基于实物期权理论,本文构建了时间不一致偏好下的消费金融公司退出转让模型,从而研究和探讨了消费金融公司主动转让业务并退出经营的可能性.将消费金融公司管理者的退出选择看作美式看涨期权的最优行权问题,利用动态规划和最优停时理论,本文求解了时间偏好不一致的消费金融公司管理者的最优退出行权价格.研究发现,时间偏好不一致的消费金融公司管理者倾向于提前行使退出期权,但为使退出策略的价值最大化,退出行为被延迟;相对于幼稚型管理者,成熟型管理者更有风险规避倾向,即选择提前退出经营.此外,消费金融公司管理者的破产决策还受到还款现金流和时间偏好因素的影响.
Abstract
Based on the theory of real options, this paper constructs a consumer finance company's exit transfer model under time inconsistent preferences, thereby researching and discussing the possibility of consumer finance companies' operations withdrawing. Regarding the exit choice of consumer finance company managers as the optimal problem of American call options, using dynamic programming and optimal stopping time theory, this paper solves the optimal exit exercise price of consumer finance company managers with inconsistent time preferences. Research has found that managers of consumer finance companies with inconsistent time preferences tend to exercise exit options early, but in order to maximize the value of exit strategies, exit behavior is delayed. Compared with naive managers, mature managers have a tendency to avoid risks, which is to choose to withdraw from the operation early. In addition, the bankruptcy decision of the manager of a consumer finance company is also affected by the repayment cash flow and time preference factors.
关键词
消费金融公司 /
时间不一致性 /
实物期权
{{custom_keyword}} /
Key words
consumer finance company /
time inconsistency /
real option
{{custom_keyword}} /
中图分类号：
F830.3
{{custom_clc.code}}
({{custom_clc.text}})
{{custom_sec.title}}
{{custom_sec.title}}
{{custom_sec.content}}
参考文献
[1] 程雪军,李心荷.金融科技背景下的消费金融公司发展困境与出路探析[J].金融与经济, 2020(8):74-80.Cheng X J, Li X H. Analysis on the development dilemma and outlet of consumer financial company under the background of financial technology[J]. Finance and Economy, 2020(8):74-80.
[2] 黄文礼,鲁兰心,杨圣宗.两次网贷风波比较分析及政策建议[J].清华金融评论, 2019(7):102-104.Huang W L, Lu L X, Yang S Z. Comparative analysis of the two online lending fiascoes and policy recommendations[J]. Tsinghua Financial Review, 2019(7):102-104.
[3] 黄文礼,章晓洪,李原.风险管理视角下网贷长短期风险缓释机制[J].清华金融评论, 2019(1):99-102.Huang W L, Zhang X H, Li Y. Long and short-term risk mitigation mechanisms for online loans from a risk management perspective[J]. Tsinghua Financial Review, 2019(1):99-102.
[4] 王会娟,廖理.中国P2P网络借贷平台信用认证机制研究——来自"人人贷"的经验证据[J].中国工业经济, 2014(4):136-147.Wang H J, Liao L. Chinese P2P platform's credit authentication mechanism research-Evidence from Renrendai[J]. China Industrial Economics, 2014(4):136-147.
[5] Herzenstein M, Dholakia U M, Andrews R L. Strategic herding behavior in peer-to-peer loan auctions[J]. Journal of Interactive Marketing, 2010, 25(1):27-36.
[6] Wang H, Greiner M. Herding in multi-winner auctions[C]//Saint Louis, US:International Conference on Information Systems, 2010:235.
[7] 陈霄,叶德珠.中国P2P网络借贷利率波动研究[J].国际金融研究, 2016(1):83-96.Chen X, Ye D Z. An empirical research on China's P2P lending interest rate volatility[J]. Studies of International Finance, 2016(1):83-96.
[8] 刘红忠,毛杰. P2P网络借贷平台爆发风险事件问题的研究——基于实物期权理论的视角[J].金融研究, 2018(11):119-132.Liu H Z, Mao J. A study of P2P lending risk events:The perspective of the real option theory[J]. Journal of Financial Research, 2018(11):119-132.
[9] Karp L. Non-constant discounting in continuous time[J]. Journal of Economic Theory, 2005, 132(1):557-568.
[10] Grenadier S R, Wang N. Investment under uncertainty and time-inconsistent preferences[J]. Journal of Financial Economics, 2006, 84(1):2-39.
[11] Gabrieli T, Ghosal S. Non-existence of competitive equilibria with dynamically inconsistent preferences[J]. Economic Theory, 2013, 52(1):299-313.
[12] Zou Z, Chen S, Wedge L. Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting[J]. Journal of Mathematical Economics, 2014, 52(5):70-80.
[13] Harris C, Laibson D. Dynamic choices of hyperbolic consumers[J]. Econometrica, 2001, 69(4):935-957.
[14] 徐泽水,任#
[131] 嘉.犹豫模糊偏好决策研究进展与前景[J].系统工程理论与实践, 2020, 40(8):2193-2202.Xu Z S, Ren P J. A survey of decision making with hesitant fuzzy preference relations:Progress and prospect[J]. Systems Engineering-Theory&Practice. 2020, 40(8):2193-2202.
[15] Chen S, Li Z, Zeng Y. Optimal dividend strategies with time-inconsistent preferences[J]. Journal of Economic Dynamics and Control, 2014, 46:150-172.
[16] Merton R C. An intertemporal capital asset pricing model[J]. Econometrica:Journal of the Econometric Society, 1973, 41:867-887.
[17] Strotz R H. Myopia and inconsistency in dynamic utility maximization[J]. Review of Economic Studies, 1956, 23(3):165-180.
[18] Akerlof G, Review A E, Duflo E. Procrastination and obedience[J]. American Economic Review, 1991, 81(2):1-19.
[19] O'Donoghue T, Rabin M. Doing it now or later[J]. The American Economic Review, 1999, 89(1):103-124.
[20] Rabin M. Risk aversion and expected-utility theory:A calibration theorem[J]. Econometrica, 2000, 68(5):1281-1292.
[21] Dixit A. The art of smooth pasting[M]. Abingdon:Taylor and Francis, 1993.
[22] Maskin E, Tirole J. Markov perfect equilibrium[J]. Journal of Economic Theory, 2001, 100(2):191-219.
{{custom_fnGroup.title_cn}}
脚注
{{custom_fn.content}}
基金
国家自然科学基金(71971192);教育部人文社会科学研究青年基金(19C11482075);浙江省自然科学基金(LY19G 010005)
{{custom_fund}}
PDF(867 KB)
