第574期岭南学术论坛（金融学系列Seminar）

报告题目：SME credit guarantees and investment with information asymmetry and Bayesian learning

报  告 人：杨招军（南方科技大学，副教授，研究员）

主  持 人：刘彦初（中山大学岭南学院，副教授）

时       间：2021年3月26日（周五）下午16:00-18:00

地       点：岭南堂汪道涵会议室

语       言：中文

摘要：

Many financial institutions and governments guarantee the debt of small and medium-sized enterprises (SMEs) to alleviate SMEs' financing constraints on project investments. However, the issue of information asymmetry makes high-profitability SMEs unable to take their first-best investment policies and hence they incur smaller project values and larger guarantee costs due to adverse selection. To tackle the issue, we develop an innovative model using Bayesian methods to mitigate these adverse effects. After incorporating learning into fee-for-guarantee swaps (FGSs), we obtain a signaling model with the new feature of communicating project prospects to insurers through investment timing, the amount borrowed, and guarantee cost. Our more challenging model provides novel empirical predictions. We discover that learning brings the benefits of smaller guarantee costs, lower adverse selection costs, and higher option values. These effects are more pronounced when uncertainty is higher. To reduce the losses due to large funding gaps in a ``separating equilibrium'', learning makes a ``pooling equilibrium'' Pareto optimal, leading to larger option values and smaller costs. Learning can make high-profitability borrowers postpone investment as expected but surprisingly it possibly accelerates investment if the pooling equilibrium is reached. FGSs are superior to equity-for-guarantee swaps under marked information asymmetry.

报告人简介：

   杨招军南方科技大学，副教授，研究员。深圳市鹏城学者长期特聘教授（金融学），深圳市南山区“领航人才”B类。中国优选法统筹法与经济数学研究会量化金融与保险分会副理事长；中国运筹学会金融工程与金融风险管理分会常务理事；Taylor & Francis 期刊 Cogent Economics and Finance 的金融经济学领域 Editor；《财经理论与实践》编委。2021年度国家自然科学基金重点项目《基于区块链技术的中小微企业资产证券化融资模式设计》负责人。

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       中山大学岭南学术论坛分经济、金融和管理三个系列，是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期，并得到了各界的高度评价。