the empirical analysis, this project builds a partial equilibrium dynamic model to shed lights on the impact of interaction between each of those non-debt factors and debt financing on corporate investment. Then we conduct discrete-time simulation and perform regression based on the simulated and empirical data. Per request of both theoretic and empirical model settings, this project will solve calculation algorithm for some exotic options applied in dynamic corporate finance, along with establishment of novel empirical proxy for public corporations in China.

企业层面的债务积压或者过高的负债率会导致负债代理问题，进而影响投资决策。但是必须注意到企业投资决策同时也会受到非债务端（经营性）因素影响。这种债务和非债务因素的相互效应导致负债和投资关系变得更加复杂。也是目前国内外学术界普遍忽视的地方。 由于企业的经营端因素有很多，本项目拟研究业界和学术界最为关注的三个因素, 即产品市场竞争，经营杠杆和生产柔性。为了更好地引导实证方向和结果，本项目为此搭建了一套非均衡连续时间动态模型来逐一揭示上述经营因素和债务间相互作用对企业投资的影响。然后对连续时间模型进行离散时间模拟，从而衔接模拟面板数据回归和实证检验。基于整个模型体系和实证需求，本项目同时会解决一些应用在动态公司金融领域的新的奇异期权算法，以及构建适用于中国企业的经营因素指标。

企业层面的债务积压或者过高的负债率会导致负债代理问题，进而影响投资决策。以往文献集中在债务本身对企业信用风险和投资的影响，但是忽略了企业投资决策同时也会受到非债务端（经营性）因素影响。这种债务和非债务因素的相互效应导致负债和投资关系变得更加复杂。本项目调查了三个因素即产品市场竞争，经营杠杆和投资柔性对企业资本结构，债务代理问题，投资择时的影响。为了更好地引导实证方向和结果，本项目为此搭建了一套非均衡连续时间动态模型来逐一揭示上述经营因素和债务间相互作用对企业投资的影响。然后对连续时间模型进行离散时间模拟，从而衔接模拟面板数据回归和实证检验。本项目发现市场竞争加重债务代理负担，但是经营杠杆却可以缓解债务负担对投资的负面作用，以及更加柔性的企业性质能够促进投资并且降低破产风险，实证数据和模拟结果均与理论模型结果一致。.