【作者】 蔡乙萍；

【导师】 何泽荣；

【作者基本信息】 西南财经大学 ， 金融学， 2009， 博士

【摘要】 资本结构是指企业各种资金来源的构成及其比例关系。如何通过优化企业资本结构提升企业价值一直是资本结构研究的核心问题。西方学者对资本结构的研究源于20世纪50年代初关于资本结构的假说,到1958年Modigliani and Miller提出纯粹的理论模型,创建了MM定理,标志着现代资本结构理论的开始,后来的研究者不断将这一模型向现实世界推进,引入了税收、破产成本、代理成本、信息不对称以及公司控制权等相关模型。本文是从引入税收和破产成本因素这个角度进行理论探讨。MM定理公司税模型认为,考虑有公司所得税的条件下,利息支付可作为费用从应税收入中扣除,其分析暗含着100%的负债将是最优的资本结构。根据MM定理,Brennan and Schwartz (1978)运用BS期权定价思想,并参考Merton(1974)的零息债券定价思想,考虑公司所得税和破产成本,建立了公司债券与公司总价值的函数关系,并应用数值计算方法,首次对公司最优资本结构进行了定量分析。Leland (1994)认为Brennan and Schwartz的模型存在不合理之处,于是,在Brennan and Schwartz模型的基础之上,Leland分析了公司债券与公司价值的函数关系,并得出了债券价值、利率溢价和最优资本结构的解析解。然后,引入内部破产触发条件并分别在破产临界值内生和外生条件下建立了一套分析公司债券价值和资本结构的框架。Leland(1994)结构法模型认为公司总价值υ= A + TB ? BC是对公司资产价值A进行修正后的数值,即公司资产价值A加上税盾效应价值TB、再减去破产成本价值BC。其中公司资产价值A等于公司股权价值加上债权价值,是一个“可观测”的变量,而公司总价值υ由于包含了税盾效应价值TB和破产成本价值BC ,就成为了一个“不可观测”的变量。Leland结构法模型认为公司的最优资本结构就是最大化这个不可观测变量υ时所对应的资本结构,即模型的目标函数就是使υ最大时所对应的股权债权相对比例。笔者认为Leland结构法模型最大化不可观测的公司总价值并不合理,其存在两点逻辑上的问题:1)公司管理层有什么理由要主动调整资本结构?公司总价值最大化是不是管理层调整资本结构的动机?作为公司资产价值修正后得到的公司总价值,其所有者到底是谁?按照科斯的产权理论,对于公司总价值这种产权关系不明确的资产,希望管理层的行为能够最大化其价值是不可想象的;2)即使管理层愿意按照最大化公司总价值的方式行动,但由于作为管理层行动目标的公司总价值是一个不可观测的变量,目标都不能观测又何谈最大化该目标呢?针对上述问题,本文认为,公司的最优资本结构应该是以股权和债权之和的最大化为目标时所对应的股权和债权的相对比例。股东和债权人作为公司的投资者,根据理性人假设,投资者利益最大化就应该是管理层调整其资本结构的动机与目标,代表着投资者利益的股权和债权价值既有明确的产权关系,又可观测,因此作为代表投资者利益的管理层最大化这部分价值的动机和目标是合理的。这里我们不考虑投资者与公司管理层的委托代理关系,它属于委托代理理论考虑的范畴,是一个非常广的研究领域,为简化模型,我们不考虑此关系而假定管理层能够完全按照投资者的意图行事;并且也不考虑股权投资者和债权投资者的博弈关系,通常情况下,由于股权投资者掌控着公司的经营、金融活动,利用股权的有限责任性,股权投资者对债权投资者存在道德风险,这种道德风险在公司濒临破产的时候最为严重,公司濒临破产时,股权投资者会倾向于进行一些高风险性的投资,而损害了债权人的利益,因此债权人往往在债券协议中对这种冒险性的行为进行一些限制,比如对公司改变募集资金用途的行为给予债券持有人一次回售的权利等。此外,在我国还设立了债券持有人会议和债券受托管理人等制度来保障债券投资者的利益,但这里为了简化模型,我们不考虑此博弈关系。由此,本文在Leland模型的基础上进行改进。公司价值是公司在未来经营期限内为投资者所创造的现金流的现值之和,简言之,公司价值就是公司未来现金流的贴现值。由于除了传统观念的债权人和股东未来收益来源于公司未来现金流以外,政府通过强制性的税收也获取了公司未来现金流的一部分,另外如果企业破产,潜在的清算财产购买者也会通过折价购买公司资产而获得折价收益,因此本文认为公司未来现金流在未来将会由四类索取者占有,包括债权人、股东、政府和清算财产购买者。而每一类索取者未来所获得的那部分权益都是不确定性的,都可以看做是基于标的资产为公司价值的一项期权,在到期日,如果公司价值大于债券面值(为了简化模型,我们假设债券为零息债券),债权人获得固定的债券面值,政府对公司偿还债务后剩余的价值征收一定的税收,股东在缴纳完政府税收后获得剩余价值,清算财产购买者收益为零;而如果公司价值小于债券面值,意味着公司破产,那么清算财产购买者获得折价收益,债权人获得公司资产折价变卖后的价值,此时股东和政府的收益为零。于是通过期权定价的理论框架就可以求出四类索取者各自所获得的那部分权益的价值(或者称为当前的现值),并且根据“一价定律”这四类索取者价值之和等于公司价值( A0 = D0 + S 0 + TB0 + BC0)。从当前现值和静态的角度解析上面的公式,可以认为当前的公司价值由四类索取者占有,债权人、股东、政府税收、清算财产购买者分别获得公司价值的一部分。公司价值At的运动方式受到公司“经营活动”决定的,假定市场是完全有效市场,公司价值At服从起点为A0、增长率和波动率都为常数的几何布朗运动,这种运动过程与公司的“金融活动”无关,即独立于公司的资本结构。在At的运动形式既定的条件下,通过“金融活动”来调整公司的资本结构使其投资者利益最大化,即股权和债权价值之和最大化。由于债券的发行(增加债务),带来的税收减免和破产清算对公司价值的影响是反向的,在从A0出发的At的运动形式既定的条件下,调整股权和债权的相对比例,就会找到某个最优的比例使得股权和债权价值之和最大。这里我们不考虑公司债务的内部结构:公司的债务既可以来自于银行的间接融资,也可以来自于证券市场的直接融资,一般情况下银行贷款都是短期的,适合于公司补充流动资金,债券融资都是长期的,适合于公司长期项目的融资需求,但无论是银行贷款还是债券融资都要根据公司的信用情况决定债务的利率水平,因此从简化模型的考虑,把银行贷款和债券融资合并在一起考虑,把它们看做是一种“广义的债券”,所以债权人在本模型中也就是债券投资者。在上述四类索取者分享公司价值的情况下,本文运用结构法二叉树定价模型讨论股权和债权价值之和最大化与公司最优资本结构之间的关系,并对模型的敏感性分析发现:首先,公司价值增长率μ与模型结果无关,体现了模型对风险中性定价的兼容性,即模型的结果不受公司价值增长率的影响,即使股市大跌情况下,本模型仍有效。其次,如果公司始终保持最优的资本结构,无风险利率r f的增加意味着公司应该增加债务融资的比例,这与传统的观点不同。一般我们认为,无风险利率增加意味着银行贷款利率也增加,企业通过债务融资的成本增加,因此应该减小债务融资。这里的矛盾是由于人们只看见了债务融资成本的增加,而忽视了无风险利率增加导致政府税收相应增加的事实。确定了公司的最优资本结构后,本文从数据收集、参数设置和结果分析三个层面全面地进行了实证研究,对中国A股市场中146家样本公司的最优资本结构进行了分析,这里债权价值带入的是公司的净金融负债,是公司的金融负债与金融资产的差额,得出结论:国内A股市场的大部分企业股权融资占主导,净金融负债额不足,大部分企业调整资本结构所能获得的内部索取者价值的改善幅度都在2%的范围内,不过也有少数企业存在较大的价值提升空间,从而这些企业就可以运用本模型所得出的结果有针对性地进行债券发行和申请银行贷款来实现企业的投资者价值最大化。本文的主要创新之处在于:1、针对Leland结构法模型的不足,建立了公司的最优资本结构模型,本文认为公司的总价值由四类索取者分享——股东、债权人、政府、公司破产清算财产的购买者。这四类索取者所分享的公司未来价值其实可以看作是基于标的资产为公司价值的期权,各类索取者的价值就是这些期权的现值。2、在税收方面,根据我国流转税与所得税的“双主体”税制结构,对模型进行了改进,使得模型更符合中国的实际情况。3、本文在对四类索取者未来价值进行贴现的方法上,选择结构法二叉树的贴现方法,使得本模型可以无差异地对待任意的资产,而无论它是股东价值、债权人价值、政府税收价值、清算财产购买者价值,还是公司价值。通过结构法二叉树的贴现方法,就能够计算得到股东价值和债权人价值,从而最大化这两类投资者价值,而得出本文的最优资本结构函数。4、使用市场数据,运用本文的研究方法,实证研究了146家样本公司的最优资本结构,将我国上市公司当前的资本结构与模型确定的最优资本结构进行了对比分析与探讨。更多还原

