Studies on the measurement of risk and cost of capital of capital assets among Japanese firms

在本专著中，我们首先基于CAPM和Fama和French三因素模型估计了东京证券交易所第一部分上市的所有公司的股本回报率要求。我们在第一章中报告了行业层面的汇总统计数据，个别企业的结果在附录中。基于米勒和莫迪利亚尼的税收修正模型和米勒的债务和税收模型，我们论证了企业税率降低将如何影响股权融资和债务融资的资金成本。第二章采用多因素模型估计了所需的净资产收益率，其中强调了金融部门和非金融部门在经济中的不同作用。这一结果揭示了债务融资总量对企业新投资截止率的影响。第四章利用日本政府住户调查的欧拉条件检验考察了不同收入群体在最优消费和风险资产持有决策上的差异，结果表明，对于最高收入群体，欧拉条件不被拒绝。第四章在两部门动态一般均衡模型框架下，利用日本地级数据比较了私人投资和公共投资的资本边际效率，发现前者明显高于后者。最后一章讨论市净率是否是一个“特征”的问题，我们支持它确实是真正的风险因素的观点。

In this monograph firstly we estimate the required rate of return for equity for all firms listed in the first section of the Tokyo Stock Exchange based on both CAPM and the Fama and French three-factor model. We report the summary statistics at the industry level in Chapter 1 and the result for individual firms are in the Appendix. Relying on both the original Miller and Modigliani tax correction model and the Miller's debt and tax model we demonstrate how the corporate tax rate reduction will affect the cost of capital for both equity financing and debt financing. In Chapter 2 the required return on equity is estimated with the multi-factor model where the different role of financial sector and non-financial sector in the economy is highlighted. The result shed light on the effect of aggregate debt financing to the firms' new investment cut-off rate. In Chapter 4 the difference among income groups on their optimal consumption and risky asset holding decisions is investigated with Euler condition tests from Japanese Government Household Survey and the result shows that for the highest income group the Euler condition was not rejected. In Chapter 4 we compare the marginal efficiency of capital between private investment and public investment with Japan's prefecture level data within a two sector dynamic general equilibrium model framework and find that the former has been predominantly higher than the latter. The last chapter deals with the question of whether the book-to-price ratio is a "characteristic," and we support the view that it is indeed the real risk factor.