A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure
A Continuous-Time Analysis of Optimal Restructuring of Contracts with Costly Information Disclosure
复制标题
信息披露成本高昂的合同最优重组的连续时间分析
DOI：
10.1007/s10690-011-9144-6
复制
发表时间：
2012
影响因子：
1.7
通讯作者：
Hisashi Nakamura
中科院分区：
文献类型：
--
作者：
中村恒;Hisashi Nakamura
本文在一个信息披露成本较高的连续时间模型中，研究了重组与清算在长期债务合同估值中的作用。在资产定价文献中，Merton’s （J Finance 29:449-470, 1974）或有索赔权模型一直被用于公司证券和贷款的估值。然而，由于它们基本上假设了市场中足够完整的安全结构，因此这些文献不一定适合研究昂贵信息问题。另一方面，在公司融资文献中，众所周知，在成本信息问题下，代理成本（即代理人之间的利益冲突）扭曲了公司资本结构。然而，无论是在理论还是在实践中，都没有明确研究这种扭曲对证券和贷款估值的影响。本文弥补了这两种文献之间的差距。研究表明，在信息成本问题下，违约重组预期被接受时，企业杠杆率高于违约重组预期被接受时。跳至清算的风险在短期内增加了违约的可能性，并随着时间的推移降低了重组的可能性。
This paper studies the role of restructuring, as compared to the one of liquidation, in valuation of long-term debt contracts in a continuous-time model with costly information disclosure. In asset-pricing literature, Merton’s (J Finance 29:449–470, 1974) contingent-claim models have been long used for valuation of corporate securities and loans. However, since they basically assume sufficiently complete security structures in markets, the literature is not necessarily suitable for examining costly-information problems. On the other hand, in corporate-finance literature, it has been well known that agency costs (i.e., conflicts of interest among agents) distort corporate capital structure under costly-information problems. However, the effect of the distortion on valuation of securities and loans has not been explicitly studied either in theory or in practice. This paper bridges such a gap between the two literatures. This paper shows that, under a costly-information problem, corporate leverage ratios are higher when restructuring is expected to be accepted in default than otherwise. The risk of a jump to liquidation increases the default probability in short term, and decreases the probability of restructuring over time.