FINANCING AND INVESTMENT STRATEGIES UNDER CREDITOR-MAXIMIZED LIQUIDATION

IF 0.5 Q4 BUSINESS, FINANCE

International Journal of Theoretical and Applied Finance Pub Date : 2021-03-30 DOI:10.1142/S0219024921500138

T. Shibata, M. Nishihara

引用次数: 0

Abstract

We develop a contingent claim model to examine the interaction between financing and investment where equity holders decide when to default and debt holders decide when to liquidate as well as maximize the liquidation value. We show that if the debt holders maximize the residual value at liquidation, an increase in liquidation value increases the amount of debt issuance and investment quantity ex ante, delaying corporate investment. This relationship is based on the fact that an increase in the liquidation value decreases the credit spread of debt holders. These results fit well with those of existing empirical studies.

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债权人最大化清算下的融资与投资策略

我们开发了一个或有债权模型来研究融资和投资之间的相互作用，其中股权持有人决定何时违约，债务持有人决定何时清算，并最大化清算价值。我们发现，如果债务持有人在清算时最大化剩余价值，清算价值的增加会增加债务发行量和事前投资数量，从而延迟企业投资。这种关系是基于这样一个事实，即清算价值的增加减少了债务持有人的信用利差。这些结果与已有的实证研究结果吻合较好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

International Journal of Theoretical and Applied Finance BUSINESS, FINANCE-

CiteScore

1.10

自引率

20.00%

发文量

期刊介绍： The shift of the financial market towards the general use of advanced mathematical methods has led to the introduction of state-of-the-art quantitative tools into the world of finance. The International Journal of Theoretical and Applied Finance (IJTAF) brings together international experts involved in the mathematical modelling of financial instruments as well as the application of these models to global financial markets. The development of complex financial products has led to new challenges to the regulatory bodies. Financial instruments that have been designed to serve the needs of the mature capitals market need to be adapted for application in the emerging markets.