The Research Of Small And Medium-sized Enterprises Investment And Financing Problems Under Guanrantee

In this diseration, we consider several problems of small and medium-sized enterprises(SMEs). Based on real-options approach, stochastic analysis and riskneutral pricing, we set up several structure models to analyze the pricing of equity, debt, guarantee cost and other financial claims. We explore the relationship among investment timing, investment scale and financing scale, and consider optimal capital structure and the impact of the guarantee swap on the values of corporate securities and capital structure.First, we consider the investment timing and capital structure of an SME with financing constraints, which obtains debt financing by an equity-for-guarantee swap. Based on the assumptions that the cash flow follows Geometric Brownian motion and investment scale and investment costs are given, we provide the pricing of equity, debt and guarantee cost. Then we derive the function relation between optimal financing and investment timing. Numerical analysis shows that there is an U-shaped relation between investment timing and exogenous debt. When the debt scale is smaller, investment is accelerated. But when debt scale is bigger, the opposite results hold true. Compared with the unsecured leveraged firm, the swap delays investment and alters the leverage choice. For example, when the cash flow risk is smaller, the optimal leverage is higher than that of the unseured leveraged firm. However, when the cash flow risk is bigger, the optimal leverage is smaller than that of the unseured leveraged firm. We find that debt scale has significant effect on debt overhang and asset substitution. Debt scale does not result in debt overhang if it is smaller. But it can result in serious debt overhang if debt scale is bigger. At the same time, the swap always results in asset substitution effect. Comparative static analysis indicates that the swap speeds up the investment and increases firm value.Secondly, the investment scale is usually regarded as a fixed constant in the literature about investment and financing. However, it is an important decision variable in reality and it has important impact on firm development and benefits. For this reason, we relax this assumption, and study how to determine the optimal investment timing, optimal investment scale and the optimal capital structure problem under investment scale obeys a short-run production function. Using the equilibrium pricing approach, we provide the pricing of equity, debt and guarantee cost. Second, we derive the relation among optimal investment timing, optimal investment scale and optimal financing scale. By means of numerical analysis, we found that investment scale of SME is higher than that of pure-equity enterprises and unsecured leveraged firms.Third, we study the expansion investment and financing problems of small and medium-sized enterprises. We assume that an SME has originally taken equity financing. Then the SME wants to expand the scale of investment, which obtains debt financing through a credit guarantee swap. First, using the equilibrium pricing method, we provide the pricing of securities and the cost of insuring and obtain the explicit solution of expansion option. Then we analyse the mutual relation of optimal expansion timig, optimal investment scale and optimal financing scale. Through numerical analysis we compare the scale of investment of SMEs with pure equity the size of the enterprise and financing constraints. Comparative static analysis shows that the increasing of the correlation coefficient makes expand timing and investment scale decline.Fourth, because contingent convertible bonds(Co Cos) are of unique riskabsorbing function so that they are taken as rescue capital of large financial institutions and corporations. They have acttracted the attention of the academia and many scholars believe that they can also be used to alleviate the financing difficulties of small and medium-sized enterprises. So as a theoretical exploration, we study the uncertainty problem of investment when contingent convertible bonds are taken as a financing instrument of small and medium-sized enterprises. We analyze how the Co Cos affect entrepreneurs’ wealth value and exogenous conversion boundary affects investment timing. We find that there is a conversion threshold eliminating the agency costs of debt. Second, compared with common bond financing, under the condition of certain conversion boundary and conversion rate, Co Cos financing can increase firm value and entrepreneurs’ wealth value, but the bond yield spreads are higher than straight bond yield spreads.Fifth, considering small and medium-sized enterprise anti-risk ability is weak and firm’s assets value easily influenced by macroeconomic environment and market factors, we use a jump diffusion process to describe its cash flow. We analyse the impact of the jump risk strength and jump probability on the guarantee of small and medium-sized enterprise equity, debt, the guarantee cost and capital structure. With the results of numerical analysis, we find that the intensity and jump probability significantly affect the value of securities and capital structure. The higher the jump risk intensity, the smaller the value of firm and the bonds, the greater the equity value, the smaller the leverage and guarantee cost. On the contrary, if the risk intensity is getting small, the opposite results hold true. As to jump probability, the greater the jump probability, the bigger the bond value and firm value, the smaller the equity value, the greater the leverage and guarantee cost.Finally, this paper assumes that asset value follows a double exponential jump diffusion process and considers capital structure including straight debt and equity. We derive securities’ prices and analyze the optimal capital structure. Under the endogenous bankruptcy, we provide explicit values of equity, debt, and endogenous default boundary. Some properties of bonds are deduced under the influence of the jump risk. We discuss the effect of jump risk on the equity value, bond value, firm value, the leverage ratio and bond yield spreads. We find the difference of the leverage and bond yield spreads by comparing the jump diffusion process with geometric Brownian motion.