南方科技大学知识苑(SUSTech KC): Loan guarantees and SMEs' investments under asymmetric information and Bayesian learning

题名	Loan guarantees and SMEs' investments under asymmetric information and Bayesian learning
作者	Luo, Pengfei 1; Wang, Huamao 2; Yang, Zhaojun3
通讯作者	Yang, Zhaojun
发表日期	2024-07-01
DOI	10.1111/jori.12485
发表期刊	JOURNAL OF RISK AND INSURANCE 影响因子和分区
ISSN	0022-4367
EISSN	1539-6975
摘要	We develop a dynamic investment model with loan guarantees wherein insurers face information disadvantages and learn about borrower quality. Borrowers signal their qualities through investment timing, which is characterized by the investment threshold and elapsed time. We derive the conditions for separating or pooling equilibria. We show that the separating investment threshold is constant and determined mainly by the maximum threshold preventing mimicry. If project risk is higher (lower) than the market growth rate, the pooling investment threshold declines (increases) with elapsed time, and learning enhances (reduces) the willingness of high-quality borrowers to wait. Learning alleviates adverse selection and reduces guarantee costs. These effects are more pronounced with a greater uncertainty of the insurer on borrower quality. We reveal dual effects of waiting. The worse the market prospect, the higher the value of waiting in pooling outcomes. Fee-for-guarantee swaps are superior to equity-for-guarantee swaps in environments with marked information asymmetry.
关键词	asymmetric information Bayesian learning loan guarantees real investment signaling game
相关链接	[来源记录]
收录类别	SSCI
语种	英语
学校署名	通讯
资助项目	National Natural Science Foundation of China["72031003","72373039","72001074"] ; Natural Science Foundation of Hunan Province in China[2021JJ40132]
WOS研究方向	Business & Economics
WOS类目	Business, Finance ; Economics
WOS记录号	WOS:001269683000001
出版者	WILEY
ESI学科分类	ECONOMICS BUSINESS
来源库	Web of Science
引用统计
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/789939
专题	商学院_金融系
作者单位	1.Hunan Univ, Sch Finance & Stat, Changsha, Peoples R China 2.Univ Nottingham, Nottingham Univ Business Sch, Nottingham, England 3.Southern Univ Sci & Technol, Dept Finance, Shenzhen 518055, Peoples R China
通讯作者单位	金融系
推荐引用方式 GB/T 7714	Luo, Pengfei,Wang, Huamao,Yang, Zhaojun. Loan guarantees and SMEs' investments under asymmetric information and Bayesian learning[J]. JOURNAL OF RISK AND INSURANCE,2024.
APA	Luo, Pengfei,Wang, Huamao,&Yang, Zhaojun.(2024).Loan guarantees and SMEs' investments under asymmetric information and Bayesian learning.JOURNAL OF RISK AND INSURANCE.
MLA	Luo, Pengfei,et al."Loan guarantees and SMEs' investments under asymmetric information and Bayesian learning".JOURNAL OF RISK AND INSURANCE (2024).