最適資本結構，公司債與風險移轉

Abstract

本文企圖以Hennessy and Tserlukevich(2008)的模型為基礎，在加入一般公司債並且考慮稅、代理問題之下來分析公司最適的融資決策。在此，最適的融資決策意指融資組合的選取。除此之外，藉由本文的研究再一次說明了可轉換公司債具有降低風險移轉代理成本的特性也間接支持公司最適融資決策包含可轉換公司債的正當性。另外，數值分析的結果意味著債務結構在公司決定最適融資決策的過程中扮演關鍵角色。接著，我們探討風險等級與債務結構對公司及債權人之最適策略和各種或有求償權價值的影響。最後，本文亦從風險移轉代理成本的角度重新詮釋公司最適融資策略之決定。

This article attempts to add straight debt to Hennessy and Tserlukevich (2008) in order to analyze the optimal financing policy in light of taxation and agency conflicts. The optimal financing policy here means the optimal financing structure. Besides, we consider the dominance of convertible debts within mitigating risk shifting and conclude that the optimal financing policy including a convertible debt is reasonable. The results of numerical analyses find that debt structure plays a significant role in making financing decisions. Moreover, we discuss the impacts of volatility and debt structure on call/conversion and default strategies and values of contingent claims. Finally, we take into account agency costs with risk shifting in deciding the firm’s optimal financing policy.