Bonds versus Equities: Information for Investment
研究了债务和股权融资企业的投资决策，发现控制信用利差后，资产波动率正向促进投资，而股权波动率对财务健康企业有正向影响，对濒临违约企业则加剧债务积压、抑制投资。
ABSTRACT We provide a simple model of investment by a firm funded with debt and equity and empirical evidence to demonstrate that, once we control for the debt overhang problem with credit spreads, asset volatility is an unambiguously positive signal for investment, while equity volatility sends a mixed signal: Elevated volatility raises the option value of equity and increases investment for financially sound firms, but exacerbates debt overhang and decreases investment for firms close to default. Our study provides a simple unified understanding of the structural and empirical relationships between investment, credit spreads, equity versus asset volatility, leverage, and Tobin's .