摘要
在不确定的市场环境下,企业的投资机会具有期权特点。本文在委托代理框架下,研究实物期权投资中的最优合同设计问题。考虑一个委托代理制的企业,委托人拥有推迟项目投资的期权,授予代理人执行该投资期权。信息不对称下,代理人有隐藏信息转移现金流的动机。为了实现自身利益的最大化,委托人设计合同,在该合同下,代理人将揭示真实的信息。在信息对称与信息不对称的情形下,分别建立实物期权模型,得到了委托人设计的最优合同。并通过数值分析,得到了如下的主要结论,信息不对称下,与信息对称相比,高成本的项目投资时机推迟,低成本的项目时机提前,投资期权价值减少。委托人的期权价值随着审核效率的提高而增大。当代理人越没有耐心时,委托人的期权价值越大。本文的研究为现实中的委托代理框架下的实物期权投资决策提供了一定的指导意义。
In the uncertain market environment, the firm＇s investment opportunities have the characteristics of option. In this paper the optimal contract design problem about real option investment is analyzed under principal-agent framework. The principal has the option to postpone the investment, the agent will execute the option granted under the principal-agent system. The agent has the motivation to hide information and transfer cash flow under asymmetric information. In order to maximize his own benefit, the principal will design contract. The agent will reveal truthful information under the contract. The real option models are established and the optimal contracts are given respectively under the symmetry and asymmetry information. Numerical analysis shows that, compared with symmetric information, the high cost project will be delayed to invest, the low cost project will be invested ahead of time, and the option value of the investment will reduce under asymmetric information. The option value of the principal will increase as audit efficiency improves. The more impatient the agent, the greater the option value of the principal. The study of this paper provides some guidance for the real option investment under principal-agent framework in reality.
出处
《中国管理科学》
CSSCI
北大核心
2016年第5期92-99,共8页
Chinese Journal of Management Science
基金
国家自然科学基金重点资助项目(71231008)
广东省自然科学基金研究团队项目(2014A030312003)
关键词
实物期权
委托代理
最优合同
投资
real option
principal-agent
optimal contract
investment
