公司代理問題與財務契約設計中衍生性資產之效率性功能
Date Issued
2003
Date
2003
Author(s)
DOI
912416H002016
Abstract
A financial option is a seemingly
redundant option (SRO) if it is common
knowledge in equilibrium that the option
will never be exercised and yet the
option premium is strictly positive. We
show that SRO's exist and their prices
decrease over time. We study the
optimal ownership structure of a firm in
an economic environment where (i)
investment decisions are unverifiable
and may create non-transferable benefits
to the founder of the firm, (ii) earnings
are verifiable, and (iii) any financial
claims contingent on the firm's
verifiable earnings can be freely created
and traded in competitive markets. We
show that when a dimensionality
condition on the earnings distribution is
satisfied, with generic information
structure, any initial capital structure
together with a professional manager
who issues some properly designed
SRO's to investors implements the
first-best investment efficiency so that a version of the Modigliani-Miller
irrelevancy theorem obtains.
Subjects
Corporate Control
Incomplete Contracts
Option Pricing
Outside Equity
Publisher
臺北市：國立臺灣大學財務金融學系暨研究所
Type
report
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