摘要
我使用1994年到2012年的數據，根據市場價值以及公司的債務和股權貝塔值，估計舉債的淨好處。當企業舉債比率較低時，淨效益會隨著舉債增加而增加，但是如果舉債比率太高，淨效益又會隨著舉債增加而減少，這意味著公司存在一個最佳的資本結構。
關鍵字
舉債淨效益並列摘要
I estimate the market’s valuation of the net benefits to leverage using panel data from 1994 to 2012, identified from market values and betas of a company’s debt and equity. Net benefits are increasing in leverage for low-debt firms but decrease as leverage becomes very high, implying the existence of an optimal capital structure.
參考文獻
[1] Arthur G. Korteweg. “The Net Benefits to Leverage”, The Journal of Finance, Vol. LXV, NO. 6, Dec. 2010.
[3] Carter, Chris K. and Robert Kohn, 1994, “On Gibbs sampling for state-space models”, Biometrika 81, 541-553.
[4] Gelfand, Alan E., and Adrian F.M. Smith, “Sampling-based approaches to calculating marginal densities”, Journal of the American Statistical Association 85, 398-409, 1990.
[7] Modigliani, Franco, and Merton H. Miller, “The cost of capital, corporation finance, and the theory of investment”, American Economic Review 48, 261–297, 1958.
[8] Robert, Christian P., and George Casella, Monte Carlo statistical methods. Springer, New York, 1999.