Growth Options and Credit Risk

• 成果类型: Article
• 署名作者: Gamba, Andrea; Saretto, Alessio
• 署名单位: University of Warwick; University of Texas System; University of Texas Dallas
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2019.3387
• 发表日期: 2020
• 页码: 4269-4291
• 关键词: credit risk; GROWTH OPTIONS; INVESTMENT; capital structure

摘要

We calibrate a dynamic model of credit risk and analyze the relation between growth options and credit spreads. Our model features real and financing frictions, a technology with decreasing returns to scale, and endogenous investment options driven by both systematic and idiosyncratic shocks. We find a negative relation between credit spreads and growth options after controlling for determinants of credit risk. This negative relation is a result of the current decision to invest and the associated change in leverage, which, in the presence of external financing needs and financing frictions, increase credit spreads while reducing the value of future investments. We do not find evidence that growth options accrue value in response to systematic risk, thus increasing credit risk premia.