Macroeconomic Risk and Debt Overhang*
研究了债务积压的系统性风险如何受宏观经济周期影响，发现宏观经济风险会提高债务积压成本，并预测了企业资产和增长期权的周期性如何影响投资与资本结构决策。
– Since corporate debt tends to be riskier in recessions, transfers from equity holders to debt holders that accompany corporate decisions also tend to concentrate in recessions. Such systematic risk exposures of debt overhang have important implications for corporate investment and financing decisions, and for the ex ante costs of debt overhang. Using a calibrated dynamic capital structure model, we show that the costs of debt overhang become higher in the presence of macroeconomic risk. We also provide several new predictions on how the cyclicality of a firm’s assets in place and growth options affect its investment and capital structure decisions.