| 题名 | Optimal investment and financing with macroeconomic risk and loan guarantees |
| 作者 | |
| 通讯作者 | Yang, Zhaojun |
| 发表日期 | 2017
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| DOI | |
| 发表期刊 | |
| ISSN | 1744-6619
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| EISSN | 1755-9723
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| 卷号 | 13期号:4页码:75-97 |
| 摘要 | In this paper, we consider an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap. The entrepreneur is exposed to macroeconomic risk as well as idiosyncratic risk. The former is described by a regime-switching process, while the latter is described by a geometric Brownian motion. We derive the corporate security prices, guarantee costs, optimal investment and financing policy. Numerical analysis demonstrates that the entrepreneur postpones investment in a boom but accelerates it in a recession. The optimal leverage ratio is countercyclical when the project's idiosyncratic risk is low and vice versa. The swap mechanism eliminates ex post agency conflicts between borrowers and lenders, but conflicts of interest between borrowers and insurers appear, which lead to inefficiencies from asset substitution and debt overhang. These are generally not so obvious in a boom or if a boom occurs frequently. The swap discussed here overcomes financial friction and increases firm value as well. |
| 关键词 | |
| 相关链接 | [来源记录] |
| 收录类别 | |
| 语种 | 英语
|
| 学校署名 | 通讯
|
| 资助项目 | National Natural Science Foundation of China[71371068]
; National Natural Science Foundation of China[71521061]
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| WOS研究方向 | Business & Economics
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| WOS类目 | Business, Finance
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| WOS记录号 | WOS:000419140200003
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| 出版者 | |
| 来源库 | Web of Science
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| 引用统计 |
被引频次[WOS]：8
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| 成果类型 | 期刊论文 |
| 条目标识符 | http://sustech.caswiz.com/handle/2SGJ60CL/29247 |
| 专题 | 商学院_金融系 |
| 作者单位 | 1.Hunan Univ, Sch Finance & Stat, Shijiachong Rd, Changsha 410079, Hunan, Peoples R China 2.Southern Univ Sci & Technol, Dept Finance, 1088 Xueyuan Rd, Shenzhen 518055, Peoples R China |
| 通讯作者单位 | 金融系 |
| 推荐引用方式 GB/T 7714 |
Tang, Xiaolin,Yang, Zhaojun. Optimal investment and financing with macroeconomic risk and loan guarantees[J]. Journal of Credit Risk,2017,13(4):75-97.
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| APA |
Tang, Xiaolin,&Yang, Zhaojun.(2017).Optimal investment and financing with macroeconomic risk and loan guarantees.Journal of Credit Risk,13(4),75-97.
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| MLA |
Tang, Xiaolin,et al."Optimal investment and financing with macroeconomic risk and loan guarantees".Journal of Credit Risk 13.4(2017):75-97.
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| 条目包含的文件 | 条目无相关文件。 | |||||
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