【Abstract】 The Capital Structure is defined as the construction and proportion of financing. It is the kernel research area about how to improve the firm’s value by optimizing its capital structure. The research started from the hypothesis about capital structure in 1950s. After the MM theory was proposed by Modigliani and Miller in 1958, it passed long time that the research had been going deeper. Since the pure theory being constructed by Modigliani and Miller in 1958, the scholars have been doing reaserch to adapt to the real word by introducing tax, bankruptcy cost, agency cost, asymmetrical information and corporate control.The paper discusses capital structure from the perspective of tax and bankruptcy cost. The MM theory proposed by Modigliani and Miller in 1958 thinks that under the consideration of positive corporate income tax the firm value reached its maximum when its debt to asset ratio reached 100%. So Modigliani and Miller suggested an optimal capital structure with complete debt. After MM theory, based on the zero-coupon bond pricing model proposed by Merton in 1974, Brennan and Schwartz derived the functional relation of corporate bond and firm value, and provided the first quantitative examination of optimal leverage, where Merton (1974) followed the frame work of BS option pricing theory. In 1973, Black and Scholes provided a perfect option pricing theory. Since the parameters of BS option pricing formula are all observable, it got a widely application and success. Merton (1973) summarized the BS formula, and noticed that not only the frame work provided by Black and Scholes can be used to price option but also can be extended to price corporate bond. Then Merton (1974) extended the BS model to the simple case of pricing zero-coupon bond and its risk structure of interest, based on the MM theory about the independence of the capital structure and the firm value.After having analyzed the limitations of Brennan and Schwartz (1978), Leland (1994) examined the corporate debt values and capital structure in a unified analytical framework. It derived closed-form results for the value of long-term risky debt、yield spreads and the optimal capital structure, when firm asset value followed a diffusion process with constant volatility. And it then established a framework to analyze corporate debt values and capital structure under the conditions of endogenous bankruptcy and exogenous bankruptcy respectively. Leland (1994) defined the total firm valueυ= A + TB ? BC as the modified value of the firm’s asset value A, where the firm could benefit from tax saving TB and suffered from bankruptcy cost BC . Although the firm’s asset value is observable, the value of tax saving and the value of bankruptcy cost are unobservable, that makes the modified value, the total firm value unobservable. Leland (1994) believed the optimal capital structure rest on the leverage which maximized the unobservable total firm value.Based on the binomial tree method, a new theory of the optimal capital structure is introduced to conquer two logical problems of Leland (1994): 1) What makes the managers to adjust the capital structure actively? Does the total value fit in the managers’motivation of adjusting the capital structure? Who are the owners of the total value of the firm? Following the Kersy theory, it is unimaginable to believe the managers would maximize the total value of the firm, the property right of which is unclear. 