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After Modigliani, Miller, and Hamada: A new way to estimate cost of capital
Journal of International Financial Management & Accounting ( IF 2.808 ) Pub Date : 2019-08-07 , DOI: 10.1111/jifm.12109
Roland Clère 1
Affiliation  

In this article, we discuss the impact of financial debt on shareholder value using a new approach that aims: (a) to explain the effect that leverage from debt has on a stock’s systematic risk, or what we shall call here “the systematic cost of leverage,” and (b) to account for default risk in the cost of equity, or what we shall call here “the cost of default.” Our assessment of systematic risk is based on a stochastic approach that is materially different from the one proposed by Hamada: the risk premium remunerates the investor for the probability of equity (expressed as market value) generating a return below that of the risk‐free rate. Furthermore, the approach we use to account for default risk is derived from reduced‐form models, but in this case, (a) we use real probabilities of default and not risk‐neutral probabilities, and (b) we extend the approach to stocks.

中文翻译:

继Modigliani,Miller和Hamada之后:一种估算资本成本的新方法

在本文中,我们将使用一种新方法讨论金融债务对股东价值的影响,该方法旨在:(a)解释债务杠杆对股票系统风险的影响,或者在这里我们称之为“证券的系统成本”。杠杆”,以及(b)在权益成本或我们称之为“违约成本”中说明违约风险。我们对系统风险的评估基于一种与Hamada提出的方法完全不同的随机方法:风险溢价使投资者获得的权益(以市场价值表示)的收益低于无风险利率的收益。 。此外,我们用来计算违约风险的方法源自简化形式的模型,但在这种情况下,(a)我们使用的是违约的实际概率,而不是风险中性概率,
更新日期:2019-08-07
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