學術講座：Corporate Debt Illiquidity and Agency Costs

 

演講題目： Corporate Debt Illiquidity and Agency Costs 演講人：鐘 銳 時間： 2016 年 11 月 7 日 14:00 地點：博學 925 室   演講人簡介：鐘銳畢業(yè)于 加拿大的肯高迪亞大學，現為中央財經大學中國金融發(fā)展研究院的助理教授。其研究領域包括： Asset Pricing, Credit Risk, Fixed Income, Derivatives, Investments, Financial Markets and Risk Management. 他曾在《 Journal of Banking and Finance 》和《 Quantitative Finance 》上發(fā)表論文，并有數篇英文論文入選多個重要的金融學國際會議。他的研究曾入選國際金融協(xié)會第二十屆年會最佳論文名單，并出現在 SSRN 的十大下載列表里。     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.