The Cost of Debt

• 成果类型: Article
• 署名作者: van Binsbergen, Jules H.; Graham, John R.; Yang, Jie
• 署名单位: Northwestern University; Stanford University; National Bureau of Economic Research; Duke University; Georgetown University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01611.x
• 发表日期: 2010
• 页码: 2089-2136
• 关键词: capital structure; AGENCY COSTS; bankruptcy; INVESTMENT; benefits; finance; taxes; FIRMS

摘要

We use exogenous variation in tax benefit functions to estimate firm-specific cost of debt functions that are conditional on company characteristics such as collateral, size, and book-to-market. By integrating the area between the benefit and cost functions, we estimate that the equilibrium net benefit of debt is 3.5% of asset value, resulting from an estimated gross benefit (cost) of debt equal to 10.4% (6.9%) of asset value. We find that the cost of being overlevered is asymmetrically higher than the cost of being underlevered and that expected default costs constitute only half of the total ex ante costs of debt.