Real Disinvestments and the Distress Anomaly: Evidence from Stocks, Bonds, and Loans
研究发现企业剥离实际资产的能力有助于解释股票、债券和贷款中的负困境溢价，并基于实物期权模型揭示了股东与债权人分配剥离收益如何影响不同证券的困境溢价。
Abstract We argue that firms’ ability to disinvest real assets helps rationalize the negative distress premiums in stocks, bonds, and, as we show, loans and firm assets. Using a real options model in which shareholders and debtholders share disinvestment proceeds, the model suggests that the stock (debt) distress premium becomes more negative with the proceeds paid out to that class, and that both premiums can be negative when debtholders receive most of the proceeds. Using hard-asset disinvestment-ability proxies, the stock (bond or loan) distress premium becomes less (more) negative with those proxies, possibly suggesting that shareholders benefit more strongly from nonsecured-asset disinvestments.