非系统风险与公司最优资本结构  

Idiosyncratic Risk and Optimal Capital Structure of Corporation

作　　者：王晓林[1] 杨招军[2] 

机构地区：[1]河南大学经济学院,河南开封475004 [2]湖南大学金融与统计学院,湖南长沙410079

出　　处：《经济数学》2014年第1期21-28,共8页Journal of Quantitative Economics

基　　金：国家自然科学基金项目(70971037及71171078);教育部博士点基金课题(20100161110022)

摘　　要：公司经常面临巨大的非系统风险,而现行的资本结构理论很少涉及非系统风险对融资决策的影响.由此,基于效用无差别定价原理,运用随机控制和最优停时理论,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,计算最优破产策略.结果表明:适当的股权和债权的融资组合可以分散公司非系统风险,而对于谨慎型投资者,债权分散公司风险的作用减弱;投资者的风险态度对破产选择、股权价值有显著影响,对债权价值影响较小;通过实证估计绝对风险厌恶系数是一个可行的计量方法.The company often faces enormous idiosyncratic risk, and the current capital structure theory rarely involves the impact of idiosyncratic risk on the financing decision. Based on consumption utility indifference pricing method and through the application of stochastic control and optimal stopping theory, this paper considered the problems of pricing equity and debt, optimal capital structure and optimal default trigger determined by equity holders. This paper finds that： （1）Appropriate com- bination of equity and debt provides diversification benefits; The diversification benefits becomes increasingly weaker with a growth of the risk aversion parameter. （2） Risk aversion parameter has a significant impact upon the optimal default trigger and the equity value, but a slight impact on the debt value. （3） It is an feasible econometric method to estimate the absolution risk aversion parameter based on empirical research.

关 键 词：资本结构 非系统风险 不完备市场 效用无差别定价 

分 类 号：F224.0[经济管理—国民经济]