《cooper davydenko 2016 核心文献》.pdf

Estimating the Cost of Risky Debt by Ian A. Cooper, London Business School, and Sergei A. Davydenko, University of Toronto* his article proposes an easily implemented there is no model in a form that can be applied easily to method for estimating the expected return on estimate the cost of debt for an individual fi rm. The most T risky debt, which is an integral part of calculat- common approach is to use the promised yield on the newly ing the weighted average cost of capital (WACC). issued debt of the fi rm as an estimate of the cost of debt in The WACC is the required return on the operating assets of the WACC.3 In theory, however, the expected return on debt a fi rm. It is used in valuation, capital budgeting, goal setting, should refl ect the promised yield net of any expected default performance measurement, and regulation. Its value is one loss, which in turn is a function of the expected probability of of the most important issues in corporate fi nance. Yet little default. As Kaplan and Stein pointed out, “Because of default research attention thus far has focused on estimating one risk expected returnsexpected returnsexpected returns [on highly leveraged corporate debt] are [on highly leveraged corporate debt] are of its key inputs—the cost of debt. Existing methods often 4 undoubtedly lower than the promised returns.” Thus, at least overlook a crucial factor for the cost of debt—the possibility for a company with a material probability of default, the use of default—and thus the use of such methods