摘要
本文考虑两类不完全信息:信息滞后和信息不对称,将或有资本引入分析框架,应用风险中性定价原理和最优停时理论,研究公司证券的定价与债券信用价差问题.数值结果表明:或有资本可以显著降低信息滞后情形下的公司破产成本,提高公司总价值,减少社会福利损失;或有资本可以提升股权价值、降低债券的信用价差,增强公司的抗风险能力.进一步研究发现,对于1年期的短期债券而言,或有资本减少信息不对称下债券的信用价差幅度明显大于信息滞后情形.
This paper considers two kinds of incomplete information: Delayed information and asymmetric information. We introduce the contingent capital to analytical framework and use the optimal stopping time and stochastic analysis method to investigate the value of securities and the credit spreads of the bonds. By numerical analysis,we show that the contingent capital can significantly mitigate the firm’s bankruptcy cost, which also improves the total value of the company and reduces the loss of social welfare under the situation of delayed information. At the same time, contingent capital can increase the equity value and reduce the credit spreads of the bonds, enhancing the firm’s anti-risk ability. Further studies show that for short-term bonds within a year, contingent capital reduce clearly more credit spreads under the situation of asymmetric information than the situation of delayed information.
作者
赵志明
李莎莎
ZHAO Zhiming;LI Shasha(Business School of Xiangtan University,Xiangtan 411105,China)
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2018年第12期3010-3020,共11页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(71801185)
湘潭大学博士科研启动项目(KZ08069)~~
关键词
不完全信息
或有资本
双指数跳扩散过程
信用价差
incomplete information
contingent capital
double exponential jump diffusion process
credit spreads
作者简介
赵志明(1985一),男,汉,湖南衡阳人,讲师,博士,研究方向:金融工程与数量金融,E-mail:zmzhao@xtu.edu.cn;李莎莎(1994-),女,汉,湖南湘潭人,硕士研究生,研究方向:金融工程与风险管理,E-mail:961945841@qq.com.
