考慮調整成本下之動態最適資本結構模型

Abstract

本文發展了一個考慮調整成本後的動態最適資本結構模型。外生給定一現金流量過程，本模型可內生決定公司價值和所有攸關公司價值的衍生性證券價值及最適資本結構。 本模型亦考慮了變動資本結構所帶來的調整成本，包含了固定成本及變動成本；而調整成本會對資本結構的調整頻率和調整幅度有顯著的影響。 此外，本文也對模型做了敏感度分析，結果與經濟直覺和文獻預期皆符合。

This paper develops a dynamic capital structure model with costly adjustment mechanisms. Based on an exogenous cash flow process, the model can endogenously determine the firm value and the claim value of firm’s derivative security under optimal debt level. The model considers costs of adjustments in capital structure, including a fixed cost element and a proportional one, which have significant effect on the frequency of adjustments in capital structure by a firm. The numerical results of simulation analysis of our model are consistent with those expected in literature and intuition.