公司债务重组的实物期权方法研究

Study on real option approach of corporate debt reorganization

在考虑了公司所得税的情形下研究公司的策略性违约和债务重组问题 ,分析表明对于标准的债务合同 ,股东权益最大化的违约时间通常与公司价值最大化的违约时间不一致 ;如果不允许债务重组或债权妥协 ,破产清算一般将导致公司价值损失 .但是 ,如果允许策略性债务违约或对绝对优先权原则偏离 ,股东权益价值最大化的破产决策将达到与公司价值最大化一致的结果 ;对于较高杠杆或较低杠杆公司 ,债务重组具有重要的经济意义 。

Considering the existence of corporate income tax, we analyze the decision making of corporate bankruptcy and debt reorganization in a risk neutral framework, while corporate default is endogenously determined by maximizing the value of equity claims. With standard debt contract and under absolute priority rule, this usually leads a levered firm to be early or lately liquidated with loss of value. But if the strategic default or deviation from absolute priority rule is allowed, the decision that maximizes value of equity will be consistent with one that maximizes corporate value. In this paper, we demonstrate that debt reorganization or creditors concession essentially enhances the market value of the debt, as it enables creditors or debtors to avoid ill timed liquidation.