We introduce ambiguity about the asset value dynamics of a firm into a trade-off framework of capital structure. We characterize investors’ preferences by recursive multiple priors utility. We show that equity holders’ ambiguity aversion significantly reduces the optimal leverage and debt capacity. In particular, equity holders with sufficiently strong ambiguity aversion perceive their asset value dynamics to be “too valuable to lose” upon bankruptcy and therefore optimally choose zero leverage and forgo the tax benefits of debt to avoid possible default. We also show that the distortion effect of ambiguity on the leverage choice is stronger (weaker) when a firm’s equity and debt markets are segmented (integrated).

我们将公司资产价值动态的模糊性引入到资本结构的权衡框架中。我们通过递归多重先验效用来表征投资者的偏好。我们表明，股权持有人的歧义厌恶显着降低了最佳杠杆率和债务能力。特别是，具有足够强烈的模糊厌恶的股权持有人认为他们的资产价值动态在破产时“太有价值了”，因此最佳选择零杠杆并放弃债务的税收优惠以避免可能的违约。我们还表明，当公司的股票和债务市场被分割（整合）时，模糊性对杠杆选择的扭曲效应更强（更弱）。