The Information Value of Distress

被引：0

作者：

Hilpert, Christian ^{[1
]}

Hirth, Stefan ^{[2
,3
]}

Szimayer, Alexander ^{[4
]}

机构：

[1] Sun Yat Sen Univ, Lingnan Coll, Guangzhou 510275, Peoples R China

[2] Aarhus Univ, Dept Econ & Business Econ, DK-8210 Aarhus V, Denmark

[3] Danish Finance Inst, DK-8210 Aarhus V, Denmark

[4] Univ Hamburg, Fac Business Econ & Social Sci, D-20146 Hamburg, Germany

来源：

MANAGEMENT SCIENCE | 2024年 / 70卷 / 01期

基金：

澳大利亚研究理事会;

关键词：

asymmetric information; learning dynamics; strategic interaction; quantitative debt models; TERM STRUCTURE; CAPITAL STRUCTURE; CORPORATE-DEBT; CREDIT SPREADS; RISK; UNCERTAINTY; INVESTMENT; REPUTATION; RATINGS; MODEL;

D O I：

10.1287/mnsc.2022.4632

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

We propose a novel framework for investigating learning dynamics on the debt market. Observing a firm's survival of apparently distressed periods, the market eliminates asset value estimates that are too low to be consistent with the observed survival. Therefore, the firm's cost of debt becomes lower for given financials. Relative to a perfect information setting, the firm strategically delays default to benefit from a subsequently lower cost of debt. Default comes as a surprise, as it reveals the currently worst possible asset value as correct. The surprise effect is mitigated for debt with higher performance sensitivity and for lower ex ante information asymmetry.

引用

页码：78 / 97

页数：21

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