Short-term debt and incentives for risk-taking

被引:43
作者
Della Seta, Marco [1 ]
Morellec, Erwan [2 ,3 ]
Zucchi, Francesca [4 ]
机构
[1] STOXX Ltd, Theilerstr 1A, CH-6300 Zug, Switzerland
[2] Ecole Polytech Fed Lausanne, Swiss Finance Inst, Extranef 210, CH-1015 Lausanne, Switzerland
[3] Ctr Econ Policy Res CEPR, 33 Great Sutton St, London EC1V 0DX, England
[4] Fed Reserve Board Governors, 20th St & Constitut Ave NW, Washington, DC 20551 USA
关键词
Short-term debt financing; Rollover risk; Risk-taking; Financing frictions; OPTIMAL CAPITAL STRUCTURE; MATURITY STRUCTURE; ROLLOVER RISK; AGENCY COSTS; CREDIT RISK; LIQUIDITY; INVESTMENT; POLICY; ENFORCEMENT; OPTIONS;
D O I
10.1016/j.jfineco.2019.07.008
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We challenge the view that short-term debt curbs moral hazard and demonstrate that, in a world with financing frictions and fair debt pricing, short-term debt generates incentives for risk-taking. To do so, we develop a model in which firms are financed with equity and short-term debt and cannot freely optimize their default decision because of financing frictions. We show that when firms are close to distress, the dynamic interaction of operating and rollover losses fuels default risk. In such instances, shareholders find it optimal to increase asset risk to improve interim debt repricing and prevent inefficient liquidation. These risk-taking incentives do not arise when debt maturity is sufficiently long. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页码:179 / 203
页数:25
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