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在不确定的市场环境下,企业的投资机会具有期权特点。本文在委托代理框架下,研究实物期权投资中的最优合同设计问题。考虑一个委托代理制的企业,委托人拥有推迟项目投资的期权,授予代理人执行该投资期权。信息不对称下,代理人有隐藏信息转移现金流的动机。为了实现自身利益的最大化,委托人设计合同,在该合同下,代理人将揭示真实的信息。在信息对称与信息不对称的情形下,分别建立实物期权模型,得到了委托人设计的最优合同。并通过数值分析,得到了如下的主要结论,信息不对称下,与信息对称相比,高成本的项目投资时机推迟,低成本的项目时机提前,投资期权价值减少。委托人的期权价值随着审核效率的提高而增大。当代理人越没有耐心时,委托人的期权价值越大。本文的研究为现实中的委托代理框架下的实物期权投资决策提供了一定的指导意义。
In an uncertain market environment, the investment opportunities of enterprises have the characteristics of options. In the framework of principal-agent, this paper studies the optimal contract design in real option investment. Consider an agency commissioned by the enterprise, the client has the option to postpone the project investment, grant the agent to implement the investment option. Asymmetric information, the agent has the motivation to hide the information transfer cash flow. In order to maximize their own interests, the principal design contract, under which the agent will reveal the true message. In the case of information asymmetry and information asymmetry, we establish the real option model and get the optimal contract designed by the principal. And through numerical analysis, the following main conclusions are obtained. Under asymmetric information, compared with information symmetry, high-cost project investment timing is postponed, low-cost project timing is advanced and the value of investment option is reduced. The value of the principal’s options increases with the audit efficiency. The more impatient an agent, the greater the value of the principal’s options. The research in this paper provides some guidance for real option investment decision under the framework of principal-agent.