This paper develops a dynamic structural model to study the interaction between an entrepreneur's initial financing choice and future investment decisions when the firm is financed by an option-for-guarantee swap (OGS) contract. We begin under the assumption that the guarantee cost is determined by the bargaining between the entrepreneur and the guarantor at the initial time, and the entrepreneur can exercise investment at each time to adjust the firm's size. We show that both the market leverage ratio and agency cost of debt overhang exhibit a U-shaped relation with the entrepreneur's bargaining power. Moreover, our model predicts an inverted U-shaped relationship between the agency cost of debt overhang and the profitability of investment opportunities. In particular, compared to the traditional fee-for-guarantee swaps (FGSs), we also demonstrate that firms with OGS financing have a larger bargaining region between the entrepreneur and the guarantor. This means that OGSs can make it easier for the entrepreneur escape initial financial constraints and thus can provide a novel investment-based explanation for the use of OGSs.

中文翻译：

---

期权换担保互换和灵活的投资机会

本文开发了一个动态结构模型来研究当公司通过期权换担保互换 (OGS) 合同融资时，企业家的初始融资选择与未来投资决策之间的相互作用。我们首先假设担保成本是由创业者和担保人在初始时间的讨价还价决定的，创业者可以在每一次都通过投资来调整公司的规模。我们表明，市场杠杆率和债务积压的代理成本都与企业家的议价能力呈 U 型关系。此外，我们的模型预测债务积压的代理成本与投资机会的盈利能力之间存在倒 U 型关系。特别是，与传统的担保费互换（FGS）相比，我们还证明，拥有 OGS 融资的公司在企业家和担保人之间有更大的讨价还价区域。这意味着 OGS 可以使企业家更容易摆脱最初的财务限制，从而可以为 OGS 的使用提供基于投资的新解释。