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AFA2019会议论文(4): Capital Structure (Leverage)

2019-1-6 13:47| 发布者: sujiaoshou| 查看: 249| 评论: 0|原作者: 金融经济学 |来自: 金融经济学

摘要: AFA2019会议论文(4): Capital Structure (Leverage)

AFA2019会议论文(4): Capital Structure (Leverage)

金融经济学 2018-12-21


Optimal Capital Structure and Bankruptcy Choice: Dynamic Bargaining vs Liquidation

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Capital Structure and Hedging Demand with Incomplete Markets

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The Maturity Premium

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1. Optimal Capital Structure and Bankruptcy Choice: Dynamic Bargaining vs Liquidation

 

Samuel Antill, Stanford University

Steven GrenadierStanford University

 

Abstract

We model a firm's optimal capital structure decision in a framework in which it may later choose to enter either Chapter 11 reorganization or Chapter 7 liquidation. Creditors anticipate equityholders' ex-post reorganization incentives and price them into the ex-ante credit spreads. Using a realistic dynamic bargaining model of reorganization, the implied capital structure results in both higher credit spreads and dramatically lower leverage than existing models. If reorganization is less efficient than liquidation, the added option of reorganization can actually make equityholders worse off ex-ante, even when they liquidate on the equilibrium path.

 

原文链接:

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3030978

 

 

2. Capital Structure and Hedging Demand with Incomplete Markets

 

Alberto BisinNew York University

Gian Luca ClementiNew York University

Piero GottardiEuropean University Institute

 

Abstract

Capital structure choices are the result of supply considerations, such as taxes, costly default, agency, and asymmetric information, as well as demand factors, among which investors’ hedging demand. The latter, which has received very little attention in the academic literature, is at the core of this paper. In a general equilibrium model with production and incomplete markets where households differ in their risk–sharing needs, ex–ante identical value–maximizing firms issue different securities, in order to cater to different groups of investors. We find that as the demand for hedging increases, corporates grow in size – to allow for greater precautionary saving – and issue more debt. How much more, depends on the availability of competing risk-sharing instruments, such as (government–issued) risk–free debt and derivatives. When capital structure is jointly shaped by demand and supply considerations – the latter, in the form of an asset–substitution problem – we find that (i) agency is relevant only when hedging demand is high and that (ii) larger investors’ risk–sharing needs lead to equilibria featuring greater aggregate risk.

 

原文链接:

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=401

 

 

3. The Maturity Premium

 

Maria ChaderinaVienna University of Economics and Business

Patrick WeissVienna Graduate School of Finance

Josef ZechnerVienna University of Economics and Business

 

Abstract

We analyze asset-pricing implications of debt maturity. On the one hand, firms financed with short-term debt are more exposed to rollover risk. On the other hand, firms financed with long-term debt have weaker incentives to delever after negative shocks and thus exhibit high leverage during downturns. The resulting increase in beta is a risk for which shareholders require compensation. As a result long-term financed firms have higher expected returns than short-term financed firms, controlling for the average system aticrisk exposure. We demonstrate this in a model and document empirically a 0.17% monthly premium for buying long-maturity financed firms and selling short-maturity financed firms.

 

原文链接:

https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=AFA2019&paper_id=1238

 

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