2) Even if the managers would act to maximize the total value of the firm, the object of the managers is unobservable, that makes the object of maximizing the managers’interest unreasonable. According to the above logical problems, the optimal capital structure should be the relative ratio between equities and debts when the sum of the two financial instruments value reaches maximum. The hypothesis of rational person suggests that maximizing the benefit of the investors (including stock holders and creditors) would be the activation and object for the managers to regulate the capital structure. Because the relationship between investors and managers belongs to the research area of the principal agent theory, which is the profound field, to simplify our model, the principal agent relation is ignored, and the managers are supposed to act to good purpose of the investors. And we do not take the game relation between stock holders and creditors into consideration. Generally, since the stock holders control the business operation and financial operation of the firm, the stock holders would morally hazard the creditors. The moral hazard is going seriously when the firm is close to bankruptcy, because the stock holders are apt to invest the high-risk investment and it damages the creditors’profit. To prevent the moral hazard, some provisions are included in the composition of debt to limit the high-risk behavior, such as the put provision granted to the creditors if the plan of the raised fund is changed. Besides, the creditors conference and the management system of debt trustee are asked to guarantee the creditors’benefit. But to simplify our model, we neglect the game relation between stock holders and creditors. Thus, the value of equities and debts, which represent the investors’benefit, bear the property right clearly and are observable, so it is reasonable that the managers who state the investors’right would maximize the value of equities and debts.The value of the firm, which is also called as the corporation value, is defined as the total benefit brought by the firm to the investors, or is defined as the total present value of the cash flow that the firm will generate to pay for the investment during the future business operation. Besides the stock holders and the creditors absorb part of the firm’s future cash flow, the government also declares part of the firm’s future cash flow by compulsive tax. And if the firm is bankrupted, the latent buyer of the liquidated asset gains his discount income by auction. So the future cash flow generated by the firm will be occupied by the 4 types of claimers: the creditors, the stock holders, the government and the latent buyer of the liquidated asset. Each part of the future cash flow owned by different claimers is stochastic, and can be treated as some special options whose underling asset is the value of the firm. At maturity day, if the value of the firm will be larger than the face value of the debt, the creditors will receive the fixed face value, the government will levy a tax on the surplus value over the face value of the debt, the stock holders will claim the surplus value after the tax, and the value of the latent buyer will get nothing. But if the value of the firm will be less than the face value of the debt, that means the bankruptcy of the firm, the latent buyer will benefit from the discount sale of the firm’s asset, the creditors will obtain the liquidation value, and the stock holders and the government will get nothing. So, the value of each 4 types of claimers can be priced by the framework of option pricing. According to the law of one price, the sum of the 4 claimers’value equals to the value of the firm ( A0 = D0 + S 0 + TB0 + BC0). From the perspective of the present value and the static state, the value of the firm can be divided to the 4 types of claimers. The creditors, the stock holders, the government and the latent buyer obtain their separate part value of the firm respectively.Since the motion of the firm’s value At is decided by the business operation, under the hypothesis of the perfect market, it follows a Geometric Brown Motion with the start point of A0 , constant drift term and constant volatility. The motion of the firm’s value has nothing to do with the financial operation, that means the