资源描述：
《Capital structure choice with risk-averse investors》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、ReviewofQuantitativeFinanceandAccounting,3(1993):367-38291993KluwerAcademicPublishers,Boston.ManufacturedinTheNetherlands.RiskandtheMillerEquilibrium:CapitalStructureChoiceWithRisk-AverseInvestorsWILLIAMSTEVENSMITHCollegeofBusiness,BloomsburgUniversityofPennsylvania,Bloomsburg,Pennsylvania17815J
2、AMESALLENCONOVERDepartmentofFinance,Insurance,RealEstateandLaw,CollegeofBusinessAdministration,UniversityofNorthTexas,Denton,Texas76203Abstract.MertonMiller's(1977)taxmodelofequilibriumcapitalstructurechoiceresultsincapitalstructureirrelevanceandtheexistenceoftaxclienteles,assumingtherestrictivec
3、aseofrisk-neutrality.Relaxationoftheassumptionofrisk-neutralityinMiller'staxframework,allowingutility-maximizingrisk-averseinvestors,indicatesthatcapitalstructureirrelevancecontinuestoholdunderreasonableassumptionsaboututility.Evaluationofresultingtaxclientelesshowsthatmarginaltaxratesdonotrestri
4、ctinvestorsfrominvestinginequitiesbutdoaffectthetaxstatusofpurchasedbonds.I.IntroductionThispaper'sgoalistorelaxtheassumptionofrisk-neutralityintheMiller(1977)capitalstructuremodelwhilemaintainingtheresultofcapitalstructureirrelevance.Weusereason-ableassumptionsregardingtheutilityfunctionsofrisk-
5、averseinvestorsandwell-knownresultsfromtheutilityliteraturetoaccomplishthisgoal.Thisworkcontributestotheactivedebateoncapitalstructureintwomajorways.First,itmaintainstheMillermodel'sresultofcapitalstructureirrelevanceunderrisk-aversionwhileallowingdifferenttaxclienteles.Second,itprovidesasimpleth
6、eoreticalmodeltointerpretempiricalresearchthatexaminestheeffectivemarginaltaxrateondebt,leverageirrelevance,andinvestorriskpreferences.TheresultsareapplicablebothtotheMillermodel'sequilibriumresultandtoextensionsoftheMillermodelthatusealternativeassump-tionsabouttheenviromnentofthefirm(seeRao(199
7、1),Simon(1991),HochmanandPalmon(1988),andSarigandScott(1985)forapplicationsoftaxclientelepredictionsofthemodel).Insection2,wediscussthewaytherelevantcapitalstructureliteraturehasmodeledriskaversion.Insection3,wereviewt
