Optimal Capital Structure, Firm Risk, and Equity Return--- An Internal Risk Transfer Perspective
Date Issued
2007
Date
2007
Author(s)
Hsu, Fang-Cheng
Abstract
Among the first studies, we examine the impacts on the equity returns from three credit risk dimensions measured as relative leverage (the distance to optimal leverage), solvency ratio, and collateral to asset, representing long-term default risk, short-term liquidity risk, and bargaining power of debt holders, respectively. We analyze the effects of these risks to both bondholders and stockholders. Our empirical investigation shows that a firm in the state of high credit risk, perhaps demanded by debt holder, tends to make a balance between these risk dimensions. In addition, we also find that equity returns exhibit a hump shape when relative leverage increases, a smile pattern when solvency ratio decreases, and a smile pattern too when collateral to asset increases, respectively.
Subjects
最適資本結構
信用風險
償債比率
擔保品比率
股東權益
Optimal Capital Structure
Solvency ratio
Collateral
Equity return
Default risk
Type
thesis
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