We provide a simple model of investment by a firm funded with debt and equity and empirical evidence to demonstrate that, once we control for the debt overhang problem with credit spreads, asset volatility is an unambiguously positive signal for investment, while equity volatility sends a mixed signal: Elevated volatility raises the option value of equity and increases investment for financially sound firms, but exacerbates debt overhang and decreases investment for firms close to default. Our study provides a simple unified understanding of the structural and empirical relationships between investment, credit spreads, equity versus asset volatility, leverage, and Tobin's .

中文翻译：

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债券与股票：投资信息


我们提供了一个由债务和股权资助的公司的简单投资模型和实证证据，以证明，一旦我们用信用利差控制了债务积压问题，资产波动性无疑是投资的积极信号，而股票波动性则发出了混合信号：高波动性提高了股票的期权价值，并增加了对财务状况良好的公司的投资。 但会加剧债务积压，减少接近违约的企业的投资。我们的研究对投资、信用利差、股票与资产波动性、杠杆和 Tobin's 之间的结构和实证关系提供了简单、统一的理解。