基于效用的公司证券定价与资本结构选择

考虑到市场的不完备性，本文基于效用无差别定价原理，研究公司证券主观价值，分析最优资本结构，计算最优破产触发水平. 本文发现：1)对于给定的债券发行量，随着非系统风险增加，股权主观价值逐渐减小，财务杠杆逐渐增大，这一结果与完备市场相反；2) 与完备市场下资本结构相比，非完备市场下最优财务杠杆较小，债权的收益率溢价较大；3)股权的系统风险和非系统风险溢价随着公司收益流增加而减少；4) 投资者的风险态度和非系统风险对破产选择、股权和债权的主观价值有显著影响.

Utility-based pricing of corporate securities and capital structure choice

Taking into account an incomplete market and making use of utility indifference pricing method, this paper studies subjective values of corporate securities, optimal capital structure and optimal default threshold. We find that: 1) In contrast to a complete market, for a given debt level, the subjective equity value decreases but the leverage increases with idiosyncratic risk. 2) By comparison with the capital structure under a complete market, the optimal leverage is less and the yield spread on debt is greater under an incomplete market. 3) The systematic and idiosyncratic risk premium for equity decrease with the current level of cash flow of the firm. 4) Risk aversion parameter and idiosyncratic risk have a significant impact upon the optimal default threshold, the subjective equity value and debt value.