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

日本企业资本资产风险和资本成本测算研究

基本信息

批准号：
12630111
负责人：
KUBOTA Keiichi
金额：
$ 1.41万
依托单位：
Musashi University
依托单位国家：
日本
项目类别：
Grant-in-Aid for Scientific Research (C)
财政年份：
2000
资助国家：
日本
起止时间：
2000 至 2001
项目状态：
已结题

来源：
https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-12630111/
关键词：
cost of capital productivity of capital equity premium puzzle opitimal consumption-investment model asset pricing theory

项目摘要

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.

在这本专著中，我们首先基于资本资产定价模型和法玛和法国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所需的股本回报率。我们在第一章报告各行业的统计数字摘要，个别公司的统计结果载于附录。基于原始的Miller和Modigliani税收修正模型和Miller的债务和税收模型，我们实证了公司税率下调对股权融资和债务融资的资本成本的影响。第二章运用多因素模型估算所需的权益报酬率，突出了金融部门和非金融部门在经济中的不同作用。这一结果揭示了总债务融资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决策和风险资产持有决策上的差异，结果表明，对于最高收入群体而言，欧拉条件并未被拒绝。在第四章中，我们在一个两部门动态一般均衡模型框架内，将私人投资和公共投资的资本边际效率与日本县级数据进行了比较，发现私人投资和公共投资的资本边际效率明显高于公共投资。最后一章讨论了账面价格比是否是一个“特征”的问题，我们支持这一观点，即它确实是真正的风险因素。