臺灣博碩士論文加值系統

　　本文主旨在結合“資產替代”（asset substitution）與“投資不足”（underinvestment ）的負債代理問題，來探討公司風險管理對降低負債代理之成本之有效性。亦即當投資計劃的風險包含了可觀察風險（observable risk）與不可觀察風險（ unobservable risk）時，公司採取避險策略是否真能降低計劃的風險，而減少負債代理問題；抑或在公司選擇較安全的投資計劃後，將同時自恃於有避險的保障而工作不努力或疏於內部監控，反而使得較安全的計劃變得比較風險，造成另一層面的道德危險（ moral hazard）。
　　我們採用賽局理論中之主理人－代理人賽局 （principal -agent game ）來處理負債代理問題中債權人與股東間的互動關係，並以動態規劃法（ dynamic programming）之倒推解法（backward induction）求解各期之子賽局完全均衡（ subgame perfect equilibrium）。
　　本文發展一個多期動態模型來探討股東與債權人之間的利益衝突，進而研究避險策略對降低負債代理成本的有效性。除了證實股東對以完全自有資金融通的投資計劃比以發行公司債券融通的投資計劃所付出的努力程度高，我們也發現只有當風險的互補效應存在，避險策略才具有降低負債代理成本的價值；反之，在風險互斥效應下，避險策略會因股東有道德危險的動機而效果不明顯。最後，我們認為當股東為風險中立時，投資計劃具有風險的互補效應，使用避險策略來解決負債代理成本是有效的；此外，公司若發行抵押債券，負債代理問題不會發生。

　　This study is to investigate the effectiveness of corporate risk management in reducing the agency costs of debt, combimes with asset substitution and underinvestment problems. We examine when the investment risks are divided into observable and unobservable risks, whether the investment risks can be reduced by the hedging strategy which then eliminates the agency costs of debt, or whether the manager-equityholders will be slack in his work after the investment has been hedged, in other words, have the incentives of moral hazard.
　　We deal with the agency problems between debtholders and manager-equityholders by the principal-agent game of the game theory, and calculate each period''s subgame perfect equilibrium with the backward induction of the dynamic programming.
　　In this paper, we construct a multiperiod dynamic model to discuss the conflicts of interests betweem debtholders and manager-equityholders, then go further into the efficiency of the hedging strategy in reducing agency costs of debt. We demonstrate that the degree of efforts took by the manager-equityholders will be smaller in the leveraged firm than in the unleveraged firm. We also find out that the hedging strategy can reduce agency costs of debt only when there exists “complement effect between risks ”. On the contrary, the effectiveness of the hedging strategy under “substitution effect between risks ”if not evident owing to manager-equityholder''s incentives of moral hazard. Finally, we hold that the investment plan has complement effect between risks when manager-equityholders are risk neutral, and the hedging strategy will be effective. Moreover, we suggest that the agency costs of debt will not arise in the circumstances that the company issues mortgage corporate bonds.