Incomplete Information, Debt Issuance, and the Term Structure of Credit Spreads
研究了当管理者比债权人信息更多且面临债务重组成本时，企业的债务发行政策，发现只有无法再借新债的企业债券才存在跳转至违约的风险溢价。
We derive a firm’s debt issuance policy when managers have an informational advantage over creditors and face debt restructuring costs. In our model, regardless of how poor their private signal is, managers of firms that can access the credit market avoid default by issuing new debt to service existing debt. Therefore, only bonds of firms that have exhausted their ability to borrow are subject to jump-to-default risk because of incomplete information and, in turn, command a jump-to-default risk premium. We document that our model captures many salient features of the corporate bond market. This paper was accepted by Kay Giesecke, finance. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2022.4529 .