外文翻译--风险资产重组下的保险,债券合约,以及投资不足或过度投资

本科毕业论文（设计）
外文翻译
原文：
Insurance,bond covenants,and under- or over- investment with
risky asset reconstitution
Abstract
Traditional theory predicts that the shareholders of a limited liability company financed partly by bonds may underinvest by not replacing damaged company assets. It also precludes the possibility of overinvestment. By relaxing the restrictive assumption maintained under traditional theory, namely, that the effects of reconstituting damaged assets are nonstochastic, this article shows that both over and underinvestment are possible. It is shown that these moral hazard problems can be mitigated by incorporating appropriate insurance requirements into bond covenants. Moreover, it is shown that the insurance requirements for alleviating underinvestment and overinvestment are quite different. Particularly, for underinvestment, the required insurance only needs to make the bonds riskless in the best asset reconstitution states of the loss states in which the company value falls short of the promised bond repayment; however, for overinvestment, the required insurance should make the bonds totally riskless. The difference in insurance requirements is especially important when insurance is actuarially unfavorable such that morethan-required insurance is always undesirable.
Introduction
It is well known in the finance and economics literature that the presence of asymmetric information between stockholders and bondholders may lead to suboptimal corporate investment decisions. Two common examples are the asset substitution problem and the underinvestment problem introduced by Jensen and Meckling (1976) and Myers (1977). The seminal article of Mayers and Smith (1987)
shows that theunderinvestment problem may also occur in the case of reconstitution of damaged corporate assets. Risk-neutral shareholders, who have no precommitment to reconstituting damaged corporate assets, may choose not to replace lost assets in the states of nature in which the value of the company after asset reconstitution is raised but falls short of the bond repayment amount. To illustrate the underinvestment problem, Mayers and Smith (1987) assume that asset reconstitution raises company value and is riskless. Mayers and Smith (1987), Schnabel and Roumi (1989), and Garven and MacMinn (1993) propose that to mitigate the underinvestment problem, a bond covenant should be imposed, specifying that sufficient property insurance is purchased to make the bonds riskless and to prevent the shareholders from taking advantage of the limited liability provision by underinvesting in the states with large property losses.
Recently, some authors (e.g., De Meza and Webb, 1987; Berkovitch and Kim, 1990; Stulz, 1990; Harris and Raviv, 1996; Chung, 1998; Noe et al., 2002; Sigouin, 2003) suggest various reasons that overinvestment may also occur. For example, Berkovich and Kim (1990) suggest that if shareholders are allowed to issue nonsubordinated debt, then the relatively low cost of borrowing may create incentive for excessive investment. Noe et al. (2002) show that in international cooperative ventures, overinvestment occurs when the multinational’s bargaining advantage is reinforced by an informational advantage. A natural question that one may ask is whether it is possible that shareholders may overinvest when deciding if damaged assets should be replaced. Under Mayers and Smith’s (1987) riskless asset reconstitution assumption, overinvestment will never occur, because any asset reconstitution that reduces company value below the promised bond repayment amount also reduces shareholders’ wealth with certainty. What if asset reconstitution is risky?
In reality, there are reasons why reconstituting damaged assets may not always raise the value of a company and may even be risky. For instance, the cost of raising immediate liquidity to finance asset reconstitution may exceed its benefit given imperfect short-term capital markets. Unless there are prearranged contingency loans
(which are likely to be insufficient in the case of large property damage), the liquidity needed for asset reconstitution often has to be extracted from other important operations or production activities. With large property damage, asset reconstitution may use up a significant portion of prearranged credit or buffer cash initially planned for coping with other production and market shocks, introducing additional risk to the value of a company. Possible liquidity problems may have significantly negative impact on company value. Therefore, asset reconstitution can be risky, possibly resulting in positive or negative net present values in different states of nature. Moreover, the expected net present value of asset reconstitution can be positive or negative.
This article shows that both over and underinvestment problems may arise when asset reconstitution is risky.With risky asset reconstitution, given a certain level of asset damage, shareholders may not choose to reconstitute damaged assets even though doing so generates a positive expected net present value, giving rise to the underinvestment problem. This happens when the value of a company falls short of the promised bond repayment amount even in the best asset reconstitution states. In this case, asset reconstitution will only benefit bondholders, but not shareholders who arealready protected by the limited liability provision. The underinvestment problem will not arise in the absence of limited liability because a rise in company value due to asset reconstitution will relieve some shareholders’ debt responsibilities. It also will not arise whenever company value exceeds the promised bond repayment amount in some asset reconstitution states, because asset reconstitution raises shareholders’wealth in these states.
On the contrary, given a certain level of asset damage, shareholders may opt for risky asset reconstitution with a negative expected net present value, giving rise to the overinvestment problem. This happens when the value of a company is higher than the bond repayment amount in some, but not all, asset reconstitution states. Shareholders, who are protected by the limited liability provision, will engage in risky asset reconstitution to raise their own wealth in solvent states, knowing that doing so lowers company value and bondholders’ wealth in insolvent states, giving rise to an
overall fall in expected company value and expected bondholders’ wealth. The overinvestment problem will not arise in the absence of limited liability because any fall in company value will eventually raise shareholders’ own debt responsibilities. I t also will not arise whenever a company’s value is lower than the promised bond repayment amount in all asset reconstitution states, because asset reconstitution will benefit no one.
