| 信息披露时间不确定与风险债务评估 |
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| 引用本文： | 简志宏,李楚霖. 信息披露时间不确定与风险债务评估[J]. 管理工程学报, 2005, 19(3): 141-144 |
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| 作者姓名： | 简志宏 李楚霖 |
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| 作者单位： | 华中科技大学经济学院,湖北,武汉,430074;华中科技大学数学系,湖北,武汉,430074 |
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| 基金项目： | 国家自然科学基金资助(No.70301003) |
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| 摘 要： | 本文研究当公司信息披露时间不确定、而信息披露时投资者能完全真实地了解公司价值的情形下风险债务的评估问题,假设关于公司真实价值的信息流服从泊松过程,得到了公司债务安全条款的阈值和公司债务价值评估的表达式。分析表明,当信息流到达率增大时,债务安全条款的阈值降低的同时导致债务价值的损失,但若公司价值增大,债务价值的损失将逐渐减小。
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| 关 键 词： | 非安全信息 内生安全条款 债务评估 |
| 文章编号： | 1004-6062(2005)03-0141-04 |
| 修稿时间： | 2004-07-28 |
Uncertain Information Disclosure and Risky Debt Valuation |
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| JIAN Zhi-hong,LI Chu-lin. Uncertain Information Disclosure and Risky Debt Valuation[J]. Journal of Industrial Engineering and Engineering Management, 2005, 19(3): 141-144 |
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| Authors: | JIAN Zhi-hong LI Chu-lin |
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| Affiliation: | JIAN Zhi-hong~1,LI Chu-lin~2 |
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| Abstract: | In this paper, we analyze the valuation of risky debt with incomplete information in the sense that firm's information revelation is uncertain and the creditor is informed about the firm's true value only once arrival of relevant information.Under the key assumption that the arrival of information flow is followed by a Poisson process with constant intensity,the threshold of debt's safety covenant and the formula of debt value are obtained.The numerical analysis shows that the threshold of debt's safety covenant and debt value is reduced as the intensity of information arrival increased.This results in the loss of debt value,but the loss is decreased with the increasing of firm's value. |
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| Keywords: | incomplete information endogenous safety covenant debt valuation |
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