Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads
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DOI：
10.1111/j.1540-6261.1996.tb02714.x
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发表时间：
1996-07
期刊：
影响因子：
--
通讯作者：
H. Leland.;K. Toft.
中科院分区：
文献类型：
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作者：
H. Leland.;K. Toft.
本文研究了一个公司的最优资本结构，它可以选择其债务的数量和期限。破产是内生决定的，而不是通过强加一个积极的净资产条件或现金流限制。结果扩展了Leland [1994]的封闭形式的结果，更丰富的一类可能的债务结构，并允许研究最优债务期限以及最优债务金额。该模型生成的预测杠杆，信用利差，违约率，减记雅阁相当接近历史平均水平。虽然短期债务不像长期债务那样完全利用税收优惠，但它更有可能在债权人和股权持有人之间提供激励相容性。当公司使用短期债务时，“资产替代”的代理成本最小化。在确定资本结构的最佳期限时，债务的税收优势必须与破产和代理成本相平衡。该模型预测不同风险水平的信用利差的不同形状的期限结构。这些期限结构与Sarig和Warga [1989]的经验发现相似。该模型对债券投资组合管理具有重要意义。一般来说，麦考利久期大大夸大了风险债务的真实久期，这可能是负面的“垃圾”债券。此外，债券价格的“凸性”可以变成“凸性”。"
This paper examines the optimal capital structure of a firm which can choose both the amount and maturity of its debt. Bankruptcy is determined endogenously rather than by the imposition of a positive net worth condition or by a cash flow constraint. The results extend Leland's [1994] closed-form results to a much richer class of possible debt structures and permits study of the optimal maturity of debt as well as the optimal amount of debt. The model generates predictions of leverage, credit spreads, default rates, and writedowns which accord quite closely with historical averages. While short term debt does not exploit tax benefits as completely as long term debt, it is more likely to provide incentive compatibility between debtholders and equityholders. The agency costs of "asset substitution" are minimized when the firm uses shorter term debt. The tax advantage of debt must be balanced against bankruptcy and agency costs in determining the optimal maturity of the capital structure. The model predicts differently shaped term structures of credit spreads for different levels of risk. These term structures are similar to that found empirically by Sarig and Warga [1989]. The model has important implications for bond portfolio management. In general, Macaulay duration dramatically overstates true duration of risky debt, which may be negative for "junk" bonds. Furthermore, the "convexity" of bond prices can become "concavity."