정보의 비대칭성하에서 콜옵션부사채의 발행

다국어 초록 (Multilingual Abstract)

In this paper we primarily pursue implications of asymmetric information. However, it is worth remembering that there are a number of different channels through which a call option may create value, and that these channels are not mutually exclusive. Although our analysis mainly addresses the benefits and costs of a call option resulting from asymmetric information, each of these considerations generates costs and benefits, with the final decision to include a call feature or not resting on the aggregate impact of all.
From the empirical standpoint, this dichotomy between investment and speculative grade call use is the primary motivator of this paper. The paper will contribute to the available empirical evidence by carefully differentiating between investment and speculative grade bonds in reporting all results regarding callable bonds. Further consideration of the data suggests that the asymmetric information story is a likely hypothesis to account for this difference
Ultimately asymmetric information can only motivate the choice to include a call option or not if there is a difference between the actual price of the bond (value based on public information) and the value based on the issuer’s (more accurate) information, after allowing for any possible signaling effect from the issuer’s choice. We consider the link from information to market price in two steps. First, we present a model capable of pricing a callable bond given information about the interest rate process and default process. Potential differences in information about default are easily reflected as differences in the default process. Second, we consider the link from borrower behavior to the information available to the market to finish the journey from (initial) asymmetry of information to observable market behavior.
The choice between callable and straight bonds thus depends on the relative magnitude of the two effects. The first term captures the signaling effect: a reduction in the market’s perceived default risk resulting from the choice of bond type. The second term is the call mispricing effect. Because the market misperceives the probability of default, it also misperceives the probability a call will be exercised and therefore misprices the call option. The issuer, in possession of accurate information, values the call correctly. The existence of this call effect is a key point of this paper.