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

策略性违约、债务结构与股票收益

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

摘要：本文从理论和实证上研究了债务结构、股东与债务人在违约事件中的战略互动如何影响预期股票收益。该模型预测，对于面临高债务重新谈判困难，并且拥有大比例担保或可转换债务的公司，预期股票收益率更高。本文使用1985-2012年美国公开上市公司的大样本数据，提出了关于债务结构和股票收益之间联系的新证据，并且证明了模型的预测。

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.

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

翻译：陈然