Does Firm-Specific Risk Motive the Asset Substitution Problem?
碩士 === 國立清華大學 === 計量財務金融學系 === 102 === This study investigates the motivation of asset substitution problem. I find the firm-specific risk is significantly positive related with the firm's overinvestment level. My finding confirms that the asset substitution problem is motive from the firm-spec...
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| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/43026406027329009896 |
| Summary: | 碩士 === 國立清華大學 === 計量財務金融學系 === 102 === This study investigates the motivation of asset substitution problem. I find the firm-specific risk is significantly positive related with the firm's overinvestment level. My finding confirms that the asset substitution problem is motive from the firm-specific risk, because the call value that can be viewed as the value of firm's equity position is increasing when the risk of the underlying asset increases. Moreover, I use option implied bankruptcy probability to measure bankruptcy risk and find the asset substitution problem will be enhanced by high firm-specific risk especially at those high bankruptcy risk firms.
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