Strategic Default and Equity Risk Across Countries
研究发现，当破产法有利于债务重组且股东谈判力更强时，公司股权风险更低；若破产程序偏向清算，这种关系减弱。支持战略违约威胁降低股权风险的假说。
ABSTRACT We show that the prospect of a debt renegotiation favorable to shareholders reduces the firm's equity risk. Equity beta and return volatility are lower in countries where the bankruptcy code favors debt renegotiations and for firms with more shareholder bargaining power relative to debt holders. These relations weaken as the country's insolvency procedure favors liquidations over renegotiations. In the limit, when debt contracts cannot be renegotiated, equity risk is independent of shareholders' incentives to default strategically. We argue that these findings support the hypothesis that the threat of strategic default can reduce the firm's equity risk.