Contingent capital with repeated interconversion between debt‐ and equity‐like instruments
提出一种新型应急资本——或有可转换证券，可在债务与权益类工具间反复转换，推导了公司证券的显式价格、税收盾牌价值及最优资本结构，发现最优普通债券票息与CCS票息之比为常数。
Abstract This paper introduces a new form of contingent capital, contingent convertible securities (CCSs), which might repeatedly convert between debt‐ and equity‐like instruments depending on financial conditions. We derive explicit prices of corporate securities, assuming the cash flow is modeled as a geometric Brownian motion. We present an explicit value of the increased tax shields due to CCSs. We provide an explicit optimal capital structure when CCSs are issued and interestingly, the ratio of the optimal straight bond coupon to CCS coupon is constant and independent of the firm's financial conditions. All the conclusions hold true also for contingent convertibles.