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研究生:沈秋紅
研究生(外文):Ciou-Hong Shen
論文名稱:廠商的舉債與投資決策分析
論文名稱(外文):Debt Financing and Investment Decision Analysis
指導教授:姜一銘姜一銘引用關係
指導教授(外文):I-Ming Jiang
學位類別:碩士
校院名稱:玄奘大學
系所名稱:財務金融學系碩士班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2009
畢業學年度:97
語文別:中文
論文頁數:86
中文關鍵詞:實質選擇權舉債完全競爭市場
外文關鍵詞:Real OptionDebt FinancingPerfectly Competitive Market
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本論文主要探討在面臨不確定下時,投資時機與等待投資的時間價值對於舉債之影響。本論文考慮市場上的所有借貸皆是完全競爭市場,對於廠商來說,在銀行市場上會有較多的限制,並且只能透過銀行來取得資金融資。當廠商無法預期的支付出負債的金額時,則銀行可以立即行使借款契約來清算廠商所有的財務,此時廠商也必須對外宣布其破產的消息給外界。在完全競爭市場下,當廠商有違約的事件發生時,投資門檻與票息會有下降的現象,則等待選擇權的價值也會下降。在廠商是否舉債的情況下,利率對於廠商價值與放款者價值存在著顯著的正相關。更多的不確定性會造成投資門檻值的提升,但是廠商與銀行的角度有很多一致性的結果,例如,利率對於廠商與銀行的價值皆會有顯著的正相關,而股利對於廠商與銀行的價值則會有顯著的負相關。股利的大小會造成其投資門檻往上提升,但是於借貸雙方的價值也都有不一致的結果,故借貸雙方於利率變動的環境之下,都會有許多的不一致性。
In this paper, we explore the impact of debt financing and investment decision analysis under uncertainty. We consider the case where the market for loans is perfectly competitive, a firm has limited access to financial markets with its bank to get financing. When firm cannot meet the required coupon payment, then the bank can loan contract to exercise an immediate liquidation of all financial firms and the firm must also be at this time to announce the news of its bankruptcy to the outside world. In the competitive case, when default occurs, the higher the debt level, the higher the coupon, the lower the investment threshold which dampens the option value. Whether firms borrowing in such circumstances, interest rates for lending companies who value the value of the existence of significant positive correlation. More investment will create uncertainty in the threshold enhancement, but the point of view of firms and banks have a lot of consistency in the results, for example, interest rates for the value of companies and banks all have a significant positive correlation, while the dividend for the companies and banks The value of the negative correlation would be significant. The size of the dividend would cause the threshold up to enhance their investment, but in the value of both lenders and borrowers have inconsistent results, so both lenders and borrowers in the interest rate environment changes, there will be a lot of inconsistency.
目錄
中文摘要 i
英文摘要 ii
目錄 iii
表目錄 v
圖目錄 vi
第一章 緒論 1
第一節 研究動機與目的 1
第二節 研究架構 3
第二章 文獻回顧 5
第一節 傳統資本預算決策方法 5
第二節 選擇權 16
第三節 資本結構 26
第四節 不確定性、舉債與投資決策分析 35
第三章 理論模型 38
第一節 介紹選擇權理論模型 38
第二節 不確定性下舉債與投資決策模型 47
第四章 敏感性分析 57
第一節 敏感性之定義 57
第二節 敏感性之數值模擬 58
第五章 結論與後續研究方向 71
第一節 結論 71
第二節 後續研究方向 72
參考文獻 73
附錄 77
參考文獻
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