基于效用的公司资本结构
首发时间:2012-03-20
摘要:在没有税收和破产成本的条件下,针对市场的不完备性,本文基于消费效用无差别定价原理,研究由股权资本持有人决定违约时间的股权价值和债权价值,分析最优资本结构,计算最优破产触发水平。本文发现:⑴ 与著名的Modigliani-Miller定理的资本结构无关结论相反,适当的股权融资和债权融资的组合是最佳的融资方式,而且随着投资者风险厌恶系数的增大,组合融资的优势更明显; ⑵ 股权投资者的风险态度对破产条件、股权价值和债权价值有显著影响。作为理论应用,本文提出了通过实证估计绝对风险厌恶系数的一个计量方法。
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Utility-Based Corporate Capital Structure
Abstract:In the absence of taxes, bankruptcy protection and under the incomplete markets, based on consumption utility indifference pricing method, this paper considers problems of pricing equities and debts, optimal capital structure and optimal default trigger determined by equity holders.This paper finds that: (1) Contrary to capital structure irrelevance principle in the Modigliani-Miller theorem,appropriate combination of equities and debts is the best financing way; The advantage of combining financingis more and more significant along with the increasing of the risk aversion parameter. (2) Risk aversion parameter has an impact upon the optimal default trigger, the equity value and the debt value. As an application,this paper provides an econometric method for estimating the absolution risk aversion parameter.
Keywords: corporate securities capital structure incomplete market utility indifference pricing
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