不确定环境下资本结构的动态调整分析

在企业资产价值由一个随机微分方程来描述的不确定环境下,企业总价值等于企业资产阶值加上债务息票支付的免税现值减去破产成本的现值,而息票支付的免税现值与破产成本的现值均为企业资产价值的未定相机机权益,并依赖企业内生破产时资产价值。利用高切原理,得到内生破产点的表达式,在此基础上,给出资本结构动态调整对股东与债权人的影响,发现增发股份与回购股份分别会降低股权价值和增加股权价值,债权人只会同意发行次级债务。

Analysis on Dynamic Adjustment of Capital Structure under Uncertainty

Under uncertainty which the enterprise asset value follows an exogenous stochastic differential equation, total value of the enterprise equals to asset value added to present value of tax sheltering about coupons, minus present value of bankruptcy costs. Present values of tax-sheltering and bankruptcy costs are contingent claims of the enterprise asset value, which depends on endogenous bankruptcy point. An expression about asset value of endogenous bankruptcy is obtained by "high contact" condition, base on which effects on the stockholders and creditors are given when capital structure is dynamically adjusted, and interest and strategy of stockholders and creditors are discussed.