Risky Debt, Investment Incentives, and Reputation in a Sequential Equilibrium
用动态博弈模型分析公司内部人与债券持有人的代理关系，研究风险债务对杠杆企业投资政策的影响，发现内生声誉可缓解投资不足问题，并探讨了模型对债券评级、债务契约和投资公告价格反应的实证含义。
The agency relationship of corporate insiders and bondholders is modeled as a dynamic game with asymmetric information. The incentive effect of risky debt on the investment policy of a levered firm is studied in this context. In a sequential equilibrium of the model, a concept of reputation arises endogenously resulting in a partial resolution of the classic agency problem of underinvestment. The incentive of the firm to underinvest is curtailed by anticipation of favorable rating of its bonds by the market. This anticipated pricing of debt is consistent with rational expectations pricing by a competitive bond market and is realized in equilibrium. Some empirical implications of the model for bond rating, debt covenants, and bond price response to investment announcements are explored.