继Modigliani, Miller和Hamada之后:一种估算资本成本的新方法

IF 9.4 3区 管理学 Q1 BUSINESS, FINANCE Journal of International Financial Management & Accounting Pub Date : 2019-08-07 DOI:10.1111/jifm.12109
Roland Clère
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引用次数: 6

摘要

在本文中,我们将使用一种新的方法来讨论金融债务对股东价值的影响,该方法旨在:(a)解释债务杠杆对股票系统风险的影响,或者我们将其称为“杠杆的系统成本”,以及(b)在权益成本中考虑违约风险,或者我们将其称为“违约成本”。我们对系统性风险的评估基于一种随机方法,与滨田提出的方法有本质上的不同:风险溢价根据股权(以市值表示)产生低于无风险利率的回报的可能性向投资者支付报酬。此外,我们用来解释违约风险的方法来自简化形式模型,但在这种情况下,(a)我们使用真实的违约概率,而不是风险中性概率,(b)我们将方法扩展到股票。
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After Modigliani, Miller, and Hamada: A new way to estimate cost of capital

In this article, we discuss the impact of financial debt on shareholder value using a new approach that aims: (a) to explain the effect that leverage from debt has on a stock’s systematic risk, or what we shall call here “the systematic cost of leverage,” and (b) to account for default risk in the cost of equity, or what we shall call here “the cost of default.” Our assessment of systematic risk is based on a stochastic approach that is materially different from the one proposed by Hamada: the risk premium remunerates the investor for the probability of equity (expressed as market value) generating a return below that of the risk-free rate. Furthermore, the approach we use to account for default risk is derived from reduced-form models, but in this case, (a) we use real probabilities of default and not risk-neutral probabilities, and (b) we extend the approach to stocks.

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来源期刊
CiteScore
9.10
自引率
2.00%
发文量
23
期刊介绍: The Journal of International Financial Management & Accounting publishes original research dealing with international aspects of financial management and reporting, banking and financial services, auditing and taxation. Providing a forum for the interaction of ideas from both academics and practitioners, the JIFMA keeps you up-to-date with new developments and emerging trends.
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