Similar to Mayers and Smith’s (1987) underinvestment problem under risk less asset reconstitution, bond covenants requiring the shareholders to purchase appropriate property insurance can be used to mitigate both underinvestment and overinvestment under risky asset reconstitution. Particularly, to avoid underinvestment, it suffices to specify an indemnity schedule to raise the value of the company sufficiently so that the bonds are made riskless in those insolvent states in which reconstituting damaged assets raises company value in order to provide an incentive for the shareholders to replace damaged assets to keep the company from going bankrupt. To avoid over-investment, it suffices to specify an indemnity schedule to raise company value in potential insolvent states and hence shareholders’ opportunity cost of asset reconstitution, so that it is no longer possible for shareholders to take advantage of the limited liability provision to increase their own wealth at the expense of bondholders.
The rest of the article is organized as follows: Section Company Value with Riskless or Risky Asset Reconstitution compares the case of risky asset reconstitution to the traditional case of riskless asset reconstitution. Section Underinvestment with Riskless or Risky Asset Reconstitution distinguishes the underinvestment problems with riskless and with risky asset reconstitution. Section Bond Covenant for Mitigating Underinvestment derives the required property insurance indemnity schedule that should be specified in a bond covenant to mitigate the underinvestment problem with risky asset reconstitution. Section Overinvestment with Risky Asset Reconstitution identifies the overinvestment problem with risky asset reconstitution. Section Bond Covenant for Mitigating Overinvestment derives the insurance indemnity schedule required for mitigating the overinvestment problem. Section
Actuarially Unfavorable Insurance considers the effects of insurance loading. Final section concludes.
1．COMPANY VALUE WITH RISKLESS OR RISKY ASSET RECONSTITUTION The model to be analyzed is an extension of those of Mayers and Smith (1987), Schnabel and Roumi (1989), and Garven and MacMinn (1993).
Mayers and Smith (1987) assume that the shareholders of a limited liability company have the choice of replacing damaged assets fully and that the effect of asset reconstitution on the company’s value is certain, depending only on realization s of s. They conclude that there may be underinvestment, as the shareholders may not replace damaged assets even when asset reconstitution results in an increase in the value of the company. The reason is that in the states with large property losses, the value of the company is lower than the amount needed for fully repaying the bondholders, even after asset reconstitution. Since the shareholders are protected by the limited liability provision, any increase in the value of the company in these loss states will benefit only the bondholders. Notice that with riskless asset reconstitution, overinvestment is impossible because the shareholders will not benefit from any riskless asset reconstitution that reduces the value of the company.
Two questions arise. First, is the riskless asset reconstitution assumption always reasonable? Second, if the riskless asset reconstitution assumption is relaxed, how will the conclusion on underinvestment and overinvestment be affected?
It is possible that asset reconstitution may reduce, instead of raise, the value of the company and, at the same time, may introduce a spread (or additional risk). There are several reasons for such stochastic deterioration of company value. First, even if the reinstallation or reproduction of damaged assets (possibly productive inputs or finished outputs) is successful with certainty, the cost and the timing of the reinstallation or reproduction may be stochastic, resulting in additional cost or production uncertainty. Second, the replenishing of damaged output may require the company to acquire additional raw materials and other inputs whose prices may be risky. As the size of asset damage is unknown a priori, no hedging against the
fluctuation in input prices can be prearranged. Third, even if the damaged assets are fully replaced, there may be contract or production delay that creates additional risk as a result of uncertain contract penalty or fluctuation in output prices that has not been completely hedged against. Finally, asset reconstitution may utilize internal funds, causing some uncertain liquidity problems, depending on the realized loss size.
To model the additional risk introduced by asset reconstitution, denote the continuum of states of nature resulting from asset reconstitution by random variable ∈. At t =0, prior to the bond issue, ∈and s have joint distribution function f . Assume that ∈is realized right after s has been realized and the shareholders have taken action to reconstitute any damaged assets.
Conclusions
Mayers and Smith (1987) and subsequent researchers have analyzed the underinvestment problem of the shareholders of a limited liability company financed partly by bonds when the net effect of replacing damaged property is certain. They suggest that a bond covenant specifying an appropriate insurance requirement mitigates the problem. Recently, asymmetric information overinvestment problems have been studied extensively in the economics and finance literature but have received little attention in the insurance literature. This article suggests that both overinvestment and underinvestment are common potential asymmetric information problems inherent in the reconstitution of damaged assets whose effects are stochastic. These problems cannot be prevented by conventional investment restrictions in bond covenants that require new projects to be undertaken if and only if they have positive net present values. The reason is that replacing damaged assets is not recorded as a new investment in general. Similar to the underinvestment problem with riskless asset reconstitution, the underinvestment and overinvestment problems with risky asset reconstitution can be mitigated by imposing bond covenants containing appropriate insurance requirements.
A standard insurance requirement in a bond covenant is often simple because of cost consideration and the difficulties in monitoring and enforcing. It often states that the borrowing company should purchase insurance “to substantially the same extent
as its competitors” (see e.g., Smi th and Warner, 1979). According to the results derived in this article, however, such a requirement is generally not very effective. In addition, this article shows that the indemnity schedules required for mitigating typical underinvestment and overinvestment problems are very different in general. Of course, the difference is unimportant when insurance is actuarially fair, in which case the shareholders can simply be required to buy full insurance, which is always sufficient (but not necessary) for solving both problems. The difference becomes critical when insurance is actuarially unfavorable and more-than-required insurance is always undesirable.
Source: Arthur Hau,2007.“Investment,Bond Covenants,and Under- or Over- Investment With Risky Asset Reconstit ution”.The J ournal of Risk and Insurance. vol.74,no.1, pp. 3-22.
译文：
风险资产重组下的保险，债券合约，以及投资不足或过度投资
摘要
传统理论预测部分债权责任有限公司的股东可能因替代被损害的公司资产而投资不足。

