在不同的破產情況下分析或有求償權的價值及最佳的資產結構

Abstract

本研究之目的為改進Broadie and Kaya (2007)的債權人、股東及公司價值評價模型。此模型在期末會有提前清算；在正常營運而付不出債息時，也會發生提前清算的情況，本文將延長期末節點並修正判斷式使它變成一個更合理的評價模型。並且修正了在Francois and Morellec(2004)和Broadie and Kaya (2007)在使用Nash bargaining game 時出現股東價值為負的現象。最後會與Broadie and Kaya (2007)的結果做比較，並加以解釋與說明。

This thesis improve the equity value,debt value and firm value pricing model by Broadie and Kaya (2007). The model will early liquidate when maturity date or the firm in the healthy state can’t pay coupon. This thesis extend the maturity date and modify the diagnostic function to make the pricing model to be more reasonably. This thesis also improve the situation of equity value is negative when Francois and Morellec(2004) and Broadie and Kaya (2007) use the model of Nash bargaining game. Finally, this thesis would compare and analyze our results with the result provided by Broadie and Kaya (2007).