Asymmetric information, disagreement, and the valuation of debt and equity

• 成果类型: Article
• 署名作者: Banerjee, Snehal; Breon-Drish, Bradyn; Smith, Kevin
• 署名单位: University of Michigan System; University of Michigan; University of California System; University of California San Diego; Stanford University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2025.103995
• 发表日期: 2025
• 关键词: capital structure; rational expectations; Difference of opinions; DISAGREEMENT; Liquidity trading; information quality

摘要

We study debt and equity valuation when investors have private information and may exhibit differences of opinion. Our model generates several predictions that are consistent with empirical evidence but difficult to reconcile with traditional models. Belief dispersion relates to expected equity and debt returns in opposite directions. Similarly, expected debt (equity) returns typically increase (decrease) with default risk, though these relationships reverse for firms close to bankruptcy. Firms' capital structures affect their valuations even without classical capital structure frictions (e.g., tax shields, distress costs) - when liquidity is higher in the equity than in the debt market, leverage can raise firm value.