珠海科技学院：《投资学》课程教学资源（书籍文献）公司金融理论 The Theory of Corporate Finance（PDF电子书，梯若尔 Jean Tirole，英文版）

JEAN TIROLE

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Contents Acknowledgements xi Introduction 1 Overview of the Field and Coverage of the Book 1 Approach 6 Prerequisites and Further Reading 7 Some Important Omissions 7 References 10 I An Economic Overview of Corporate Institutions 13 1 Corporate Governance 15 1.1 Introduction: The Separation of Ownership and Control 15 1.2 Managerial Incentives: An Overview 20 1.3 The Board of Directors 29 1.4 Investor Activism 36 1.5 Takeovers and Leveraged Buyouts 43 1.6 Debt as a Governance Mechanism 51 1.7 International Comparisons of the Policy Environment 53 1.8 Shareholder Value or Stakeholder Society? 56 Supplementary Section 1.9 The Stakeholder Society: Incentives and Control Issues 62 Appendixes 1.10 Cadbury Report 65 1.11 Notes to Tables 67 References 68 2 Corporate Financing: Some Stylized Facts 75 2.1 Introduction 75 2.2 Modigliani–Miller and the Financial Structure Puzzle 77 2.3 Debt Instruments 80 2.4 Equity Instruments 90 2.5 Financing Patterns 95 2.6 Conclusion 102 Appendixes 2.7 The Five Cs of Credit Analysis 103 2.8 Loan Covenants 103 References 106 II Corporate Financing and Agency Costs 111 3 Outside Financing Capacity 113 3.1 Introduction 113 3.2 The Role of Net Worth: A Simple Model of Credit Rationing 115 3.3 Debt Overhang 125 3.4 Borrowing Capacity: The Equity Multiplier 127 Supplementary Sections 3.5 Related Models of Credit Rationing: Inside Equity and Outside Debt 130 3.6 Verifiable Income 132 3.7 Semiverifiable Income 138

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viii Contents 3.8 Nonverifiable Income 141 3.9 Exercises 144 References 154 4 Some Determinants of Borrowing Capacity 157 4.1 Introduction: The Quest for Pledgeable Income 157 4.2 Boosting the Ability to Borrow: Diversification and Its Limits 158 4.3 Boosting the Ability to Borrow: The Costs and Benefits of Collateralization 164 4.4 The Liquidity–Accountability Tradeoff 171 4.5 Restraining the Ability to Borrow: Inalienability of Human Capital 177 Supplementary Sections 4.6 Group Lending and Microfinance 180 4.7 Sequential Projects 183 4.8 Exercises 188 References 195 5 Liquidity and Risk Management, Free Cash Flow, and Long-Term Finance 199 5.1 Introduction 199 5.2 The Maturity of Liabilities 201 5.3 The Liquidity–Scale Tradeoff 207 5.4 Corporate Risk Management 213 5.5 Endogenous Liquidity Needs, the Sensitivity of Investment to Cash Flow, and the Soft Budget Constraint 220 5.6 Free Cash Flow 225 5.7 Exercises 229 References 235 6 Corporate Financing under Asymmetric Information 237 6.1 Introduction 237 6.2 Implications of the Lemons Problem and of Market Breakdown 241 6.3 Dissipative Signals 249 Supplementary Section 6.4 Contract Design by an Informed Party: An Introduction 264 Appendixes 6.5 Optimal Contracting in the Privately-Known-Prospects Model 269 6.6 The Debt Bias with a Continuum of Possible Incomes 270 6.7 Signaling through Costly Collateral 271 6.8 Short Maturities as a Signaling Device 271 6.9 Formal Analysis of the Underpricing Problem 272 6.10 Exercises 273 References 280 7 Topics: Product Markets and Earnings Manipulations 283 7.1 Corporate Finance and Product Markets 283 7.2 Creative Accounting and Other Earnings Manipulations 299 Supplementary Section 7.3 Brander and Lewis’s Cournot Analysis 318 7.4 Exercises 322 References 327 III Exit and Voice: Passive and Active Monitoring 331 8 Investors of Passage: Entry, Exit, and Speculation 333 8.1 General Introduction to Monitoring in Corporate Finance 333 8.2 Performance Measurement and the Value of Speculative Information 338

