On Equilibrium When Contingent Capital Has a Market Trigger (vol 70, pg 881, 2015)
成果类型：
Correction
署名作者：
Pennacchi, George; Tchistyi, Alexei
署名单位：
University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.12762
发表日期：
2019
页码：
1559-1576
关键词：
摘要：
This paper identifies an error in Sundaresan and Wang (2015, hereafter SW) that invalidates its Theorem 1. The paper develops a model of contingent capital (CC) with a stock price trigger that is consistent with SW's framework and yields closed-form solutions for stock and CC prices. Yet, the model shows that unique stock price equilibria exist for a broader range of CC contractual terms than those required by SW. Specifically, when conversion terms benefit CC investors and penalize shareholders, a unique equilibrium can exist rather than the multiple equilibria stated in SW.