Abstract: From the portfolio perspective, considering the entrepreneur’s degree of risk aversion, the financing contract between venture capitalists and entrepreneur is applied to the CAPM framework through the definition of equivalent rate, and then the optimal financing contract design model from the point of view of risk-return is established. Through the Nash bargaining solution to describing the equilibrium solution under information asymmetry, we provide a method to design the financing contract and choose the type of venture capital for enterprises. Subsequently, we illustrate the practicability of the model by examples. The study shows that working together with venture capitalists is better than pure debt financing, and the allocation of equity depends on the bargaining power. We also find that, a less risk averse entrepreneur tends to choose the independent VCs; a more risk averse entrepreneur tends to choose the corporate VCs ; and an entrepreneur whose degree of risk aversion is not high tends to choose bank-dependent VCs if he wants to get a loan in the future.

Key words: start-up firms, venture capital, CAPM, risk aversion, Nash bargaining, financing contract

摘要： 从组合的视角出发,考虑创业企业家的风险厌恶程度,通过等价利率将创业企业的风险资本融资契约适应到CAPM框架下,利用纳什议价解刻画双方在信息不对称下的均衡解,基于风险-收益的角度建立了最优融资契约设计模型,为创业企业融资提供了契约设计和风险资本类型选择的一个依据,并通过算例说明了模型的可行性。研究还表明,创业企业引入风险资本优于纯债务融资,而股权的分配则取决于双方的议价力。同时,风险厌恶程度越低的创业企业家越趋向于选择独立的风险投资机构;风险厌恶程度越高的创业企业家越趋向于选择公司背景的风险投资机构;而风险厌恶程度不高,考虑后期贷款的创业企业家则趋向于选择银行背景的风险投资机构。

关键词: 创业企业, 风险资本, CAPM, 风险厌恶, 纳什议价, 融资契约中图分类号:F830.59 文章标识码:A 文章编号:1007-3221(2019)04-0130-09 doi:10.12005/orms.2019.0088