基于信息不对称的担保和企业融资分析

FINANCING ANALYSIS WITH GUARANTEE DEBT AND INFORMATION ASYMMETRY

刘祥

11749012

硕士

金融

杨招军

2019-05-25

2019-07-05

哈尔滨工业大学

深圳

民营企业（包括小微企业）长期遭遇“融资难、融资贵”的困扰，这是个世界性难题。在19世纪末欧洲率先出现信用担保制度后，国际上普遍把发展信用担保视为扶持民营企业融资最有效的手段。根据World Bank Enterprise Surveys公布的数据显示，担保贷款占贷款总量的79%。近年来，国内担保机构在担保模式上取得了很多创新。例如，深圳市高新投集团公司推出了担保换分红、担保换期权等金融产品。然而，目前在相关担保理论上的探索却远远落后于现实的需要。根据金融学理论，高风险应有高收益，故高风险的民营企业遭遇适当的融资贵是必然的。但在很大程度上，民营企业融资难融资贵是市场功能缺失造成的，其中信息不对称是主要原因。对此，担保可以通过专业优势在一定程度上缓解融资方与投资方之间的信息不对称。但要完全消除信息不对称，几乎是不可能的。这也是本文研究基于信息不对称的信用担保的原因所在。本文用担保定价模型对担保模式定量分析并给出理论证明，不仅发展了在信息不对称条件下的担保理论，同时在担保模式设计和融资担保偏好上给出了策略建议。本文给出担保经济学分析，构建单周期担保定价模型，比较分析担保换费用（FGS）、担保换股权（EGS）和担保换期权（OGS）的融资特点。运用均衡定价方法揭示信息不对称对社会福利影响的经济规律，给出福利转移和社会福利损失产生的条件，探索异质企业的融资担保偏好。结论表明：信息不对称导致高盈利企业受损，低盈利企业或担保公司受益，其影响程度在OGS担保模式下最高，EGS次之，FGS最低；高盈利企业可能被迫将部分利润转移给低盈利企业，当且仅当低盈利企业净投资价值为负时才会产生社会福利损失；高盈利企业可能将部分利润转移给担保公司，迫使低盈利企业放弃投资；随着投资成本提高，高盈利企业净投资价值可能反而逐步增加；给出了高风险企业难以获得担保融资的经济学原因。

The financing difficulties and high financing cost of private enterprises, especially small and medium-sized enterprises (SMEs) are open problems over the world. For these issues, credit guarantee schedule is generally regarded as effective means to support the financing of private enterprises in the world. According to data published by World Bank Enterprise Surveys, guaranteed loans account for 79% of all loans. Due to the imperfection of bank credit system, Chinese insurers have made many innovations in guarantee mode. Taking Shenzhen High-tech Investment Group Co., Ltd. as an example, in practice of guarantee, entrepreneurs innovated and promoted a series of guarantee modes, such as Equity(dividend)-for-Guarantee Swap, Option-for-Guarantee Swap and so on. However, the theoretical exploration of relevant guarantee is far behind the needs of reality. According to the financial theory, high risks should have high returns, so it is inevitable for high-risk private enterprises to undertake expensive financing cost appropriately. However, to some extent, the financing difficulties and high financing cost of private enterprises are caused by the lack of market functions. Among them, information asymmetry is the main reason. For that, the insurers can alleviate information asymmetry between the financiers and investors to some extent by professional advantages. But it is almost impossible to eliminate information asymmetry completely. This is why this paper study credit guarantee based on asymmetric information. This paper establishes the guarantee pricing model to make a quantitative analysis of the guarantee mode and gives theoretical proof. It not only develops the guarantee theory under the condition of asymmetric information, but also gives policy suggestions on the design of guarantee mode and financing guarantee preference.This paper presents the economics of credit guarantee and develops a single-period guarantee pricing model to characterize the swaps of the Fee-for-Guarantee Swap (FGS), Equity-for-Guarantee Swap (EGS) and Option-for-Guarantee Swap (OGS). This paper uses equilibrium pricing method to reveal the economic law of the influence of information asymmetry on social welfare, gives the conditions of social welfare transfer and social welfare loss, and explores the financing guarantee preference of heterogeneous enterprises. We show that information asymmetry benefits low-profit enterprises or insurers at the expense of high-profit enterprises with the highest degree in OGS, the second in EGS and the lowest in FGS agreement. There are two equilibria: One is the pooling equilibrium where high-profit enterprises are forced to transfer part of profits to low-profit ones, of which only a negative net investment value of a low-profit enterprise induces a social welfare loss; The other is the separating equilibrium, where high-profit enterprises transfer part of profits to insurers instead of low-profit enterprises. There is a possibility that the net present value of a high-profit enterprise increases with investment costs. The paper explains why a high-risk firm is difficult to get finance with the help of guarantee swaps.

信用担保 信息不对称 博弈 社会福利

credit guarantee information asymmetry game social welfare

中文

联合培养

南方科技大学

刘祥. 基于信息不对称的担保和企业融资分析[D]. 深圳. 哈尔滨工业大学,2019.