Tobin's Q, Debt Overhang, and Investment
在动态实物期权框架中引入债务，说明债务积压如何导致企业投资不足，并推导出资本影子价格的实证代理变量，利用GMM估计发现显著的债务积压效应。
ABSTRACT Incorporating debt in a dynamic real options framework, we show that underinvestment stems from truncation of equity's horizon at default. Debt overhang distorts both the level and composition of investment, with underinvestment being more severe for long‐lived assets. An empirical proxy for the shadow price of capital to equity is derived. Use of this proxy yields a structural test for debt overhang and its mitigation through issuance of additional secured debt. Using measurement error‐consistent GMM estimators, we find a statistically significant debt overhang effect regardless of firms' ability to issue additional secured debt.