實質選擇權、非對稱性競爭與最適資本結構

Real Options, Asymmetric Competition, and Optimal Capital Structure

蔡明宏(Min-Hung Tsay)

指導教授 ： 張傳章 博士 ； 石百達 博士

國立中央大學/管理學院/財務金融學系/博士(2014年)

摘要

本篇論文主要探討在一個動態非對稱性雙佔產品市場中市場競爭程度對於廠商最適投資、融資與破產決策和最適資本結構的影響。首先我們發現無論在序列投資均衡或先佔投資均衡中，具收益優勢的廠商會成為優先進入產品市場的市場領導者，
而具收益劣勢的廠商為市場跟隨者。此外，具收益劣勢的廠商成為優先離開市場的輸家，而具收益優勢的廠商為贏家。在領導廠商方面，我們發現在序列投資均衡中當市場競爭程度增加時，廠商的最適投資臨界值、負債比率與信用利差皆會上升。
然而在先佔投資均衡中廠商的最適投資臨界值與負債比率將會隨著市場競爭程度的增加而先上升後下降，但信用利差與市場競爭程度的關係則不明確。在跟隨廠商方面，廠商的最適投資臨界值在序列投資均衡中將會隨著市場競爭程度的增加而下降，但在先佔投資均衡中廠商的最適投資臨界值將會先上升後下降。其次我們發現無論在序列或先佔投資均衡中市場競爭程度皆不會影響跟隨廠商的最適負債比率與信用利差。綜上所述，市場競爭程度對於廠商的最適決策與財務結構之影響方式將會隨著廠商在市場中所處位置不同而有顯著的差異。最後我們發現當投資成本增加時，領導廠商的最適負債比率與信用利差皆無一致性的變動方向，且跟隨廠商的最適負債比率與信用利差皆不受影響。

關鍵字

實質選擇權 ； 最適資本結構 ； 雙佔市場競爭 ； 信用利差

並列摘要

This dissertation investigates the interaction between product market competition and firm's optimal capital structure in an dynamic asymmetric duopoly model. The paper first shows that in both sequential and preemption investment equilibria, the firm with profit advantage is the leader (the first firm enters the market), and the other is the loser (the first firm exits the market). On the leader's side, we first find that in sequential investment equilibrium, the leader's optimal investment trigger, leverage ratio and credit spread increase with market competition. Next, we see in preemptive investment equilibrium that both the leader's optimal investment trigger and leverage ratio first increase and then decrease with market competition, and the relationship between its optimal credit spread and market competition is ambiguous.
On the loser's side, we show that its optimal investment trigger decreases with market competition in sequential investment equilibrium, but first increases and then decreases with market competition in preemptive investment equilibrium. Furthermore, competition does not affect the loser's optimal leverage ratio and credit spread in both types of equilibria. Our results imply that the effect of market competition on a firm's optimal decisions and financial structures significantly depends on a firm's position in the market. Finally, we show that the leader's optimal leverage ratio and credit spread vary with irreversible investment cost non-monotonically, but both the loser's optimal leverage ratio and credit spread do not vary with irreversible investment cost.

並列關鍵字

Real options ； Optimal capital structure ； Duopoly ； Credit spread

參考文獻

Brander, J. A. and T. R. Lewis, 1986, Oligopoly and Financial Structure: The Limited Liability Effect. American Economic Review 76, 956-970.

Chu, Y., 2009, Optimal Capital Structure, Capacity Choice, and Product Market Competition. Working Paper, University of South Carolina.

Covitz, D. and C. Downing, 2007, Liquidity or Credit Risk? The Determinants of Very Short-Term Corporate Yield Spreads. Journal of Finance 62, 2303-2328.

Frank, M. Z. and V. K. Goyal, 2009, Capital Structure Decisions: Which Factors Are Reliably Important? Financial Management 38, 1-37.

Fresard, L., and P. Valta, 2014, How Does Corporate Investment Respond to Increased Entry Threat? Working Paper, University of Maryland.