| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP4982
|
| DP4982 Testing for Reference Dependence: An Application to the Art Market |
| Alan Beggs; Kathryn Graddy
|
| 发表日期 | 2005-04-23
|
| 出版年 | 2005
|
| 语种 | 英语
|
| 摘要 | We study a continuous time model of a levered firm with fixed assets generating a cash flow that fluctuates with business conditions. Since external finance is costly, the firm holds a liquid (cash) reserve to help survive periods of poor business conditions. Holding liquid assets inside the firm is costly as some of the return on such assets is dissipated due to agency problems. We solve for the firms optimal dividend, share issuance, and liquid asset holding policies. The firm optimally targets a level of liquid assets which is a non-monotonic function of business conditions. In good times, the firm does not need a high liquidity reserve, but as conditions deteriorate, it will target higher reserve. In very poor conditions, the firm will declare bankruptcy, usually after it has depleted its liquidity reserve. Our model can predict liquidity holdings, leverage ratios, yield spreads, expected default probabilities, expected loss given default and equity volatilities all in line with market experience. We apply the model to examine agency conflicts associated with the liquidity reserve, and some associated debt covenants. We see that a restrictive covenant applied to the liquidity reserve will often enhance the debt value as well as the equity value. |
| 主题 | Financial Economics
|
| 关键词 | Corporate finance
Contingent claims
Liquidity
Dividend policy
|
| URL | https://cepr.org/publications/dp4982
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/533880
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推荐引用方式
GB/T 7714 |
Alan Beggs,Kathryn Graddy. DP4982 Testing for Reference Dependence: An Application to the Art Market. 2005.
|
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