信息披露时间不确定与风险债务评估

Uncertain Information Disclosure and Risky Debt Valuation

本文研究当公司信息披露时间不确定、而信息披露时投资者能完全真实地了解公司价值的情形下风险债务的评估问题,假设关于公司真实价值的信息流服从泊松过程,得到了公司债务安全条款的阈值和公司债务价值评估的表达式。分析表明,当信息流到达率增大时,债务安全条款的阈值降低的同时导致债务价值的损失,但若公司价值增大,债务价值的损失将逐渐减小。

In this paper, we analyze the valuation of risky debt with incomplete information in the sense that firm＇s information revelation is uncertain and the creditor is informed about the firm＇s true value only once arrival of relevant information. Under the key assumption that the arrival of information flow is followed by a Poisson process with constant intensity, the threshold of debt＇s safety covenant and the formula of debt value are obtained. The numerical analysis shows that the threshold of debt＇s safety covenant and debt value is reduced as the intensity of information arrival increased. This results in the loss of debt value, but the loss is decreased with the increasing of firm＇s value.