Pricing the strategic value of putable securities in liquidity crises

• 成果类型: Article
• 署名作者: David, A
• 署名单位: Federal Reserve System - USA
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(00)00082-9
• 发表日期: 2001
• 页码: 63-99
• 关键词: credit risk protection; poison puts; liquidity trigger; Bankruptcy costs; Multilateral negotiations

摘要

Putable security holders have a de facto first claim on the firm's liquid assets and can threaten to force solvent issuers to bear financial distress costs. Their threatening power implies that the puts have a strategic value larger than their intrinsic value. Strategic value depends on the issuer's size, potential distress costs, and the distribution of put ownership relative to the firm's liquidity position. The analysis of Kmart's put-induced crisis in 1995, and a calibration to observed secondary market yield reductions on poison put bonds, shows that strategic value is an important determinant of payouts received by bondholders. (C) 2001 Elsevier Science S.A. All rights reserved. JEL classification: G13; G33.