摘要
业绩敏感性债券是一种将券息与企业业绩相结合的创新型债券,目前在国际私人债券市场与银行债券市场得到了广泛应用。本文用企业息税前收益流衡量企业业绩,研究税率不确定性环境下业绩敏感性债券对企业资本结构的影响。假设税率不确定性环境服从泊松过程,企业息税前收益流服从几何布朗运动。利用随机控制理论解析地得到了税率不确定性环境下企业的股权价值与债权价值。数值分析表明:在税率不确定性环境下业绩敏感性债券显著提高企业价值和债券超额收益率,同时降低企业杠杆率。
Performance-sensitive debt（PSD）is an innovation in the private debt and bank debt market and is widely used today.Its coupon payment varies with the firm＇s performance.This paper examines the capital structure of a firm that uses PSD financing,which is captured by the level of Earnings Before Interest and Taxes（EBIT）.First,we assume the tax rate follows a Poisson process and EBIT follows a geometric Brownian motion.Then,we explicitly derive the equity value and debt value under tax-rate uncertainty by stochastic control theory.Finally,The distinction between PSD and straight debt in the firm value,leverage and yield spreads are illustrated with numerical simulation.Our results show that the optimal performance-sensitivity level can significantly increase firms＇ value and yield spread of debt,but decrease the leverage of firm.
作者
李雪
罗鹏飞
杨招军
LI Xue1,LUO Peng-fei1,YANG Zhao-jun2(1. School of Finance and Statistics, Hunan University,Changsha 410079,China; 2. Department of Finance,South University of Science and Technology of China,Shenzhen 518055, Chin)
出处
《系统工程》
CSSCI
北大核心
2017年第10期42-48,共7页
Systems Engineering
基金
国家自然科学基金资助项目(71371068
71171078)
关键词
业绩敏感性债券
税率不确定性
资本结构
Performance-sensitive Debt
Tax-rate Uncertainty
Capital Structure
