On the Relevance of Debt Maturity Structure
On the Relevance of Debt Maturity Structure
复制标题
论债务期限结构的相关性
DOI：
10.1111/j.1540-6261.1985.tb02392.x
复制
发表时间：
1985
影响因子：
8
通讯作者：
S. Ravid
中科院分区：
文献类型：
--
作者：
Ivan E. Brick;S. Ravid
在本文中，我们提出了一个税收诱导的框架来分析债务期限问题。我们发现，在现有的美国税法的一些修改，债务期限是无关紧要的，即使在税收和破产成本，产生最优的资本结构的存在。如果放松这种限制性结构，并假设米勒[15]均衡不占上风，税收原因通常意味着存在最优债务期限结构。如果存在来自杠杆的收益，那么增加利率的期限结构，调整违约风险，导致长期债务是最优的。在类似的情况下，期限结构的下降使短期债务成为最优选择。在不存在代理成本的情况下，均衡状态下会出现米勒[15]式的结果，并且不相关性占主导地位。我们还认为，代理成本可以再次扭转的不相关性，并意味着一个公司特定的最优债务期限结构。关于最优债务期限结构的存在性，文献中进行了广泛的讨论。Kraus [13]在没有证据的情况下指出，有效的资本市场排除了最优债务期限的存在。斯蒂格利茨[20]证明了债务期限的无关性，但在一个经济环境中，由于没有税收和破产成本，整个融资决策是无关紧要的。相反，Morris [16]认为，如果净营业收入和未来利率之间的协方差为正，则发行短期债务可以降低股东的风险，从而增加股权价值。莫里斯的这一结果即使在没有税收和没有违约概率的情况下也能得到。莫里斯和斯蒂格利茨之间的差异之所以出现，是因为莫里斯使用博格和罗尔[31]多期资本资产定价模型来纳入不确定的未来利率，这隐含地假设投资者不能分散投资，
In this paper, we present a tax-induced framework to analyze debt maturity problems. We show that under some modifications of the existing U.S. tax code, debt maturity is irrelevant even in the presence of taxes and bankruptcy costs that yield an optimal capital structure. If this restrictive structure is relaxed, and assuming the Miller [15] equilibrium does not prevail, tax reasons would usually imply the existence of an optimal debt maturity structure. If there exists a gain from leverage, then an increasing term structure of interest rates, adjusted for default risk, results in long-term debt being optimal. A decreasing term structure, under similar circumstances, renders short-term debt optimal. In the absence of agency costs, a Miller [15]-type result emerges at equilibrium and irrelevance prevails. We also argue that agency costs could again reverse the irrelevance and imply a firm-specific optimal debt maturity structure. THERE HAS BEEN EXTENSIVE discussion in the literature concerning the existence of an optimal debt maturity structure. Kraus [13] states, without proof, that efficient capital markets preclude the existence of an optimal debt maturity. Stiglitz [20] demonstrates the irrelevance of debt maturity, but in an economic environment in which the entire financing decision is irrelevant due to the absence of taxes and bankruptcy costs. In contrast, Morris [16] argues that the issuance of short-term debt can reduce the risk to stockholders and thereby increase equity value, if the covariance between the net operating income and future interest rates is positive. This result by Morris is obtained even in the absence of taxes and when there is no probability of default. The discrepancy between Morris and Stiglitz arises because Morris uses the Bogue and Roll [31 multiperiod Capital Asset Pricing Model to incorporate uncertain future interest rates, which implicitly assumes that investors cannot diversify away intertem