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ID:40058729
大小:423.87 KB
页数:36页
时间:2019-07-18
《Dynamic Optimal Risk Management and Dividend Policy》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、DynamicOptimalRiskManagementandDividendPolicyunderOptimalCapitalStructureandMaturitybyMichaelP.RossHaasSchoolofBusinessUniversityofCalifornia,BerkeleyFall1997AbstractThispaperexaminestheinteractionbetweenarm'svolatilityanddividendpoli-ciesandcapitalstructu
2、reandmaturitypolicies.Thermispermittedtocostlesslyandcontinuouslyselectanyassetvolatilityanddividendyield,withinbounds.Simpleandintuitiverulesarederivedfortherm'soptimaldividendandvolatilitychoices.Itisfoundthatthermalwaysoptimallyselectseitherthemaximal
3、orminimaldiv-idendyieldandassetvolatilityandthatthesedecisionsdepend,respectively,onlyuponthedeltaandgammaoftherm'sequity.Theseoptimaldividendandvolatil-itypoliciesarethenimplementedwithinthecontextoftheLelandandToft(1996)capitalstructuremodel.Itisfoundtha
4、trmswilloptimallyselectalowdividendyieldandalowassetvolatilityoveragreaterrangeofrmassetvaluestheshorteristhematurityoftherm'sdebt.Anticipatingthisbehavior,bondholderswilldemandasmallercreditspreadforshort-termdebtwhenthermhasgreatleewayinchoosingitsass
5、etvolatility.Inturn,thismayinducearmtooptimallyissueshort-termdebt.Itisalsofoundthatthebetterisarm'sabilitytohedge,themorefrequentlyitwillrefrainfrompayingdividends.Thisconrmsthewell-knownresultthatriskmanage-mentmitigatesincentivesforunderinvestment.Her
6、eitisshowntoapplyex-postaswellasex-ante.TheauthorwishestothankYuriBurlakov,AaronEdlin,NengjiuJu,HayneLelandandRichardMartin.Anyerrorsremainmyown.1IntroductionTherearethreetypesofcorporatenancialdecisionsthathavelongbeenofinteresttonancialeconomists.Thesea
7、redecisionsregardingleverage,dividendsandrisk.SinceJensenandMeckling'sseminalworkintroducedtheconceptofassetsubstitution,ithasbeenacknowledgedthatleveredrmsmaywishtoundertakerisksinordertoexpropriatevaluefrombondholdersforthebenetofstockholders.WorkbyDiam
8、ond(1989),CampbellandKracaw(1990)andLelandandToft(1996)hasintroducedthenotionthatmanagement,actinginthebestinterestofshareholders,maywishtolimitassetsubstitution.Butoptimalvolatilitychoicehasneverbeenc
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