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| HAL : hal-00707413, version 1 |
| Fiche détaillée |  Récupérer au format |
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| International Review of Law and Economics 29, 1 (2009) 67-72 |
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| What Discount Rate Should Bankruptcy Judges Use? Estimate from Canadian Reorganization Data |
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| Fabrice Barthelemy 1Timothy Fisher 2 |
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| (03/2009) |
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| Using data from financial reorganization plans filed by insolvent Canadian firms, we estimate the discount rate implicit in theunsecured creditors' reorganization decision. Using (HARA) utility functions, we find the implicit monthly discount rate of creditors to be 4.9%, which corresponds to an annual discount rate of 77%. This is 7 to 10 times higher than discount rates used in previous empirical studies of reorganization. The discount rate estimates are robust to a range of assumptions about the degree of risk aversion and the market-to-book-value ratio of assets. |
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| 1 : | Théorie économique, modélisation et applications (THEMA) |
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CNRS : UMR8184 – Université de Cergy Pontoise |
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| 2 : | University of Sydney |
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School of Economics |
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| 3 : | ESSEC Business School |
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ESSEC Business School |
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| Domaine | : | Économie et finance quantitative/Finance |
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| Bankruptcy – Reorganization – discount rate |
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| Liste des fichiers attachés à ce document : | |||||
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| hal-00707413, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00707413 | |
| oai:hal.archives-ouvertes.fr:hal-00707413 | |
| Contributeur : Jocelyn Martel | |
| Soumis le : Mercredi 13 Juin 2012, 09:19:56 | |
| Dernière modification le : Mercredi 13 Juin 2012, 10:19:48 | |
