實質選擇權、非對稱性競爭與最適資本結構

以作者查詢圖書館館藏

、以作者查詢臺灣博碩士

、以作者查詢全國書目

、勘誤回報

、線上人數：60

、訪客IP：18.217.26.8

姓名

蔡明宏(Min-Hung Tsay) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

實質選擇權、非對稱性競爭與最適資本結構
(Real Options, Asymmetric Competition, and Optimal Capital Structure)

相關論文

★ 最適指數複製法之自動化建置：以ETF50為例	★ 台灣公債市場與台幣利率交換交易市場動態關聯性之研究
★ 企業貸款債權證券化--信用增強探討	★ 停損點反向操作指標在台灣期貨市場實證
★ 投資型保單評價-富邦金吉利保本投資連結型遞延年金保險乙型(VANB5)	★ 停損點反向操作指標在台灣債券市場實證
★ 匯率風險值衡量之實證研究-以新台幣、日圓、英鎊、歐元匯率為例	★ 探討央行升息國內十年期指標公債未同步上升之原因
★ 信用風險模型評估—Merton模型之應用	★ 資產管理公司購買不動產擔保不良債權評價之研究
★ 股票除息對期貨與現貨報酬之影響	★ 主權基金的角色定位與未來影響力之研究
★ 我國公債期貨之研究分析	★ 用事件研究法探討希臘主權債信危機-以美國及德國公債為例
★ 企業避險及財務操作之實例探討	★ 台灣期貨市場之量價交易策略

檔案

[Endnote RIS 格式]

[Bibtex 格式]

[相關文章]

[文章引用]

[完整記錄]

[館藏目錄]

[檢視]

[下載]

本電子論文使用權限為同意立即開放。
已達開放權限電子全文僅授權使用者為學術研究之目的，進行個人非營利性質之檢索、閱讀、列印。
請遵守中華民國著作權法之相關規定，切勿任意重製、散佈、改作、轉貼、播送，以免觸法。

摘要(中)

本篇論文主要探討在一個動態非對稱性雙佔產品市場中市場競爭程度對於廠商最適投資、融資與破產決策和最適資本結構的影響。首先我們發現無論在序列投資均衡或先佔投資均衡中，具收益優勢的廠商會成為優先進入產品市場的市場領導者，
而具收益劣勢的廠商為市場跟隨者。此外，具收益劣勢的廠商成為優先離開市場的輸家，而具收益優勢的廠商為贏家。在領導廠商方面，我們發現在序列投資均衡中當市場競爭程度增加時，廠商的最適投資臨界值、負債比率與信用利差皆會上升。
然而在先佔投資均衡中廠商的最適投資臨界值與負債比率將會隨著市場競爭程度的增加而先上升後下降，但信用利差與市場競爭程度的關係則不明確。在跟隨廠商方面，廠商的最適投資臨界值在序列投資均衡中將會隨著市場競爭程度的增加而下降，但在先佔投資均衡中廠商的最適投資臨界值將會先上升後下降。其次我們發現無論在序列或先佔投資均衡中市場競爭程度皆不會影響跟隨廠商的最適負債比率與信用利差。綜上所述，市場競爭程度對於廠商的最適決策與財務結構之影響方式將會隨著廠商在市場中所處位置不同而有顯著的差異。最後我們發現當投資成本增加時，領導廠商的最適負債比率與信用利差皆無一致性的變動方向，且跟隨廠商的最適負債比率與信用利差皆不受影響。

摘要(英)

This dissertation investigates the interaction between product market competition and firm′s optimal capital structure in an dynamic asymmetric duopoly model. The paper first shows that in both sequential and preemption investment equilibria, the firm with profit advantage is the leader (the first firm enters the market), and the other is the loser (the first firm exits the market). On the leader′s side, we first find that in sequential investment equilibrium, the leader′s optimal investment trigger, leverage ratio and credit spread increase with market competition. Next, we see in preemptive investment equilibrium that both the leader′s optimal investment trigger and leverage ratio first increase and then decrease with market competition, and the relationship between its optimal credit spread and market competition is ambiguous.
On the loser′s side, we show that its optimal investment trigger decreases with market competition in sequential investment equilibrium, but first increases and then decreases with market competition in preemptive investment equilibrium. Furthermore, competition does not affect the loser′s optimal leverage ratio and credit spread in both types of equilibria. Our results imply that the effect of market competition on a firm′s optimal decisions and financial structures significantly depends on a firm′s position in the market. Finally, we show that the leader′s optimal leverage ratio and credit spread vary with irreversible investment cost non-monotonically, but both the loser′s optimal leverage ratio and credit spread do not vary with irreversible investment cost.

關鍵字(中)

★ 實質選擇權
★ 最適資本結構
★ 雙佔市場競爭
★ 信用利差

關鍵字(英)

★ Real options
★ Optimal capital structure
★ Duopoly
★ Credit spread

論文目次

謝詞 i
中文摘要 ii
Abstract iii
Table of Contents iv
List of Figures v
List of Tables vi
1 Introduction 1
2 The Model 10
3 The Optimal Strategies of Firms 16
3.1 The optimal duopolistic bankruptcy strategies of firms . . . . . 16
3.2 The optimal entry and financing strategies of the follower . . . . 18
3.3 The optimal entry, financing and bankruptcy strategies of the leader . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24
3.4 The Market Equilibria . . . . . . . . . . . . . . . . . . . . . . . 31
4 The Equilibrium Results under Asymmetric Competition 35
4.1 The benchmark case . . . . . . . . . . . . . . . . . . . . . . . . 35
4.2 The effect of market competition on the leader . . . . . . . . . . 39
4.3 The effect of market competition on the follower . . . . . . . . . 50
5 Comparative Statics and Their Implications 58
6 Conclusions 72
Appendix 75
References 85

