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1、NEWYORKUNIVERSITYóLEONARDN.STERNSCHOOLOFBUSINESSDepartmentofFinanceWorkingPaperSeriesFIN-03-014________________________________________________________________________AModelofOptimalCapitalStructurewithStochasticInterestRatesJing-zhiHuang,NengjiuJuandHuiOu-YangFeb
2、ruary17,2003The2003NYUSternDepartmentofFinanceWorkingPaperSeriesisgenerouslysponsoredbyAModelofOptimalCapitalStructurewithStochasticInterestRatesJing-zhiHuang¤,NengjiuJuy,andHuiOu-YangzxThisVersion:February17,2003¤SmealCollegeofBusiness,PennStateUniversity,Univers
3、ityPark,PA16802;tel:(814)863-3566;jxh56@psu.edu.CurrentlyatSternSchoolofBusiness,NewYorkUniversity,NewYork,NY10012;jhuang0@stern.nyu.edu.ySmithSchoolofBusiness,UniversityofMaryland,CollegePark,MD20742;tel:(301)405-2934;nju@rhsmith.umd.edu.zFuquaSchoolofBusiness,Du
4、keUniversity,Durham,NC27708-0120,tel:(919)660-3790;huiou@duke.edu.xWethankHenryCao,HuaHe,HayneLeland,MarkRubinstein,andMattSpiegelfortheircommentsandsuggestions.AModelofOptimalCapitalStructurewithStochasticInterestRatesAbstractThispaperdevelopsamodelofoptimalcapit
5、alstructurewithstochasticinterestratewhichisassumedtofollowamean-revertingprocess.Closed-formsolutionsareobtainedforboththevalueofthefirmandthevalueofitsriskydebt.Thepaperfindsthatthecurrentlevelandthelong-runmeanoftheinterestrateprocessplaydistinctiverolesinourinte
6、gratedmodel.Thecurrentleveloftheinterestrateiscriticalinthepricingofriskybonds,whilethelong-runmeanplaysakeyroleinthedeterminationofafirm’soptimalcapitalstructuresuchastheoptimalcouponrateandleverageratio.Ourfindingsdemonstratethatamodelofoptimalcapitalstructurewith
7、aconstantinterestratecannotpriceriskybondsanddeterminetheoptimalcapitalstructuresimultaneouslyinasatisfactorymanner.Furthermore,ournumericalresultsindicatethatthecorrelationbetweenthestochasticinterestrateandtheassetreturnofafirmhaslittleimpactonthefirm’soptimalcapi
8、talstructure.11IntroductionTheproblemofoptimalcapitalstructurehaslongbeenanintriguingoneamongresearchers.BrennanandSchwartz(1978)areperhapsthefirsttostud
