학회소식
[2017년 제 4차] Corporate Policy when Equity and Bond Holders Price Risk Differently
작성자 : 관리자
조회수 : 172
게시일 :
2017-12-08
In a dynamic investment and financing model, we account for differences between equity and corporate bond holders’ pricing of macroeconomic risk. In line with anecdotal and empirical evidence, we calibrate the bond investor’s price of risk to be unconditionally higher than the equity investor’s, as well as volatile and independent of the macroeconomy. Relative to a counterfactual scenario where both investors price risk identically, average market (book) leverage is 2.8 (3.3) percentage points lower, which reveals a new quantitatively significant channel to address the under-leverage puzzle. Also, in the scenario with heterogeneous risk pricing, firms issue equity more frequently and invest less.
