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利用实物期权方法,在担保换股权下研究中小企业投资和融资问题。给出了公司证券和担保成本的均衡定价;确定了最优扩张时机、最优生产规模和最优融资结构的相互关系;分析了债务担保对扩张时机、投资规模和担保成本的影响。经济分析表明:风险较小时,企业倾向于债务融资;相反,较大的风险会使中小企业减少甚至放弃债务担保。比较静态分析表明:企业收益与市场组合收益的相关性越大,投资越早;与股权扩张的中小企业相比,担保提高了企业的生产规模和公司价值。
Using the real option method, under the guarantee of conversion rights to study the issue of SME investment and financing. The equilibrium pricing of corporate securities and guarantee costs is given. The relationship between the optimal expansion timing, the optimal production scale and the optimal financing structure is determined. The effect of debt guarantee on the expansion timing, investment scale and guarantee cost is analyzed. Economic analysis shows that: when the risk is small, companies tend to debt financing; on the contrary, greater risk will enable SMEs to reduce or even give up debt guarantees. The comparative static analysis shows that the greater the correlation between corporate earnings and market portfolio returns, the earlier the investment will be; and the guarantee improves the production scale and the corporate value of the enterprise compared with the SMEs whose equity is expanded.