Journal of Financial Economics·Volume 129, Issue 2·August 2018

好消息和其他破产的溢出效应：真实效应和价格反应

作者：Nina Baranchuk（Naveen Jindal School of Management, University of Texas at Dallas）

Michael J. Rebello（Naveen Jindal School of Management, University of Texas at Dallas）

摘要：我们对债务重组进行了模拟，这些重组可以内生地以破产方式结束，并研究了对竞争对手的经营决策、利润、重组结果和证券价格的溢出效应。我们表明，虽然破产可能导致公司的股价下跌，但破产总是标志着该公司的好消息。我们还确定了破产标志着有关竞争对手的好消息的条件。我们证明，当一家公司的破产成本相对较小时，破产会提高其股价，同时降低竞争对手股票和债务的价格，并提高他们进入破产的可能性。当关于公司前景的信息不对称程度较低或者信息不对称是关于行业前景时，破产会提高竞争对手的股票和债务价格并降低其破产的可能性。

关键词：重组，困境，溢出，反馈

Spillovers from good-news and other bankruptcies: Real effects and price responses

Nina Baranchuk（Naveen Jindal School of Management, University of Texas at Dallas）

Michael J. Rebello（Naveen Jindal School of Management, University of Texas at Dallas）

ABSTRACT

We model debt restructurings that could endogenously end in bankruptcy, and study spillovers to competitors’ operating decisions, profits, restructuring outcomes and security prices. We show that while bankruptcy could cause the firm’s share price to drop, bankruptcy always signals good news about the firm. We identify the conditions under which a bankruptcy also signals good news about competitors. We demonstrate that when a firm’s bankruptcy costs are relatively small, bankruptcy raises its share price while lowering the prices of competitors’ shares and debt as well as boosting the probability that they will enter bankruptcy. When there is little information asymmetry about the firm’s prospects, or the information asymmetry is about industry prospects, bankruptcy raises competitors’ share and debt prices and lowers their probability of bankruptcy.

Keywords: Restructuring, Distress, Spillover, Feedback

原文链接：https://www.sciencedirect.com/science/article/pii/S0304405X18300722

翻译：何杉