融资成本、代理冲突与企业动态投融资行为研究

As two indispensable aspects in the process of enterprise’s fund movement, the investment and financing decisions are playing an important role in the enterprise’s survival and development. However, the modern economic theory indicates that most of the financial markets have many frictions such as financing costs and agency conflicts. Thus, in this project, focusing on these market frictions, we set up formal models of mathematical finance based on the economic analysis and real option method. Using the theory of optimal stochastic control and the method of finite difference, we solve the optimal investment decisions under both firm-value and equity-value maximization objectives, dynamic financing decisions, business exit, and optimal capital structure. The key issues are to analyze the influence mechanism of the financing costs and agency conflicts on the enterprise’s decision-makings, as well as the interaction relationship among these decision-makings. The main purpose is to reveal the problems such as inefficient investment and financing preference under financing constraints in both qualitative and quantitative aspects. These studies belong to the leading edge of international academic research and have important scientific significance and practical value on the development of corporate finance theory, especially the dynamic investment and financing, and real option theory under market frictions.

投资与融资决策作为企业资金流动过程中不可分割的两个重要环节，直接关系到企业的生存和发展。然而，现实的经济理论表明金融市场大多具有融资成本和代理冲突等市场摩擦。为此，本项目针对这些市场摩擦，在经济学理论分析、实物期权方法的基础上，构建严格的数理金融模型，运用最优随机控制理论和有限差分方法，分别研究企业价值和股权价值最大化目标下的最优投资决策、动态融资决策、退出机制和最优资本结构等，重点分析融资成本约束、代理冲突对企业投融资、退出等决策的影响机制以及各决策之间的协同互动关系，从定性和定量上解决融资约束下的企业非效率投资、融资偏好等一系列难题。这些研究属于国际学术前沿，对于丰富和完善市场摩擦下的公司金融理论、尤其是动态投融资和实物期权理论具有重要的科学意义和实际价值。

投资与融资决策作为企业资金流动过程中不可分割的两个重要环节，直接关系到企业的生存和发展。然而，现实的经济理论表明金融市场大多具有融资约束和代理冲突等市场摩擦。为此，本项目构建了不同市场摩擦下企业动态投融资决策模型，通过严密的逻辑推导和定量计算，给出了企业最优投资决策，动态融资决策，退出机制，投资期权的隐含价值，企业最优资本结构，股东与债权人的代理成本等。通过与无市场摩擦时企业的投融资决策模型进行对比分析，研究融资成本、代理冲突对企业投融资策略、资本结构的影响。进一步的，比较不同类型的融资模式对企业各种决策和社会福利的影响，运用数值计算例子，完成比较静态分析，给出经济金融学解释，提出企业投融资决策建议。