Investment and asset securitization with an option-for-guarantee swap

Yang, Zhaojun

2019-12-10

10.1111/eufm.12250

European Financial Management   影响因子和分区

1354-7798

1468-036X

This article addresses the investment and financing decisions of entrepreneurs entering into option-for-guarantee swaps (OGSs). OGSs increase investment option value significantly. Entrepreneurs initially accelerate their investments and then postpone them as funding gaps grow. Guarantee costs increase with project risks when the funding gap is sufficiently small or large, but the opposite holds true otherwise. Investments are postponed when project risks, effective tax rates, or bankruptcy costs increase. Surprisingly, the higher the project risk, the more the entrepreneur will borrow, with a much higher leverage than predicted by classic models. Entrepreneurs can use OGSs to securitize their assets.

asset securitization capital structure credit default swap real options

SSCI

英语

第一 ; 通讯

Special Innovation Projects of Universities in Guangdong[2018WTSCX131]

Business & Economics

Business, Finance

WOS:000501716900001

WILEY

Web of Science

Southern Univ Sci & Technol, Dept Finance, Shenzhen 518055, Guangdong, Peoples R China

Yang, Zhaojun. Investment and asset securitization with an option-for-guarantee swap[J]. European Financial Management,2019.

Yang, Zhaojun.(2019).Investment and asset securitization with an option-for-guarantee swap.European Financial Management.

Yang, Zhaojun."Investment and asset securitization with an option-for-guarantee swap".European Financial Management (2019).