Repeated Signaling and Firm Dynamics
构建了一个动态模型，企业通过重复信号避免错误定价，解释了杠杆的反周期性和持续性、投资波动等特征，并发现投资率是异常回报的关键预测指标。
As an alternative to the pecking order, we develop a dynamic calibratable model where the firm avoids mispricing via signaling. The model is rich, featuring endogenous investment, debt, default, dividends, equity flotations, and share repurchases. In equilibrium, firms with negative private information have negative leverage, issue equity, and overinvest. Firms signal positive information by substituting debt for equity. Default costs induce such firms to underinvest. Model simulations reveal that repeated signaling can account for countercyclical leverage, leverage persistence, volatile procylical investment, and correlation between size and leverage. The model generates other novel predictions. Investment rates are the key predictor of abnormal announcement returns in simulated data, with leverage only predicting returns unconditionally. Firms facing asymmetric information actually exhibit higher mean Q ratios and investment rates. The Author 2010. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.