它同时也排除了过度投资的可能性。

包含在传统理论指导下，放宽限制的臆想，名义上说，重组被损害的资产的影响是非随机性的。

本文论证了过度投资及投资不足均有可能。

它显示出道德危机问题可能会因把适当的保险需求合并入债务投资而缓和，此外，看上去缓解投资不足及投资过度的保障要求是十分不同的。

特别的，对于投资不足而言，保障要求仅仅需要在当公司处于亏损状况，承诺的债券收益减少，于最佳的资产重组的状况中将债务风险减小。

但是，对于过度投资而言，保障要求则要使债务风险完全无风险。

当保险在精算上不顺利时，就如更多的不必要的保证总是很需要存在一样，这一在保险事务上的不同就会显得特别的重要。

引言
众所周知，在财经类文献中股东与债权人之间存在非对称信息可能会导致不是最理想的合作投资决定。

两个共同的例子是：杰森、麦克林和迈尔斯阐述的关于资产替换问题和投资不足问题。

这一迈尔斯和史密斯的对今后发展有巨大影响的文章指出投资不足问题可能也会发生在受损合作资产的整合中。

那些没有预先承诺重组合作资本的中性风险股东可能会再公司资产重组使整个公司资产提高但债券分红总金额较短减少的自然情况下选择不去替补那些失去的资产。

为了说明投资不足的问题，迈尔斯和史密斯假定资产重组提高公司价值并且无风险。

迈尔斯、史密斯、思科南拜耳、罗米、葛文和麦克明提议为缓解投资不足的问题，应被强制实行的一种债务合约明确提出应该购买足够的财产保险来是债务无风险，并阻止股东在大量资金流失时通过投资不足来利用有限的债务供给。

