The effect of accounting-based debt covenants on equity valuation
用期权定价模型分析企业面临会计债务契约违约成本时的股权估值，发现接近违约的企业对亏损和暂时性盈余的反应更显著，对储蓄机构尤其适用。
We use an option pricing framework to model equity valuation when firms face costs associated with violating accounting-based debt covenants. Our model shows that the value of equity depends on two factors: the economic value of the firm and the probability that the firm violates the covenant. Consistent with the model's prediction that the `covenant' effect is greatest for firms near covenant violation, we find that responses to earnings that are less informative about future cash flows (losses and transitory earnings) are significant only for thrift institutions that are near violation of regulatory net worth covenants.