The Research On Corporate Investment And Financing With Debt Liquidity Risk

After the 2008 financial crisis,the liquidity risk has drawn the attention of the industry and academia,which is the core problem in corporate finance.In particular,the impact of debt liquidity on financial policies of corporate can not be ignored.Based on this,this article introduces the debt liquidity risk and builds the structural mathematical finance model.Meanwhile,this article studies investment and financing problems with a series of market factors based on some domestic practical problems.This article develops and enriches the investment and financing theory of corporate under debt liquidity risk via risk neutral pricing,real-options approach,dynamic programming theory,stochastic control theory,game theory and filtering theory.The results of this article provide theoretical guidance for the decision-making of government and financial institutions.The specific research content of this paper is as follows:First,according to the mainstream concept of green finance and the characteristics of the time-to-build,this article builds investment and financing model incorporating time-to-build under debt liquidity risk,which studies the investment and financing policies of corporate.We find that,for the given coupon case,the relationship between investment threshold and lag is affected by debt liquidity risk.While,for endogenous coupon case,the impact of lag on investment threshold is not significant when the level of lag is longer.We also discover that the optimal debt level has a non-monotonic relationship with the debt liquidity risk,and has a positive correlation with the cost distribution proportion parameter and the level of lag.The relationship between optimal coupon and volatility is affected by debt liquidity risk.Second,in the actual financial environment,the development of corporate needs to constantly expand its scale.The source of the finance of growth investment is generally equity and debt with maturity.According to perking order theory,the cash holdings is important for the financing of corporate.This article builds the growth option model and examine the impact of debt liquidity risk on investment and financing polices and optimal level of cash holdings.We find that debt with short term leads to the underinvestment and debt with long term leads to overinvestment.The debt liquidity risk exacerbates the underinvestment effect of short-term debt and mitigates the overinvestment effect of long-term debt.We find that the entrepreneurprefers to inner cash to invest a project,which is in consistent with perking order theory.The relationship between optimal leverage and credit spread and debt maturity is affected by debt liquidity risk.The results are consistent with empirical literature.Third,in real financial environment,the information about growth rate of cash flow is partial to all agent.This article considers the case the corporate holds cash for solvency concerns with partial information.We utilize the filtering theory and dynamic programming theory and analytically derive the level of cash holdings,equity value and debt value.We find that the debt liquidity risk increases the level of cash holdings.The relationship between leverage and credit spread and volatility is affected by debt liquidity risk.Besides,this article provides some theoretical basis for the deleveraging of China's policy of "replacing business tax with value-added tax".Fourth,some empirical papers mention that performance-sensitive features in debt are quite common and the performance-sensitive debt is popular.This article introduces the performance-sensitive debt into investment and financing model,and studies the design of performance-sensitive debt and the impact of it on investment and financing policies under debt liquidity risk.We find that,for the given coupon case,the relationship between investment threshold and option value and rick compensation and coupon is affected by debt liquidity risk.For optimal capital structure case,the corporate use pure equity financing,i.e.shareholder are reluctant to issue debt,which is zero leverage firm mentioned in related literature.We also find that the investment threshold increases with risk compensation when debt liquidity risk is low.The reasonable level of risk compensation can eliminate the investment distort due to agency of debt.The investment threshold decreases with risk compensation in absence of debt liquidity risk.Besides,the relationship between optimal coupon,default threshold and leverage and risk compensation and volatility is affected by debt liquidity risk.Lastly,the relationship between credit spread and debt liquidity risk is affected by risk compensation and volatility.Fifth,recently,China's economic development fell back,the leverage of corporate is too high.The market-oriented debt-for-equity for deleveraging is advocated.This article extracts the ideal theoretical model from the financial practice,and examines the impact of debt renegotiation on investment and financing polices.We find that,for the given coupon case,the impact of shareholders' bargaining power on the investment threshold and the option value is not significant when the debt liquidity risk,which holds for the endogenous coupon case.For the given coupon case,the default cost has little effect on option value when the debt liquidity risk is higher.We discover that leverage decreases with the level of debt liquidity risk,shareholders' bargaining power and default cost.Particularly,the shareholders' bargaining power has little effect on leverage for the higher level of debt liquidity risk.Besides,we also derive that the credit spread is non-monotonic function of debt liquidity risk,and it is decreasing function of shareholders' bargaining power and default cost.