參考文獻

Brander, J. A. and T. R. Lewis, 1986, Oligopoly and Financial Structure: The Limited Liability Effect. American Economic Review 76, 956-970.
Chu, Y., 2009, Optimal Capital Structure, Capacity Choice, and Product Market Competition. Working Paper, University of South Carolina.
Covitz, D. and C. Downing, 2007, Liquidity or Credit Risk? The Determinants of Very Short-Term Corporate Yield Spreads. Journal of Finance 62, 2303-2328.
Frank, M. Z. and V. K. Goyal, 2009, Capital Structure Decisions: Which Factors Are Reliably Important? Financial Management 38, 1-37.
Fresard, L., and P. Valta, 2014, How Does Corporate Investment Respond to Increased Entry Threat? Working Paper, University of Maryland.
Fries, S., Miller, M., and W. Perraudin, 1997, Debt in Industry Equilibrium. Review of Financial Studies 10, 39-67.
Hopenhayn, H. A. and F. Squintani, 2011, Preemption Games with Private Information. Review of Economic Studies 78, 667-692.
Huang, H.-H., Huang, H., and P.-T. Shih, 2012, Real Options and Earnings-Based Bonus Compensation. Journal of Banking and Finance 36, 2389-2402.
Huang, H.-H. and H.-S. Lee, 2013, Product Market Competition and Credit Risk. Journal of Banking and Finance 37, 324-340.
Jensen, M. and W. Meckling, 1976, Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure. Journal of Financial Economics 3, 305-360.
Jou, J. B. and T. Lee, 2008, Irreversible Investment, Financing, and Bankruptcy Decisions in an Oligopoly. Journal of Financial and Quantitative Analysis 43, 769-786.
Kraus, A. and R. H. Litzenberger, 1973, A State-Preference Model of Optimal Financial Leverage. Journal of Finance 33, 911-922.
Lambrecht, B., 2001, The Impact of Debt Financing on Entry and Exit in a Duopoly. Review of Financial Studies 14, 765-804.
Lambrecht, B. and W. R. Perraudin, 2003, Real Options and Preemption under Incomplete Information. Journal of Economic Dynamics and Control 27, 619-643.
Leland, H. E., 1994, Corporate Debt Value, Bond Covenants, and Optimal Capital Structure. Journal of Finance 49, 1213-1252.
Leland, H. E., 1998, Agency Costs, Risk Measurement, and Capital Structure. Journal of Finance 53, 1213-1243.
Leland, H. E., 2004, Predictions of Default Probabilities in Structural Models of Debt. Journal of Investment Management 2, 5-20.
Lyandres, E., 2006, Capital Structure and Interaction among Firms in Output Markets: Theory and Evidence. Journal of Business 79, 2381-2421.
MacKay, P. and G. M. Phillips, 2005, How Does Industry Affect Firm Financial Structure? Review of Financial Studies 18, 1433-1466.
Maksimovic, V., 1990, Capital Structure in Repeated Oligopolies. Rand Journal of Economics 19, 389-407.
Mauer, D. and S. Sarkar, 2005, Real Options, Agency Conflicts, and Optimal Capital Structure. Journal of Banking and Finance 29, 1405-1428.
Miao, J., 2005, Optimal Capital Structure and Industry Dynamics. Journal of Finance 6, 2621-2659.
Myers, S. C., 1977, Determinants of Corporate Borrowing. Journal of Financial Economics 9, 147-175.
Nishihara, M. and T. Shibata, 2010, Interactions Between Preemptive Competition and a Financing Constraint. Journal of Economics and Management Strategy 19, 1013-1042.
Nishihara, M. and T. Shibata, 2014, Preemption, Leverage, and Financing Constraints. Forthcoming in Review of Financial Economics.
Plummer, E., 2002, The Effect of Tax Rate Changes on the Yield Spread Between Corporate and Municipal Bonds. Advances in Taxation 14, 271-307.
Rajan, R. G. and L. Zingales, 1995, What Do We Know about Capital Structure? Some Evidence from International Data. Journal of Finance 50, 1421-1460.
Ravid, S. A., 1988, On the Interactions of Production and Financial Decisions. Financial Management 17, 87-99.
Sarkar, S., 2008, Can Tax Convexity be Ignored in Corporate Financing Decisions? Journal of Banking and Finance 32, 1310-1321.
Showalter, D., 1995, Oligopoly and Financial Structure: a Comment. American Economics Review 85, 647-653.
Sundaresan, S. and N. Wang, 2007a, Investment under Uncertainty with Strategic Debt Service. American Economic Review 97, 256-261.
Sundaresan, S. and N. Wang, 2007b, Dynamic Investment, Capital Structure, and Debt Overhang. Working Paper, Columbia University.
Valta, P., 2012, Competition and the Cost of Debt. Journal of Financial Economics 105, 661-682.
Williams, J. T., 1995, Financial and Industrial Structure with Agency. Review of Financial Studies 8, 431-474.
Zhdanov, A., 2007, Competitive Equilibrium with Debt. Journal of Financial and Quantitative Analysis 42, 709-734.
Zhdanov, A., 2008, Optimal Capital Structure in a Duopoly. Working Paper, University of Lausanne.

指導教授

張傳章、石百達
(Chuang-Chang Chang、 Pai-Ta Shih)

審核日期

2014-6-24

推文