Risky Debt, Investment Incentives, and Reputation in a Sequential Equilibrium
构建了一个不对称信息的动态博弈模型，研究风险债务对杠杆企业投资政策的影响。模型内生出声誉概念，部分缓解了投资不足的代理问题，并探讨了对债券评级、债务契约和投资公告价格反应的实证含义。
ABSTRACT The agency relationship of corporate insiders and bondholders is modeled as a dynamic game with asymmetric information. The incentive effect of risky debt on the investment policy of a levered firm is studied in this context. In a sequential equilibrium of the model, a concept of reputation arises endogenously resulting in a partial resolution of the classic agency problem of underinvestment. The incentive of the firm to underinvest is curtailed by anticipation of favorable rating of its bonds by the market. This anticipated pricing of debt is consistent with rational expectations pricing by a competitive bond market and is realized in equilibrium. Some empirical implications of the model for bond rating, debt covenants, and bond price response to investment announcements are explored.