杠杆公司破产决策:实物期权方法

On the Policy of Corporate Bankruptcy

如果公司出现财务危机时股东可通过资本注入弥补经营损失和清偿债务 ,因而股东可推迟关闭公司或债务违约。由于公司关闭和破产的不可逆性和不确定性 ,可以把公司关闭和破产理解为股东持有的期权。运用实物期权估价方法评估公司股票和债务的价值。在考虑公司所得税的情形下分析了纯股票融资公司关闭和杠杆公司破产的决策及破产后债权人选择破产清算或破产营运的决策 ,得到了公司关闭和破产决策的临界值。发现杠杆公司破产的决策与公司所得税无关 。

Because irreversibility and the possibility of delay are very important characteristics of corporate bankruptcy, this paper adopts the real option approach to the valuation of equity and risky debt. The bankruptcy decision of a firm purely financed with equity and that of the levered firm are analyzed. As bankruptcy occurs, creditors may choose the firm to be liquidated or operated. While the decision making thresholds are obtained, we find that the levered firms are early closed if the debt level is sufficiently high.