Bankruptcy Risk and Optimal Capital Structure
Bankruptcy Risk and Optimal Capital Structure
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破产风险与最优资本结构
DOI：
10.1111/j.1540-6261.1983.tb03845.x
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发表时间：
1983
影响因子：
8
通讯作者：
R. Castanias
中科院分区：
文献类型：
--
作者：
R. Castanias
本研究发现资本结构不相关假说的实证检验存在不足。另一种假设是，考虑到破产成本和利息支付的可抵税性，企业选择价值最大化的债务和股权组合。基于避税破产成本假设的横截面含义，对不相关假设进行了另一种检验。该测试检查了36条业务线的失败率和杠杆率之间的关系。结果与不相关假设不一致。在他们里程碑式的论文中，莫迪利亚尼和米勒证明，在一定的假设下，公司的市场价值与其资本结构是独立的。这些假设包括没有税收、交易成本和破产成本。最近，米勒（Miller）认为，引入公司税和个人税不会改变资本结构，这与破产成本的缺失无关破产成本通常与利息支付的税收减免一起考虑，这使其他人得出结论，资本结构将影响公司的价值在这种情况下，价值最大化的企业可能会选择由债务和股权组成的最优资本结构。有许多人试图从经验上区分米勒不相关假说和避税破产成本假说。本文第一节讨论了其中的几个问题。有人认为，试图直接衡量资本结构变化对企业价值的影响的研究存在严重的复杂性，无法区分MI假设和TS-BC假设。其他研究关注于MI和TS-BC假设的横断面含义。横断面测试基于破产成本可能倾向于促使具有更大“商业风险”的公司在其资本结构中包含更少债务的断言，而MI假设并未预测这种关系。不幸的是，正破产成本的存在并不足以保证TS-BC假设能够预测出两者的反比关系
This study finds shortcomings in empirical tests of the capital structure irrelevance hypothesis. The alternative hypothesis is that firms choose value maximizing mixes of debt and equity on account of bankruptcy costs and the tax deductibility of interest payments. Based upon the cross-sectional implications of the tax shelter-bankruptcy cost hypothesis, an alternative test of the irrelevance hypothesis is performed. The test examines the relationship between failure rates and leverage ratios for 36 lines of business. The results are inconsistent with the irrelevance hypothesis. IN THEIR LANDMARK PAPER, Modigliani and Miller [26] demonstrate that under certain assumptions the market value of a firm is independent of its capital structure. These assumptions include the absence of taxes, transactions costs, and bankruptcy costs. Recently, Miller [24] has argued that the introduction of corporate and personal taxes does not alter the capital structure irrelevance result in the absence of bankruptcy costs.1 The inclusion of bankruptcy costs, generally considered in conjunction with the tax deductibility of interest payments, has led others to conclude that capital structure will affect the value of the firm.2 In this case, value-maximizing firms may choose optimal capital structures consisting of both debt and equity. There have been numerous attempts to discriminate empirically between the Miller irrelevance (MI) hypothesis and the tax shelter-bankruptcy cost (TS-BC) hypothesis. Several are discussed in Section I of this paper. There it is argued that studies attempting to measure directly the effect of changes in capital structure on firm values are subject to serious complications and are unable to discriminate between the MI and TS-BC hypotheses. Other studies focus on cross-sectional implications of the MI and TS-BC hypotheses. The cross-sectional tests are based on the assertion that bankruptcy costs may tend to induce firms with greater "business risk" to include less debt in their capital structures, whereas the MI hypothesis does not predict such a relationship. Unfortunately, the existence of positive bankruptcy costs is not sufficient to ensure that the TS-BC hypothesis will predict the inverse relation