Investment and asset securitization with an option‐for‐guarantee swap
研究了企业家通过担保换期权互换进行投资和融资决策，发现该互换显著提升投资期权价值，且项目风险越高企业家借款越多、杠杆远超经典模型预测。
Abstract This article addresses the investment and financing decisions of entrepreneurs entering into option‐for‐guarantee swaps (OGSs). OGSs increase investment option value significantly. Entrepreneurs initially accelerate their investments and then postpone them as funding gaps grow. Guarantee costs increase with project risks when the funding gap is sufficiently small or large, but the opposite holds true otherwise. Investments are postponed when project risks, effective tax rates, or bankruptcy costs increase. Surprisingly, the higher the project risk, the more the entrepreneur will borrow, with a much higher leverage than predicted by classic models. Entrepreneurs can use OGSs to securitize their assets.