考慮破產成本與不同代理目標下的公司破產機率與相關成本分析

Analysis of Cost and Probability of Bankruptcy when Bankruptcy Cost is Considered

本研究是根據Leland（1994）的模型來評估舉債的破產機率、舉債相關成本與邊際舉債風險溢酬率，並且在模型中考慮了破產的直接與間接成本，除此之外，本模型還同時考慮經理人在兩種目標下所產生的破產機率的大小，並且也同時評估舉債所產生的破產直接與間接成本，本研究發現破產機率在考慮破產間接成本後，在以股東價值極大化目標下，則它的破產機率會更大，但是假如經理人是以公司價值極大化為目標，則公司的破產機率反而會比較小，並且它們在這兩種不一樣的目標下，對於不一樣的參數的相關性與敏感性也不完全相同，而公司的舉債的破產直接成本與間接成本也會因為參數的不同而有所影響，本研究有三個發現：第一，當經理人是以公司價值極大化為目標時，公司的最適破產機率會很接近零，也就是經理人在任何情況下應盡力經營公司，公司破產才是最後的決策。第二，當公司利用增加負債程度時，他們必須考慮各種狀況下的舉債邊際風險溢酬率，根據當時的狀況來考慮是否增加負債程度，因為隨著舉債程度提高，邊際利息也會增加，所以經理人在舉債時，必須考慮使公司價值最大的融資決策。第三，公司在考慮間接的破產成本因素後，無論是公司最適破產機率，或是邊際舉債的風險溢酬率都會比沒有考慮間接破產成本的模型高，並且最適資本結構的負債比率也會比較低。所以經理人在舉債時也必須考慮舉債所造成的效果，做出最適化的決策。

Based on Leland (1994), the paper tries to examine the changes in probability of bankruptcy when direct and indirect costs of bankruptcy are considered. Besides, the paper tries to study the changes in probability of bankruptcy when agents have different goals, and explore the changes in bankruptcy costs and agency costs. The paper finds that, by taking into account of indirect cost of bankruptcy, the probability of bankruptcy tends to increase when agents try to maximize the value of shareholders, but tends to decrease when agents try to maximize the value of the firm. The probability of bankruptcy also varies by the changes of the parameters in different goals of agency models. Three major findings in the paper are: (1) when agents try to maximize the value of firm, the optimal probability of bankruptcy is close to zero; (2) marginal risk premium incurred by additional debts have to be considered in maximizing the value of firm; (3) the financing decision made by agents are affected by indirect costs of bankruptcy as they will increase the optimal probability of bankruptcy and marginal risk premium of debt in comparison with the case of direct costs being considered only.