Determining the optimal capital structure based on revised definitions of tax shield and bankruptcy cost 基于税收屏蔽和破产成本修正定义的最优资本结构确定.pdf

Front. Bus. Res. China 2009, 3(1): 120–144 DOI 10.1007/s11782-009-0007-1 RESEARCH ARTICLE ZHANG Zhiqiang Determining the optimal capital structure based on revised definitions of tax shield and bankruptcy cost © Higher Education Press and Springer-Verlag 2009 Abstract For half a century, no consensus has been reached on optimal capital structure after numerous intensive studies. This paper develops three alternative simple models to derive optimal capital structure. Because the optimal leverage ratio determined by the models is close to most survey data, some relevant puzzles, such as “financial conservatism”, are easily explained. In addition, the new models can be extended to accommodate various decision situations, for instance, abnormal growth, bankrupt expectancy, debt guarantee, transaction cost, and personal income tax. Keywords MM model, trade-off theory, tax shield, bankruptcy cost, ZZ leverage model 摘要 经过半个世纪的研究努力，最优资本结构问题依然未得到解决。通过修正节 税收益和破产成本的概念，并通过实物期权定价技术对这两者进行了重新计量，进 而建立了确定最优资本结构的 ZZ 杠杆模型。将自变量的典型值代入模型得出的最 优债务比率与世界范围内的实际调查数据基本吻合，从而一些长期难以解释的“资 本结构之谜”，如“财务保守行为”等，可以得到解决。而且 ZZ 杠杆模型可以通 过简单调整，方便地适应多种决策情况，包括公司存在超常增长、破产预期、债务 担保、融资交易费用以及股权收益和债权收益的个人所得税差异等。 关键词 MM 模型，权衡理论，节税收益，破产成本，ZZ 杠杆模型 Received October 13, 2008 ZHANG Zhiqiang () School of Business, Renmin University of China, Beijing 100872, China E-mail: zhqzh66@ Determining the optimal capital structure 121 1 Introduction As the capital backing of investments and operations of firms include debt and equity, the capital structure is usually represented by the debt ratio, or the leverage ratio, as commonly referred to. The capital structure of a firm is, in practice, related to decisions made in financing the firm. The common way to choose a