不完全資訊下之策略性債務協商---理論與實證研究

Abstract

風險性債務評價向來是公司理財理論及實務上的重要議題。然而，近來相關研究所提出 之模型，大多是建立在債權人對公司資產價值具備完全資訊的前提假設下架構而成，而 所得的重要推論即是在均衡條件下無成本的債務協商可以避免無效率的資產清算發 生。本研究則著重在當債權人對公司資產價值僅具備不完全資訊下策略性債務協商的意 含為何，在此資訊前提下，我們進行對債務人所認知公司資產價值的條件機率分布函 數、條件破產機率、破產強度以及信用貼水時間結構的推求，推導所得已明確納入在不 完全資訊下的協商機制意含。另外，我們重新檢視公司發債籌資所引發的後續營運效率 問題。就我們目前所知，本研究所提出的模型是第一個考慮在不完全資訊下進行債務協 商的結構式模型，此一模型也具有簡化式模型表達形式的一致性。

Risky debt valuation is crucial to theoretical and empirical work in corporate finance. Nevertheless, much recent research has focused on perfect information models on the firm’s value for creditors and arguing that costless debt renegotiation never obtains inefficient liquidations at equilibrium. In this research, we focus on the problem of the implications of strategic debt service with imperfect information. Under informational assumptions, we derive the creditor’s conditional distribution of the firm’s value, conditional default probability, default intensity, and the term structure of credit spreads, explicitly accounting for the implications of imperfect information and renegotiation mechanism. In addition, we review the debt efficiency problem. To the best of our knowledge, the proposed model here is the first structural model considering renegotiation with imperfect information and is consistent with a reduced-form representation.