Optimal capital structure with moral hazard

doi:10.1016/j.iref.2016.12.006

CORC > 上海财经大学 > 上海财经大学

	Optimal capital structure with moral hazard
	Mu, Congming 1; Wang, Anxing 1; Yang, Jinqiang 2
刊名	INTERNATIONAL REVIEW OF ECONOMICS & FINANCE
	2017-03
卷号	48 页码:326-338
关键词	Capital structure Credit spread Real option Principal-agent Moral hazard
ISSN号	1059-0560
DOI	10.1016/j.iref.2016.12.006
英文摘要	This paper extends the classic optimal capital structure model to the case of moral hazard based on the principal-agent problem, where the firm's output dynamically depends on the agent's efforts. We derive closed-form results for the value of risky debt, credit spread, default threshold, and for optimal capital structure with moral hazard. The numerical results indicate that the firm issues more debt with higher coupon ex ante and defaults earlier ex post than without manager moral hazard. The different initial values of firms' cash flow induce different risk preferences of the manager to his value and consequently the manager acts in the opposite approaches especially when the firm is on the verge of bankruptcy. The paper also consider the occasions in which hiring a manager is optimal for the principal.
WOS研究方向	Business & Economics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000394080400022
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1022]
专题	上海财经大学
通讯作者	Yang, Jinqiang
作者单位	1.Shanghai Univ Finance & Econ, Sch Finance, Shanghai, Peoples R China; 2.Shanghai Univ Finance & Econ, Shanghai Key Lab Financial Informat Technol, Sch Finance, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Mu, Congming,Wang, Anxing,Yang, Jinqiang. Optimal capital structure with moral hazard[J]. INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,2017,48:326-338.
APA	Mu, Congming,Wang, Anxing,&Yang, Jinqiang.(2017).Optimal capital structure with moral hazard.INTERNATIONAL REVIEW OF ECONOMICS & FINANCE,48,326-338.
MLA	Mu, Congming,et al."Optimal capital structure with moral hazard".INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 48(2017):326-338.