风险不对称下的最优资本结构  

Optimal Capital Structure under Risk Asymmetry

作　　者：孙力强[1] 陈小悦[1] 

机构地区：[1]清华大学会计研究所

出　　处：《南开管理评论》2008年第2期69-76,共8页Nankai Business Review

摘　　要：资本结构理论是公司财务学和金融学的核心理论,然而,有关资本结构的研究一直未能突破MM理论的框架,通过外生性地引入各种因素来解释现实中的问题,难以形成统一的、具有说服力的理论体系。本文在对MM理论质疑的基础上,基于债权风险与股权风险之间的不对称,通过加权平均资本成本最小化,在无税和有税两种条件下都求取了最优资本结构,得到了与MM理论完全不同的结果,进而通过比较静态分析和数值分析对影响最优资本结构的主要因素进行了深入探讨。Capital structure is one of the most important research fields in corporate finance and investment. However, the studies on capital structure can not make break through under the structure of MM theorems framework. Some researchers import kinds of factors exogenously to explain the realistic problems and can not form a uniform and powerful theoretical system. This article starts with the limitations of MM theorems. Firstly, the hypothesis that firms can borrow with risk free rate is impossible in the real world. Secondly, MM theorems indicate that firm value is unaffected by capital structure in the case without corporation tax, and firms prefer 100% debt ratio in the case with corporation tax, which are not consistent with actual situations. Finally, MM theorems＇ deductions use arbitrage analysis, which induces the doubt that why the managers who pursue maximization of firm＇s value do not adopt the optimal capital structure and allow the presence of arbitrage opportunities. Then this article points out the risk asymmetry between debt and equity because debt should be priced by total risk of the firm while equity should be priced by diversified risk in capital market. It induces the changes of debt cost and equity cost can not offset when the capital structure alters, which make firm value changes with capital structure and an optimal capital structure definitely exist. Based on this idea, this article acquires the optimal capital structures in both cases with and without corporation tax through minimizing the weighted average capital costs. These results are very different from MM theorems. The optimal capital structure is entire equity financ- ing or a debt ratio between 0 and 100%, which depends on the intersection point of security market line and vertical axis. Finally, this article discusses the factors influencing the optimal capital structure through comparative static analysis and numerical analysis, which shows the optimal debt ratio decreases with the increasing of the firm＇s risk and debt maturi

关 键 词：风险不对称 资本成本 资本结构 最优化 

分 类 号：F275[经济管理—企业管理] F830.9[经济管理—国民经济]