应用金融Seminar：杨金强（上海财经大学）

报告题目：Leverage Dynamics under Costly Equity Issuance

报 告 人：杨金强（上海财经大学）

报告时间：2024年10月25日（周五）14:00-16:00

报告地点：博学楼303

主办单位：金融科技学院

【报告人简介】

杨金强，上海财经大学金融学院教授，博士生导师，副院长（主持工作），校创新团队首席专家和英贤学者，国家级人才称号获得者，霍英东教育基金获得者，上海市领军人才，上海市曙光学者，上海市首批青年拔尖人才，上海市晨光学者，科学中国人2017年度人物。近年来主要致力于动态公司金融、资产定价和绿色金融的理论研究。目前已在国内外重要期刊共发表（或接受待发表）论文97篇，其中国际顶尖金融学、经济学以及综合类期刊论文16篇。论文连续多年入选国际顶级金融学年会(AFA、WFA、EFA)。学术成果曾获全美华人金融协会(TCFA)最佳论文奖、中国管理学青年奖、霍英东高校青年教师奖、科学中国人年度人物奖、中国金融博物馆第三届青年金融学者奖、第十二届中国金融学年会优秀论文一等奖。主持国家自然科学基金项目6项。

【内容摘要】

We propose a theory of leverage dynamics based on a parsimonious model with a cashflow process subject to diffusion and jump shocks, external financing through short-term debt and equity, and crucially equity issuance costs. We show that both plausible average leverage outcomes and observed leverage dynamics can be explained by firms’ efforts to avoid incurring equity issuance costs. Paradoxically, it is the high cost of equity issuance that causes the firm to keep leverage low, in contrast to the predictions of Modigliani-Miller and Leland tradeoff and Myers’ pecking-order theories. The marginal source of external financing on an on-going basis is debt. Leverage can only increase as a result of losses. When the firm is at its target leverage any additional profit is paid out, and when leverage reaches the firm’s endogenous debt capacity any additional loss either triggers a costly recapitalization or a default. When leverage is close to the firm’s target, it tends to revert to target, but beyond a certain point the expected change in leverage is positive and the firm enters a leverage death spiral.

撰稿：赵鹏辉  审核：史永东  单位：金融科技学院