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Contents ix 8.3 Market Monitoring 345 8.4 Monitoring on the Debt Side: Liquidity-Draining versus Liquidity-Neutral Runs 350 8.5 Exercises 353 References 353 9 Lending Relationships and Investor Activism 355 9.1 Introduction 355 9.2 Basics of Investor Activism 356 9.3 The Emergence of Share Concentration 366 9.4 Learning by Lending 369 9.5 Liquidity Needs of Large Investors and Short-Termism 374 9.6 Exercises 379 References 382 IV Security Design: The Control Right View 385 10 Control Rights and Corporate Governance 387 10.1 Introduction 387 10.2 Pledgeable Income and the Allocation of Control Rights between Insiders and Outsiders 389 10.3 Corporate Governance and Real Control 398 10.4 Allocation of Control Rights among Securityholders 404 Supplementary Sections 10.5 Internal Capital Markets 411 10.6 Active Monitoring and Initiative 415 10.7 Exercises 418 References 422 11 Takeovers 425 11.1 Introduction 425 11.2 The Pure Theory of Takeovers: A Framework 425 11.3 Extracting the Raider’s Surplus: Takeover Defenses as Monopoly Pricing 426 11.4 Takeovers and Managerial Incentives 429 11.5 Positive Theory of Takeovers: Single-Bidder Case 431 11.6 Value-Decreasing Raider and the One-Share–One-Vote Result 438 11.7 Positive Theory of Takeovers: Multiple Bidders 440 11.8 Managerial Resistance 441 11.9 Exercise 441 References 442 V Security Design: The Demand Side View 445 12 Consumer Liquidity Demand 447 12.1 Introduction 447 12.2 Consumer Liquidity Demand: The Diamond–Dybvig Model and the Term Structure of Interest Rates 447 12.3 Runs 454 12.4 Heterogenous Consumer Horizons and the Diversity of Securities 457 Supplementary Sections 12.5 Aggregate Uncertainty and Risk Sharing 461 12.6 Private Signals and Uniqueness in Bank Run Models 463 12.7 Exercises 466 References 467

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x Contents VI Macroeconomic Implications and the Political Economy of Corporate Finance 469 13 Credit Rationing and Economic Activity 471 13.1 Introduction 471 13.2 Capital Squeezes and Economic Activity: The Balance-Sheet Channel 471 13.3 Loanable Funds and the Credit Crunch: The Lending Channel 478 13.4 Dynamic Complementarities: Net Worth Effects, Poverty Traps, and the Financial Accelerator 484 13.5 Dynamic Substitutabilities: The Deflationary Impact of Past Investment 489 13.6 Exercises 493 References 495 14 Mergers and Acquisitions, and the Equilibrium Determination of Asset Values 497 14.1 Introduction 497 14.2 Valuing Specialized Assets 499 14.3 General Equilibrium Determination of Asset Values, Borrowing Capacities, and Economic Activity: The Kiyotaki–Moore Model 509 14.4 Exercises 515 References 516 15 Aggregate Liquidity Shortages and Liquidity Asset Pricing 517 15.1 Introduction 517 15.2 Moving Wealth across States of Nature: When Is Inside Liquidity Sufficient? 518 15.3 Aggregate Liquidity Shortages and Liquidity Asset Pricing 523 15.4 Moving Wealth across Time: The Case of the Corporate Sector as a Net Lender 527 15.5 Exercises 530 References 532 16 Institutions, Public Policy, and the Political Economy of Finance 535 16.1 Introduction 535 16.2 Contracting Institutions 537 16.3 Property Rights Institutions 544 16.4 Political Alliances 551 Supplementary Sections 16.5 Contracting Institutions, Financial Structure, and Attitudes toward Reform 555 16.6 Property Rights Institutions: Are Privately Optimal Maturity Structures Socially Optimal? 560 16.7 Exercises 563 References 567 VII Answers to Selected Exercises, and Review Problems 569 Answers to Selected Exercises 571 Review Problems 625 Answers to Selected Review Problems 633 Index 641

