引入參與率下債券延長到期日之研究

Abstract

當公司因違約而面臨清算時，由於面臨即時清算之成本，而使債權人所得之報酬降低。若債權人此時延後債券到期日，反而可能獲得更高的價值。本篇延續Longstaff（1990）所提出延長債券到期日的模型，及Moraux & Navatte（2004）修正Longstaff（1990）後之延續模型，更加入參與率的概念，成功地推導出引入參與率下，債權人、股東及公司的期初價值。因此可探討在不同的參與率下，對債權人、股東及公司的期初價值會有何影響。而分析的結果更顯示：引入參與率後，公司的實際價值能獲得顯著的提升。

Since there is bankruptcy costs, bondholders intend to extend the maturity date of the debt to get higher pay-off when the debt is on the edge of default. Based on debt extension related models of Longstaff (1990) and Moraux & navatte’s (2004), this study introduces equity participation ratio of bondholder in to the previous models and derive analytical formulae for initial values of debt and equity. In addition, it can be used to explore the impacts on the values of both debt and equity holders under different participation ratios. We find that firm values increase significantly when introducing the mechanism of bondholder participation in debt extension period.