最近，一些作者指出了多种原因过度投资也会发生。

例如，贝尔科维奇和金姆指出假如股东也被允许发出附属债务，之后借贷的低花费关系，则会刺激产生过度投资。

诺尔等显示出在国际合作风险中，过度投资会在多国交易优势因信息优势而加强时发生。

一个人们会问的自然的问题是是否有这种可能股东会在决定受损害的资产是否应被替换时投资过度。

在迈尔斯和史密斯无风险资产重组假说下，过度投资永不会发生，因为任何减少在承诺的债券收益总金额的情况下的公
司价值的同时肯定也会减少股东的财富。

那假如资产重组使有风险的那会如何呢？
实际上，关于重组受损资产可能不总是会提高公司的价值并会具有风险这一问题，有许多原因。

例如，金融资产重组的直接流动的提高的花费可能超过在尚未完善的短期资本流动市场上所提供的利润。

除非有提前安排的意外的借贷（就如在很大的资产损失的情况下出现不足），需要在资金重组的前提下进行的资金流动通常要在其他重要的运行或生产活动中提取。

在大量资产被损害时资产重组可能会用尽提前准备的信贷或为应对产品及市场冲击的缓冲资金中的很重要的一部分，对公司的资产带来更多的风险。

可能的资金流动问题也许会对公司的资产产生负面冲击。

因此，资金重组可能是有风险的，在不同的环境情况下导致最终的资金正面或负面的影响。

甚至资产重组所期望的最终结果也可能是正面或负面的。

这篇文章指出在资产重组具有风险性的情况下，过度投资及投资不足问题均会升高。

在有风险的资金重组时加入给予一个确切的资金损害等级，股东们当面对投资不足问题时甚至假如能够产生一个预期的积极地最终利润，也不会选择去重组受损害的资产。

这种情况即使在最好的资本重组环境下，当公司在缺乏承诺的债券收益总额时也会发生。

在这种情况下，资金重组只会有利于债券持有人，而对于已经在有限责任赋予的保护下的股东则无任何利益。

投资不足问题不会再有限的权利缺失的情况下提高，因为根据资金重组产生的公司价值的提升将减少股东的借贷责任。

有些资金重组在公司价值超过了允诺的债券收益总额的情况下它也不会提高，因为在这种情况下资金重组提高的是股东的财富。

另一方面，给出某一水平的资产损坏，股东可能选择以负的预期净现值进行风险资产重组，这增强了过度投资问题。

这发生在当公司价值比债券偿还总额高时，但只是一些资产重组情形，并不是全部。

被限制性债务条款保护的股东会渴望通过风险资产重组来提高解决方案中他们自己的财富，要知道这么做会降低公司价值以及债权人的财富，导致了预期公司价值以及预期债权人收益的总体下降。

过度投资问题在缺少限制性负债时不会提高，因为任何公司价值的下降最终都会提高股东自身的债务责任。

无论何时当公司价值比全部资产重组情形下的期望债券偿还总额还低时，它也不会提高，因为资产重组不会是任何人获益。

与梅耶斯和史密斯（1987）无风险资产重组下的投资不足问题类似，债权契约需要股东购买适当比例的可以用于缓解风险资产重组下的投资不足以及过度投资的保险。

特别地，为了避免投资不足，它有能力制定一个补偿表来充分地提高公司的价值，以便债券可以使那些重组中的受损资产增加公司价值的破产情形无风险，为了给股东提供刺激代替受损资产来维持公司免于破产。

为了避免过度投资，它有能力制定一个补偿表在潜在的破产声明中提高公司价值并巩固股东资产重组的机会成本，以便使股东不可能利用受限制债务条款来用债权人的费用来增加他们自己的财富。

