Investment under Uncertainty with Strategic Debt Service
Investment under Uncertainty with Strategic Debt Service
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DOI：
10.1257/aer.97.2.256
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发表时间：
2007-04
期刊：
影响因子：
--
通讯作者：
S. Sundaresan;Neng Wang
中科院分区：
文献类型：
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作者：
S. Sundaresan;Neng Wang
设计良好的破产法是发达经济体金融体系的重要组成部分。通过允许债权人扣押未能按合同付款的借款人的资产，该准则对债务能力和公司价值产生了有利的事前效应。通过给予借款人重新协商债务和寻求破产保护的选择，该准则增加了借款人避免低效事后清算的可能性。正如Hart（1999）所指出的，代码应该平衡事前公司价值最大化和事后效率。不同国家的破产法对这种权衡的权重不同，因此在借款人和贷款人之间的权利和权力分配方面也有所不同。在本文中，我们提供了一个跨期的框架来研究债权人的清算权和事后议价能力的分配如何影响企业的投资和融资决策，并影响事前企业价值。我们发现，较强的股东议价能力降低了债务能力，降低了公司价值，并阻碍了成长性期权的行使。我们的校准表明，战略后重新谈判对事前公司价值的定量影响可能很大。我们的论文试图通过建立两股文献：投资和债务定价，将金融架构整合到投资理论中（成长性期权行使）。我们将麦克唐纳和西格尔（1986）以及布伦南和施瓦茨（1985）开创的实物期权方法扩展到投资中，以允许战略债务服务下的资本结构决策。我们还从公司债务定价/资本结构文献中获得见解，这些文献侧重于投资后的杠杆和证券定价(Merton (1974)， Black和Cox（1976)，以及Leland(1994)）。本文通过描述最优投资和融资决策，以及以封闭形式等待的期权价值，弥合了这两种文献之间的差距。我们表明，在存在战略债务服务的情况下，融资和投资决策之间的相互作用产生了新的见解，并且在定量上对事前公司价值产生了重要影响。
The presence of a well designed bankruptcy code is an important part of the financialarchitecture in developed economies. By allowing the creditors to seize the assets of theborrowers who fail to make contractual payments, the code generates beneficial ex ante effectson debt capacity and firm value. By giving the borrowers options to renegotiate their debtobligations and seek bankruptcy protection, the code increases the likelihood that borrowersmay avoid inefficient ex post liquidation. As Hart (1999) notes, the code should balanceex ante firm value maximization with ex post efficiency. The bankruptcy codes in differentcountries weight this tradeoff differently and hence vary in terms of the distribution of rightsand powers between borrowers and lenders.In this paper, we provide an inter-temporal framework to examine how the creditors’liquidation rights and the distribution of ex post bargaining powers influence the firm’s in-vestment and financing decisions, and affect ex ante firm value. We show that strongerequityholders’ bargaining power lowers debt capacity, reduces firm value, and discouragesgrowth option exercising. Our calibration suggests that the quantitative effects of ex poststrategic renegotiation on ex ante firm value may be large.Our paper provides an attempt to integrate financial architecture into the theory of in-vestment (growth option exercising), by building on two strands of literature: investment anddebt pricing. We extend the real options approach to investment, pioneered by McDonaldand Siegel (1986) and Brennan and Schwartz (1985), to allow for capital structure decisionsunder strategic debt service. We also draw insights from corporate debt pricing/capital struc-ture literature, which focuses on leverage and security pricing after investment has alreadybeen made (Merton (1974), Black and Cox (1976), and Leland (1994)). Our paper bridgesthe gap between these two strands of literature by characterizing the optimal investment andfinancing decisions, and the option value of waiting in closed form. We show that the inter-action between financing and investment decisions in the presence of strategic debt servicegenerates new insights and also quantitatively important effects on ex ante firm value.