firm’s value is independent of the capital structure. At the preset motion of At , the CFO adjusts the capital structure by financial operation to maximize the investors’value, or maximize the value of the equities and debts. Because the influence of tax saving and bankruptcy contradicts each other, the maximum value of the equities and the debts can be found by adjusting their relative proportion. Here, we ignore the inner structure of the firm’s debts, which not only come from the indirect financing of bank, but also come from the direct financing of financial market. Usually, the bank lending is short term and adapts to complement liquidity of the firm, and the bond from financial market is long term and adapts to long-term investment. But whether the debts come from bank or financial market, its yield rate is determined by the firm’s credit rank. Here, to simplify our model, we mix the indirect and direct debts, and treat them as a general bond.After the rationality of the object function is explained, the sensitive analysis about the parameters of the model is made, and two conclusions are drawn. First, the drift term of the firm’s valueμis irrelevant to the results, that represents the model’s compatibility to the risk-neutral pricing model. This characteristic is very important and makes the model adapt to the situation of bear market. Secondly, if the firm has been sticking to the optimal capital structure, the increase of the risk free interest rate r f suggests an increase proportion of debt, that contradict our traditional opinion. Usually, we believe that the increase of the risk free interest rate means the increase of the lending rate of bank and the increase of the debt cost to the firm, so the firm should decrease the liability. This is because that people only notice the bebt cost,but ignore the fact that the increase of risk free interest rate results in the increase of the tax.After the optimal capital structure of the firm is confirmed, a empirical research about 146 listed companies is made from data collection, parameters setting and result analysis. The net financial debt, which is the difference of the financial debt from the financial asset, is used as the creditors’value. And some important conclusions are drawn. First, most of the listed companies in China are dominate on equity financing and are lack of debt financing. That’s because of the limited improvement on inner claimers’value by choosing optimal capital structure. Secondly, the improvement that most of the firms can gain is less than 2%, but also a few companies have a notable improvement. So the model can act as a guider for the firms to maximize the investors’value by debt financing. Innovations of this paper:1、It is unreasonable for Leland model to optimize the capital structure by maximizing the total value of the firm, so we provide another analyzing framework of the optimal capital structure. The future cash flow generated by the firm will be occupied by the 4 types of claimers: the creditors, the stock holders, the government and the latent buyer of the liquidated asset. Each part of the future cash flow owned by different claimers is stochastic, and can be treated as some special options whose underling asset is the value of the firm.2、We both consider the value added tax rate and the corporate income tax rate, and it makes our model fit the situation in China better.3、We choose the binomial tree method to discount the firm asset. It can price all kinds of asset indiscriminately, without considering whether it is stock value, bond value, tax value or firm value.4、A empirical research about 146 listed companies is made from data collection, parameters setting and result analysis.Then we compare the current capital structure in listed companies and the optimal capital structure in our model.更多还原