Optimal Security Design And Dynamic Capital Structure in A Continuous Time Agency Model  

Oleh:

Marzo, Peter M. De ; Sannikov, Yuliy

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 6 (Des. 2006), page 2681-2724.
Topik: security; studies; capital structure; debt management; mathematical models
Fulltext: p 2681.pdf (343.93KB)

Ketersediaan

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

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Isi artikel

We derive the optimal dynamic contract in a continuous - time - principal agent setting, and implement it with a capital structure (credit line, long term debt and equity) over which the payout policy. While the project's volatility and liquidation cost have little impact on the firm's total debt capacity, they increase the use of credit versus debt. Leverage is nonstationary, and declines with pas profitability. The firm may hold a compensating cash balance while borrowing (at a higher rate) through the credit line. Surprisingly, the usual conflicts between debt and equity (asset substitution, strategic default) need not arise.

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