資訊不對稱理論之研究與應用

Two essays on Information Asymmetry

梁婉麗(Woan-lih Liang)

指導教授 ： 林修葳

共同指導教授 ： 陳業寧

國立臺灣大學/管理學院/國際企業學研究所/博士(2007年)

https://doi.org/10.6342/NTU.2007.01176

摘要

此篇博士論文探討兩個議題：(1)可轉換證券在創投產業的應用；與(2)內部人的持股與訊息精度在Noisy Rational Expectation Equilibrium的應用。
第一個議題，解釋可轉換證券，可用來處理創投業資訊不對稱的問題。我們提出創業家謊報訊息的動機，會因為創業家與投資人之間所存在的雙重道德危險問題，而變得更加複雜。進而，我們驗證可轉換證券可以調整股權與債權的比率，使得它相較其他工具具有較佳的抑制說謊的效果。
第二個議題，探討內部投資人私有訊息的精度會隨著他持有股數增加的情況。直覺地，當內部人擁有越多計劃的訊息，則他會投入越多的精力去從事買賣交易來獲得較多的異常利潤。但是，市場財務報表或訊息的揭露，使得內部人所擁有的訊息精度被市場評量，因而可能抵消內部人的獲利好處。因此，我們可藉由探討此兩種力量的大小，來了解內部人訊息和其交易量數量及獲利之間的關係。

關鍵字

可轉換證券 ； 逆選擇 ； 雙重道德危險 ； 訊息精度 ； 內部人交易

並列摘要

This doctoral thesis explores (1) “Convertible Securities as a Truth Telling Mechanism in Venture Financing” and (2) “The Size of an Initial Shareholding and the Precision of Investor Information in Conditions of Noisy Rational Expectation Equilibrium”.
The first essay of this dissertation provides a rationale for adopting convertible securities as a means of venture financing in terms of dealing with information asymmetry. We posit that the issues of entrepreneur’s incentive to manipulate earnings may be compounded with double moral hazard problems when the efforts of both external investor and entrepreneur are unobservable. We also demonstrate that convertible securities provide the investor with the flexibility to adjust the proportion of shareholdings and debt-like claims and thus serve as an effective truth-telling mechanism.
The second essay of this dissertation articulates and investigates a situation in which the precision of an inside investor’s private signal increases with the proportion of total shares held. Intuitively, an insider with a more informative signal regarding the prospect of the project may be expected to involve himself in larger information-motivated transactions and enjoy greater abnormal profits. We suggest that such an advantage, nevertheless, may be alleviated or even eliminated when the financial statements accompanied by disclosure of either his shareholdings or the distribution of block shareholdings reveal the extent to which the insider is informed. The market may optimize its reaction to the order flows accordingly.

並列關鍵字

Convertible security ； Adverse selection ； Double moral hazard ； Information Precision ； Insider Trading.

參考文獻

1.References

Admati, A., Pfleiderer, P., 1994. Robust financial contracting and the role of venture capitalists. Journal of Finance 49, 371-402.

Bascha, A., Walz, U., 2001. Convertible securities and optimal exit decisions in venture capital finance. Journal of Corporate Finance 7, 285-306.

Bergemann, D., Hege, U., 1998. Venture capital financing, moral hazard, and learning. Journal of Banking and Finance 22, 703-735.

Berglöf, E., 1994. A control theory of venture capital finance. Journal of Law, Economics, and Organization 10, 247-267.