Capital Structure,Ambiguous Asset Growth,and Ambiguity Aversion

摘要：

　　I examine how aversion to asset-growth ambiguity affects capital structure decision.I propose a novel good deal-free (quasi-no-arbitrage) multiple-prior approach to model ambiguity over asset growth.I apply this new ambiguity model to revisiting capital structure trade-off theory.I find ambiguity aversion makes lenders hold a worst-case belief about asset growth.This key feature creates the relevance of ambiguity preference in explaining low leverage puzzle,leverage inertia puzzle,credit spread puzzle,and theoretical overstatements on asset-substitution agency conflicts and corporate hedging.The magnitude of ambiguity-aversion effects on capital structure decision is assessed using a large cross section of S&P 500 firms.

作者: Chang-Chih Chen

作者单位: Department of Finance,Shih-Chien University(Kaohsiung Campus),Taiwan ROC

会议类型: 国际会议

会议名称: 2013 China Finance Review International Conference(第六届(2013)中国金融评论国际研讨会)

会议地点: 上海

会议语种:英文

页码: 131-194

在线出版日期: 2013-07-08（万方平台首次上网日期，不代表论文的发表时间）