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Acknowledgements While bearing my name as sole author, this book is largely a collective undertaking and would not exist without the talent and generosity of a large number of people. First of all, this book owes much to my collabora￾tion with Bengt Holmström. Many chapters indeed borrow unrestrainedly from joint work and discus￾sions with him. This book benefited substantially from the input of researchers and students who helped fashion its form and its content. I am grateful to Philippe Aghion, Arnoud Boot, Philip Bond, Giacinta Cestone, Gilles Chemla, Jing-Yuang Chiou, Roberta Dessi, Mathias Dewatripont, Emmanuel Farhi, Antoine Faure-Grimaud, Daniel Gottlieb, Denis Gromb, Bruno Jullien, Dominique Olié Lauga, Josh Lerner, Marco Pagano, Parag Pathak, Alessandro Pavan, Marek Pycia, Patrick Rey, Jean-Charles Rochet, Bernard Salanié, Yossi Spiegel, Anton Souvorov, David Sraer, Jeremy Stein, Olga Shurchkov, David Thesmar, Flavio Toxvaerd, Harald Uhlig, Michael Weisbach, and sev￾eral anonymous reviewers for very helpful com￾ments. Jing-Yuang Chiou, Emmanuel Farhi, Denis Gromb, Antoine Faure-Grimaud, Josh Lerner, and Marco Pagano in particular were extremely generous with their time and gave extremely detailed comments on the penultimate draft. They deserve very spe￾cial thanks. Catherine Bobtcheff and Aggey Semenov provided excellent research assistance on the last draft. Drafts of this book were taught at the Ecole Polytechnique, the University of Toulouse, the Mas￾sachusetts Institute of Technology (MIT), Gerzensee, the University of Lausanne, and Wuhan University; I am grateful to the students in these institutions for their comments and suggestions. I am, of course, entirely responsible for any re￾maining errors and omissions. Needless to say, I will be grateful to have these pointed out; comments on this book can be either communicated to me directly or uploaded on the following website: http://www.pupress.princeton.edu/titles/8123.html Note that this website also contains exercises, an￾swers, and some lecture transparencies which are available for lecturers to download and adapt for their own use, with appropriate acknowledgement. Pierrette Vaissade, my assistant, deserves very special thanks for her high standards and remark￾able skills. Her patience with the many revisions dur￾ing the decade over which this book was elaborated was matched only by her ever cheerful mood. She just did a wonderful job. I am also grateful to Emily Gallagher for always making my visits to MIT run smoothly. At Princeton University Press, Richard Baggaley, my editor, and Peter Dougherty, its director, pro￾vided very useful advice and encouragement at var￾ious stages of the production. Jon Wainwright, with the help of Sam Clark, at T&T Productions Ltd did a truly superb job at editing the manuscript and type￾setting the book, and always kept good spirits de￾spite long hours, a tight schedule, and my incessant changes and requests. I also benefited from very special research en￾vironments and colleagues: foremost, the Institut d’Economie Industrielle (IDEI), founded within the University of Toulouse 1 by Jean-Jacques Laffont, for its congenial and stimulating environment; and also the economics department at MIT and the Ecole Nationale des Ponts et Chaussées (CERAS, now part of Paris Sciences Economiques). The friendly encour￾agement of my colleagues in those institutions was invaluable

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xii Acknowledgements My wife, Nathalie, and our children, Naïs, Mar￾got, and Romain, provided much understanding, support, and love during the long period that was needed to bring this book to fruition. Finally, may this book be a (modest) tribute to Jean-Jacques Laffont. Jean-Jacques prematurely passed away on May 1, 2004. I will always cherish the memory of our innumerable discussions, over the twenty-three years of our collaboration, on the topics of this book, economics more generally, his many projects and dreams, and life. He was, for me as for many others, a role model, a mentor, and a dear friend