文章的剩余部分安排如下：无风险或风险资产重组下的公司价值一章将风险资产重组案例与传统的无风险资产重组案例进行了比较。

无风险或风险资产重组下的投资不足一章辨别了无风险资产重组下的投资不足问题以及风险资产重组下的投资不足问题。

缓解投资不足的债券契约一章阐述了必须的财产保险赔偿一览表应当在债券契约中详细说明，来缓解风险资产重组下的投资不足的问题。

风险资产重组下的过度投资一章阐述了风险资产重组下的过度投资问题。

缓解过度投资的债券契约一章阐述了必须的财产保险赔偿一览表缓解过度投资的问题。

不利的保险统计一章阐述了保险的作用。

最后一章总结。

1．无风险或风险资产重组下的公司价值
将被分析的模型是对梅耶斯和史密斯（1987），施纳贝尔和罗米（1989），以及加文和麦克民（1993）的扩展。

梅耶斯和史密斯（1987）假设有限责任公司的股东可以选择全部替换受损资产，并且资产重组对于公司价值的的效果是确定的，只依赖于变量s。

他们得出可能会出现投资不足的结论，由于即使资产重组会使公司价值增加股东可能也不会替换受损资产。

原因在于在较大的财产损失中，公司价值比支付给债权人的总额要低，资产重组后更甚。

由于股东受有限责任条款保护，在这些损失的情形中任何公司价值的增加只会使债权人受益。

注意由于无风险资产重组，过度投资是不可能的，因为股东将不会从任何使公司价值增加的无风险资产重组中获益。

这就产生了两个问题。

第一个，无风险资产重组的假定总是合理的吗？第二个，如果无风险资产重组的假定是不严格的，对于投资不足和过度投资的结论将受到怎样的影响？
资产重组可能会减少而不是增加公司的价值也是有可能发生的，并且同时，可能产生延伸（或者额外的风险）。

对于这种公司价值的随机减少有几种原因可解释。

第一种，即使重新安装或者重新生产受损资产（可能是生产性的投入或者完成的产出）肯定能成功，重新安装或者重新生产的成本以及时间都可能是随机的，这导致了额外的成本或者生产不确定性。

第二种，重装受损资产可能需要公司获得额外价格有风险的原材料以及其他投入。

由于受损资产的尺寸事先并不知道，避免投入物价格起伏所带来损失的措施不能预先安排。

第三种，即使受损资产全部被替换，作为没有完全避免的不确定合同的罚金或者产出物价格的波动的结果，也可能会有合同或者生产延迟产生额外的风险。

最后一种，资产重组可能会利用内部资金，导致一些不确定的流动性问题，这取决于已发生的损失规模。

为了模拟由资产重组产生的额外风险，由资产重组产生的一系列自然结果由随机变量∈表示。

当t=0时，在债券发行以前，∈和s有联合分布函数f。

假设∈刚好在s得以实现后实现，并且股东已经采取行动来重建受损资产。

结论
梅尔斯、史密斯和之后的学者当替代受损的财产的实际结果已经确定时，已经分析出部分债权责任有限公司的股东关于投资不足的问题。

他们建议在债权合同里提出一个适当的保险要求来缓解这一问题。

最近，不对称的信息是在过度投资问题在经济、财政学中被广泛深入地学习，但在保险学方面却受到极小的关注。

本文指出过度投资于投资不足均是潜在的非对称信息问题，固有于那些影响是随机的受损资产的重组。

这些问题不能被传统的需要着手的新计划例如它们拥有绝对现在净价值的债权合同所阻止。

原因是替换受损资产不是记录得就像整体上的一个新投资。

就像无风险资产重组下的投资不足问题一样，有风险的资产重组下的投资不足及投资过度问题可以通过严肃的包括适当的保险要求的债务合同而缓解。

一个标准的债权合同的保险要求通常很简单，因为费用考量和监控及加强的难度，它通常表现为借贷公司应购买保险“本质上就与它们的竞争对手”（参考史密斯和华纳，1979）一样广泛。

但是，根据文章得出的结论，要求通常上不是很有效。

而且，这篇文章描述了为缓解典型的投资不足和投资过度问题的赔偿清单在通常意义上讲是十分不同的。

当然，当保险在精算上是公平适当时，即当在
股东能够很简单地被要求购买足够的（不是必须的）全额保险来解决双方问题的情况下，这一不同将是不重要的。

这一不同之处当保险精算不顺利和不必要的保险总是不那么容易接受的时候显得尤为重要。

出处：阿瑟.《风险资产重组下的保险，债券合约，以及投资不足或过度投资》.
风险与保险杂志.第74卷，2007（1）：3-22。