JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS Vol. 51, No. 1, Feb. 2016, pp. 197–229

策略性違約、債務結構與股票收益

作者：Philip Valta (University of Geneva - Swiss Finance Institute)

摘要：本文從理論和實證上研究了債務結構、股東與債務人在違約事件中的戰略互動如何影響預期股票收益。該模型預測，對于面臨高債務重新談判困難，并且擁有大比例擔保或可轉換債務的公司，預期股票收益率更高。本文使用1985-2012年美國公開上市公司的大樣本數據，提出了關于債務結構和股票收益之間聯系的新證據，并且證明了模型的預測。

Strategic Default, Debt Structure, and Stock Returns

Philip Valta (University of Geneva - Swiss Finance Institute)

ABSTRACT

This paper theoretically and empirically investigates how debt structure and strategic interaction among shareholders and debt holders in the event of default affect expected stock returns. The model predicts that expected stock returns are higher for firms that face high debt renegotiation difficulties and that have a large fraction of secured or convertible debt. Using a large sample of publicly traded U.S. firms for the period 1985–2012, the paper presents new evidence on the link between debt structure and stock returns that is supportive of the model’s predictions.

原文鍊接：https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/strategic-default-debt-structure-and-stock-returns/E68AD030B31B9D4E20BDA3B7EA881040

翻譯：陳然