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Introduction This introduction has a dual purpose: it explains the book’s approach and the organization of the chapters; and it points up some important topics that receive insufficient attention in the book (and provides an inexhaustive list of references for ad￾ditional reading). This introduction will be of most use to teachers and graduate students. Anyone with￾out a strong economics background who is finding it tough going on a first reading should turn straight to Chapter 1. Overview of the Field and Coverage of the Book The field of corporate finance has undergone a tremendous mutation in the past twenty years. A substantial and important body of empirical work has provided a clearer picture of patterns of corpo￾rate financing and governance, and of their impact for firm behavior and macroeconomic activity. On the theoretical front, the 1970s came to the view that the dominant Arrow–Debreu general equilib￾rium model of frictionless markets (presumed per￾fectly competitive and complete, and unhampered by taxes, transaction costs, and informational asym￾metries) could prove to be a powerful tool for an￾alyzing the pricing of claims in financial markets, but said little about the firms’ financial choices and about their governance. To the extent that financial claims’ returns depend on some choices such as in￾vestments, these choices, in the complete market paradigm of Arrow and Debreu, are assumed to be contractible and therefore are not affected by moral hazard. Furthermore, investors agree on the distri￾bution of a claim’s returns; that is, financial markets are not plagued by problems of asymmetric infor￾mation. Viewed through the Arrow–Debreu lens, the key issue for financial economists is the allocation of risk among investors and the pricing of redundant claims by arbitrage. Relatedly, Modigliani and Miller in two papers in 1958 and 1963 proved the rather remarkable result that under some conditions a firm’s financial struc￾ture, for example, its choice of leverage or of divi￾dend policy, is irrelevant. The simplest set of such conditions is the Arrow–Debreu environment (com￾plete markets, no transaction costs, no taxes, no bankruptcy costs).1 The value of a financial claim is then equal to the value of the random return of this claim computed at the Arrow–Debreu prices (that is, the prices of state-contingent securities, where a state-contingent security is a security delivering one unit of numéraire in a given state of nature). The to￾tal value of a firm, equal to the sum of the values of the claims it issues, is thus equal to the value of the random return of the firm computed at the Arrow– Debreu prices. In other words, the size of the pie is unaffected by the way it is carved. Because we have little to say about firms’ finan￾cial choices and governance in a world in which the Modigliani–Miller Theorem applies, the latter acted as a detonator for the theory of corporate finance, a benchmark whose assumptions needed to be re￾laxed in order to investigate the determinants of financial structures. In particular, the assumption that the size of the pie is unaffected by how this pie is distributed had to be discarded. Following the lead of a few influential papers written in the 1970s (in particular, Jensen and Meckling 1976; Myers 1977; Ross 1977), the principal direction of inquiry since the 1980s has been to introduce agency problems at various levels of the corporate structure (managerial team, specific claimholders). 1. For more general conditions, see, for example, Stiglitz (1969, 1973, 1974) and Duffie (1992)

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2 Introduction This shift of attention to agency considerations in corporate finance received considerable support from the large empirical literature and from the practice of institutional design, both of which are reviewed in Part I of the book. Chapters 1 and 2 of￾fer introductions to corporate governance and cor￾porate financing, respectively. They are by no means exhaustive, and do not do full justice to the impres￾sive body of empirical and institutional knowledge that has been developed in the last two decades. Rather, these chapters aim at providing the reader with an overview of the key institutional features, empirical regularities, and policy issues that will mo￾tivate and guide the subsequent theoretical analysis. The theoretical literature on the microeconomics of corporate finance can be divided into several branches. The first branch, reviewed in Part II, focuses en￾tirely on the incentives of the firm’s insiders. Out￾siders (whom we will call investors or lenders) are in a principal–agent relationship with the insiders (whom we will call borrowers, entrepreneurs, or managers). Informational asymmetries plague this agency relationship. Insiders may have private in￾formation about the firm’s technology or environ￾ment (adverse selection) or about the firm’s realized income (hidden knowledge);2 alternatively outsiders cannot observe the insiders’ carefulness in selecting projects, the riskiness of investments, or the effort they exert to make the firm profitable (moral haz￾ard). Informational asymmetries may prevent out￾siders from hindering insider behavior that jeopar￾dizes their investment. Financial contracting in this stream of literature is then the design of an incentive scheme for the insid￾ers that best aligns the interests of the two parties. The outsiders are viewed as passive cash collectors, who only check that the financial contract will allow them to recoup on average an adequate rate of re￾turn on their initial investment. Because outsiders do not interfere in management, the split of returns among them (the outsiders’ return is defined as a 2. The distinction between adverse selection and hidden knowledge is that insiders have private information about exogenous (environ￾mental) variables at the date of contracting in the case of adverse selection, while they acquire such private information after contract￾ing in the case of hidden knowledge. residual, once insiders’ compensation is subtracted from profit) is irrelevant. That is, the Modigliani– Miller Theorem applies to outside claims and there is no proper security design. One might as well assume that the outsiders hold the same, single security. Chapter 3 first builds a fixed-investment moral￾hazard model of credit rationing. This model, to￾gether with its variable-investment variant devel￾oped later in the chapter, will constitute the work￾horse for this book’s treatment. It is then applied to the analysis of a few standard themes in corporate finance: the firm’s temptation to overborrow, and the concomitant need for covenants restricting fu￾ture borrowing; the sensitivity of investment to cash flow; and the notion of “debt overhang,” according to which profitable investments may not be under￾taken if renegotiation with existing claimants proves difficult. Third, it extends the basic model to allow for an endogenous choice of investment size. This extension, also used in later chapters, is here applied to the derivation of a firm’s borrowing capacity. The supplementary section covers three related models of credit rationing that all predict that the division of income between insiders and outsiders takes the form of inside equity and outside debt. Chapter 4 analyzes some determinants of borrow￾ing capacity. Factors facilitating borrowing include, under some conditions, diversification, existence of collateral, and willingness for the borrower to make her claim illiquid. In each instance, the costs and benefits of these corporate policies are detailed. In contrast, the ability for the borrower to renegoti￾ate for a bigger share of the pie reduces her ability to borrow. The supplementary section develops the themes of group lending and of sequential-projects financing, and draws their theoretical connection to the diversification argument studied in the main text. Chapter 5 looks at multiperiod financing. It first develops a model of liquidity management and shows how liquidity requirements and lines of credit for “cash-poor” firms can be natural complements to the standard solvency/maximum leverage require￾ments imposed by lenders. Second, the chapter shows that the optimal design of debt maturity and the “free-cash-flow problem” encountered by cash￾rich firms form the mirror image of the “liquidity

