学术讲座：Corporate Debt Illiquidity and Agency Costs

 

演讲题目： Corporate Debt Illiquidity and Agency Costs 演讲人：钟 锐 时间： 2016 年 11 月 7 日 14:00 地点：博学 925 室   演讲人简介：钟锐毕业于 加拿大的肯高迪亚大学，现为中央财经大学中国金融发展研究院的助理教授。其研究领域包括： Asset Pricing, Credit Risk, Fixed Income, Derivatives, Investments, Financial Markets and Risk Management. 他曾在《 Journal of Banking and Finance 》和《 Quantitative Finance 》上发表论文，并有数篇英文论文入选多个重要的金融学国际会议。他的研究曾入选国际金融协会第二十届年会最佳论文名单，并出现在 SSRN 的十大下载列表里。     Corporate Debt Illiquidity and Agency Costs   Abstract ： We propose a theoretical framework to study the impact of exogenous illiquidity shock in the secondary corporate debt market on the agency costs (asset substitution) between equity and debt holders. Taking advantage of the closed-form solutions for debt and equity values, we find that liquidity risk increases agency costs, especially for a firm with weak fundamental. Empirically, we use implied asset volatility and earning volatility as proxies for a firm’s risk taking and confirm the positive relationship between illiquidity and agency costs. Further, using TRACE dissemination as an exogenous event, we verify the causality between illiquidity and agency cost proxies.