The Theoretical Studies of Financial Contracts and Firms' Investment Decisions-The Real Effects of Stock Price Information and Collateral

本論文包含兩篇獨立但主旨相關的文章， 目的均在探討融資契約與廠商投資的關聯，以分析融資契約的實質效果。第一篇文章「股價資訊外部性與新投資之採行」研究權益證券(股票)集訊、揭訊功能的實質效益，我們由股價資訊公開所產生的外部效果，分析股價資訊效率性與廠商投資效率之間的關聯。在1.眾多異質廠商，2.投資具實質選擇權(real options)特性的假設下，內生化廠商與股市交易者的資訊取得決策，發現1. 均衡時廠商的投資與資訊取得決策取決於廠商技術水準與股價效率性之高低：高股價效率性時，無廠商取得新資訊，皆根據股價判斷投資，低股價效率性時，僅較低技術廠商根據股價資訊投資。2. 股價有額外的資訊揭露效果：由於廠商僅能獲得新資訊的部份效益，且廠商利用資訊有機會成本，將投資證券化可提高新資訊被揭露的可能性，使得資訊可被充份利用，提昇投資效率。3. 股價資訊可提增投資效率，增加廠商期望報酬，但當體系平均技術水準落後，新資訊的實質效益低落時，股價資訊公開的外部淨效益亦趨薄弱，故經濟發展初期，股市資訊公開的外部效益相對不重要。第二篇文章「抵押品、財務槓桿與廠商投資」研究借貸契約中，抵押品舒緩借貸限制的作用，及其可能產生的實質效果。我們採用Williamson(1986,1987)的狀態確認成本模型(costly state verification model)，在該訊息不對稱模型，廠商向外融資面臨借貸限制，僅較高自有資金廠商可獲融資。當借貸市場資金相當寬鬆，資金供給恆大於資金需求，資金成本(無風險利率)為一由模型外因素所決定的外生參數時，抵押融資不影響資金成本，此時抵押品具有舒緩借貸限制的作用，體系財務槓桿提高，期望查帳成本下降，投資的期望淨產出增加。若資金相對緊俏，無風險利率須由借貸市場均衡所內生決定時，長期而言，財務槓桿僅受體系資金寬鬆程度的影響，短期間抵押融資雖能提高財務槓桿，但隨槓桿之提高，資金需求增加，無風險利率上揚，在新的均衡，較低自有資金廠商投資的期望報酬下降，借貸利率上漲，反而增加其應負債務，資產狀況惡化，此即本文所欲突顯之抵押融資的潛在成本。第一章 緒論 3第一節 研究動機 3第二節 研究內容與架構 5第二章 文獻回顧 7第一節 融資契約的功能 7第二節 金融結構與實質經濟活動 13第三節 股價資訊與廠商投資 18第四節 抵押品與廠商投資 22第三章 股價資訊外部性與新投資之採行 27第一節 前言 27第二節 基本模型 29第三節 期中股市均衡與股價效率性 35第四節 股價資訊外部效益 41第五節 小結 46附 錄 47第四章 抵押品、財務槓桿與廠商投資 53第一節 前言 53第二節 基本模型 55第三節 抵押融資模型-資金寬鬆時的抵押品效果 62第四節 抵押融資模型-資金緊俏時的抵押品效果 66第五節 小結 70第五章 結論 72第一節 研究限制 72第二節 未來研究方向 77參考文獻 79This dissertation collects two separate but related papers, both study the channel through which financing contracts can affect firms' investment decisions and the corresponding real effects. The first paper " Informational Externality of Stock Prices and Firms' New Investment Decisions" analyzes what real benefits the information acquisition and signaling function of stocks can produce. From the viewpoint of informational externality, stock prices may disclose some valuable information beneficial to firms' investment decisions. Under the assumptions of " heterogeneous technology" and "new investment as a real option", this paper finds 1. Firms' investment and information acquisition decisions are determined both by their own technology level and stock prices efficiency. With high price efficiency, no firms acquire information directly, all make investment decisions based on stock prices. With low price efficiency, most firms acquire information directly, only few low-tech firms make decisions according to stock prices. 2. Stock prices have additional signaling effect. Firms can ony get half benefits of new information, besides they have opportunity costs in using information. As a result, stock prices can enhance the possibility of information disclosure, improving investment efficiency. 3. When the economy is underdeveloped and the real benefit of new information is small, the net benefit produced by informational externality will be tiny. The stock prices externality effect is thus comparatively unimportant at the beginning stage of economy.The second paper " Collateral, Financial Leverage and Firms' Investment"analyzes the constraints-smoothing function of collateral and its real effects. By adopting Williamson's costly state verification model(1986,1987), I find that with this specific asymmetric information structure, there are financing constraints in capital markets, only firms whose own capital inputs are higher above some level can get borrowed capital. The question is " Can offering collateral smooth this kind of financing constraints?" In markets with abundant capital where capital supply always exceeds demand, capital cost(riskless interest rate)will be an exdogenously-determined parameter which won't be affected by collateral financing. In this scenario, collateral can smooth financing constraints, increase financial leverage and improve the net expected return of investment. On the contrary, if capital is not so abnudant that the capital cost should be determined endogenously by capital market equilibrium, then in the long run this economy's financial leverage depends only on the relative abundance of capital. Though collateral financing can increase financial leverage in the short run, as capital demand increases, capital cost will also increase. This will offset the initial smoothing effect of collateral. After full adjustment of capital cost, at the new equilibrium the financial leverage remains unchanged. However, the expected return of firms with lower own capital inputs become smaller, and their borrowing rates become higher which mean they have heavier debt burden and less net worth at the new equilibrium