报告题目：Debt Market Illiquidity and Corporate Risk-Taking

报 告 人：Jingzhi Huang（Pennsylvania State University）

报告时间：2023年6月6日（周二）9:00-10:30 

报告地点：ZOOM平台在线交流（会议ID：938 5703 5239）

ZOOM App下载链接：//zoom.us/download, 亦可点击以下链接直接参加会议：//ucincinnati.zoom.us/j/93857035239

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【报告人简介】

Jingzhi Huang is Faculty Chair in Finance and Professor of Finance and Mathematics at the Smeal College of Business, Pennsylvania State University. His research interests include credit risk, fixed-income markets, derivatives markets, mutual funds, machine learning, and cryptocurrencies. He is currently the editor-in-chief of the Journal of Finance and Data Science, and serves as an associate editor for several other journals such as Asia-Pacific Journal of Financial Studies, Journal of Credit Risk, Journal of Empirical Finance, Quarterly Journal of Finance, etc. He has also served as guest editor of Journal of Credit Risk, Journal of Fixed Income, and Journal of Risk and Financial Management. He received a Ph.D. in Finance from New York University.

【内容摘要】

Despite a long-standing literature on the pricing effects of corporate debt illiquidity, few studies examine its real effects. In this paper, we shed light on its impact on corporate risk-taking decisions by studying how debt market illiquidity shapes corporate risktaking. Specifically, we embed an illiquid secondary debt market into a dynamic model of agency conflicts between debtholders and shareholders. Our model shows that, upon the arrival of exogenous illiquidity shocks, shareholders optimally increase asset volatility by adopting risky projects. Moreover, such positive relationship between debt illiquidity and risk-taking incentives is more pronounced for firms facing greater rollover risk. We test the empirical plausibility of our model implications with a sample of individual corporate bonds from July 2002 to June 2019 and find that they are consistent with the data. Overall, our findings reveal the dark side of the externality of trading frictions in corporate debt market on the agency problem.

撰稿：赵鹏辉  审核：史永东  单位：bet365中国备用网址