摘要
根据风险与收益的基本关系,以及权益收益率与投资收益率的相互联系,从企业规模角度,建立规模序列计量经济模型,在一般性基础上讨论了投资收益率及其随机扰动变量的近似概率分布,进而得出权益资金收益率的近似概率分布,然后根据筹资者对风险和收益的权衡,以企业股权资金收益率的方差作为筹资风险的度量,建立关于权益资金收益率的企业家效用函数,并根据其期望效用最大化,得到最优资本结构.
According to the relationship between earnings and risk, and between the return on equity （ROE） and the return on investment （ROI）, this paper classifies the firms according to scales and establishes scale series econometric model. On the common basis it discusses the approximating distributions of the ROI and stochastic disturbance variable, and afterwards gets the distribution of the ROE about all the firms. Furthermore, based on the trade of money-raisers to the risks and retum, it regards the variance of the ROE as the risk measurement of raising capital, and establishes the firm＇s utility function about the ROE. Finally, through maximizing its expected utility it obtains the optimal capital structure.
出处
《管理科学学报》
CSSCI
北大核心
2006年第5期75-81,共7页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(70562001
70262001)
江西省普通高校人文社科重点研究基地-金融发展与风险防范研究中心
以及"金融深化过程中信用风险的测度和控制创新团队"的研究成果
关键词
风险
收益
资本结构
risk
ROE
optimal capital structure
