2010 Fiscal Year Final Research Report
The integrated model for pricing corporate bonds and stocks ; Development and its application to corporate finance
| Project/Area Number |
20510123
|
|---|
| Research Category |
Grant-in-Aid for Scientific Research (C)
|
| Allocation Type | Single-year Grants |
|---|
| Section | 一般 |
|---|
| Research Field |
Social systems engineering/Safety system
|
|---|
| Research Institution | Hokkaido University |
|---|
Principal Investigator |
SUZUKI Teruyoshi Hokkaido University, 大学院・経済学研究科, 准教授 (90360891)
|
|---|
| Project Period (FY) |
2008 – 2010
|
| Keywords | ファイナンス |
|---|
| Research Abstract |
We present a model for pricing corporate bonds and stocks in a unified framework. By using our model, we can integrate the information of bond and stock market in the unified pricing model and we can then present finer prices of bonds and stocks compared to the ones by using separated models. For the simplicity, many papers assume that the bonds don't have maturity, however it is not unusual in the market, and we then analyzed its limitations to the application for finance problems. We also present the pricing model for the corporate securities considering the debt renegotiation between the stock holders and bond holders.
|
