A theory of corporate financial decisions with liquidity and solvency concerns

• 成果类型: Article
• 署名作者: Gryglewicz, Sebastian
• 署名单位: Erasmus University Rotterdam; Erasmus University Rotterdam - Excl Erasmus MC
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.09.010
• 发表日期: 2011
• 页码: 365-384
• 关键词: Financial distress; capital structure; Cash holdings; Dividends; financing constraints

摘要

This paper studies the impact of both liquidity and solvency concerns on corporate finance. I present a tractable model of a firm that optimally chooses capital structure, cash holdings, dividends, and default while facing cash flows with long-term uncertainty and short-term liquidity shocks. The model explains how changes in solvency affect liquidity and also how liquidity concerns affect solvency via capital structure choice. These interactions result in a dynamic cash policy in which cash reserves increase in profitability and are positively correlated with cash flows. The optimal dividend distributions implied by the model are smoothed relative to cash flows. I also find that liquidity concerns lead to a decrease of dispersion of credit spreads. (C) 2010 Elsevier B.V. All rights reserved.