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Introduction 3 shortage problem” faced by firms generating insuf- ficient net income in the short term. In particular, the model is used to derive comparative statics results on the optimal debt maturity structure. It is shown, for example, that the debt of firms with weak bal￾ance sheets should have a short maturity structure. Third, the chapter provides an integrated account of optimal liquidity and risk management. It first devel￾ops the benchmark case in which the firm optimally insulates itself from any risk that it does not control. It then studies in detail five theoretical reasons why firms should only partially hedge. Finally, the chap￾ter revisits the sensitivity of investment to cash flow, and demonstrates the possibility of a “soft budget constraint.” Chapter 6 introduces asymmetric information be￾tween insiders and outsiders at the financing stage. Investors are naturally concerned by the prospect of buying into a firm with poor prospects, that is, a “lemon.” Such adverse selection in general makes it more difficult for insiders to raise funds. The chap￾ter relates two standard themes from the contract￾theoretic literature on adverse selection, market breakdown, and cross-subsidization of bad borrow￾ers by good ones, to two equally familiar themes from corporate finance: the negative stock price reaction associated with equity offerings and the “pecking-order hypothesis,” according to which is￾suers have a preference ordering for funding their investments, from retained earnings to debt to hy￾brid securities and finally to equity. The chapter then explains why good borrowers use dissipative signals; it again revisits familiar corporate finance observations such as the resort to a costly cer￾tifier, costly collateral pledging, short-term debt maturities, payout policies, limited diversification, and underpricing. These dissipative signals are re￾grouped under the general umbrella of “issuance of low-information-intensity securities.” Chapter 7, a topics chapter, first analyzes the two-way interaction between corporate finance and product-market competition: how do market charac￾teristics affect corporate financing choices? How do other firms, rivals or complementors, react to the firm’s financial structure? Direct (profitability) and indirect (benchmarking) effects are shown to affect the availability of funds as well as financial structure decisions (debt maturity, financial muscle, corporate governance). The chapter then extends the class of insider in￾centive problems. While the standard incentive prob￾lem is concerned with the possibility that insiders waste resources and reduce average earnings, man￾agers can engage in moral hazard in other dimen￾sions, not so much to reduce their efforts or gen￾erate private benefits, but rather to alter the very performance measures on which their reward, their tenure in the firm, or the continuation of the project are based. We call such behaviors “manipulations of performance measures” and analyze three such be￾haviors: increase in risk, forward shifting of income, and backward shifting of income. The second branch of corporate finance addresses both insiders’ and outsiders’ incentives by taking a less passive view of the role of outsiders. While they are disconnected from day-to-day management, out￾siders may occasionally affect the course of events chosen by insiders. For example, the board of direc￾tors or a venture capitalist may dismiss the chief executive officer or demand that insiders alter their investment strategy. Raiders may, following a take￾over, break up the firm and spin off some divisions. Or a bank may take advantage of a covenant viola￾tion to impose more rigor in management. Insiders’ discipline is then provided by their incentive scheme and the threat of external interference in manage￾ment. The increased generality brought about by the consideration of outsiders’ actions has clear costs and benefits. On the one hand, the added focus on the claimholders’ incentives to control insiders de￾stroys the simplicity of the previous principal–agent structure. On the other hand, it provides an escape from the unrealism of the Modigliani–Miller Theo￾rem. Indeed, claimholders must be given proper incentives to intervene in management. These incen￾tives are provided by the return streams attached to their claims. The split of the outsiders’ total return among the several classes of claimholders now has real implications and security design is no longer a trivial appendix to the design of managerial incentives. This second branch of corporate finance can itself be divided into two subbranches. The first, reviewed