Market Imperfections, Investment Flexibility, And Default Spreads  

Oleh:

Titman, Sheridan ; Tompaidis, Stathis ; Tsyplakov, Sergey

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 1 (Feb. 2004), page 165-206.
Topik: investment; spread; investment policy; studies; mathematical models; statistical analysis
Fulltext: p 165.pdf (225.86KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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This paper develops a structural model that determines default spreads in a setting where the debt's collateral is endogenously determined by the borrower's investment choice, and a demand variable with permanent and temporary components. We also consider the possibility that the borrower cannot commit to taking the value - maximizing investment choice, and may, in addition, be constrained in its ability to raise external capital. Based on a model calibrated to data on office buildings and commercial mortgages, we present numerical simulations that quantify the extent to which investment flexibility, incentive problems and credit constraints affect default spreads.

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