Abstract This paper develops a theoretical model of financing with informational feedback effect that jointly determines a firm's capital structure and cost of capital. We show that under some conditions capital structure affects traders’ incentives to produce information about the prospect of the firm which they then use to trade in its securities. On one hand, informed trades incorporate new information into security prices which in turn help the firm make more efficient operating decisions. On the other hand, they increase the cost of capital as uninformed investors demand extra compensation in the form of a liquidity premium in anticipation that they will lose to informed traders. The optimal capital structure which maximizes the value of the firm is determined by the trade-off between high operating efficiency and low cost of capital. When information is not imperative for the firm's operating decisions, the Modigliani-Miller's irrelevance is maintained. However, when information is crucial for efficient operating decisions, the optimal capital structure is a balance between a high level of information revelation and a low cost of capital. The study can explain why many firms consistently hold low levels of debt and why firms with similar fundamentals may choose very different capital structures.

中文翻译：

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价格影响实际投资时的资本结构和资本成本

摘要本文建立了一种具有信息反馈效应的融资理论模型，该模型共同决定了企业的资本结构和资本成本。我们证明，在某些情况下，资本结构会影响交易者产生有关公司前景的信息的动机，然后他们将其用于证券交易。一方面，知情交易将新信息纳入证券价格，这反过来又有助于公司制定更有效的运营决策。另一方面，由于不知情的投资者要求以流动性溢价的形式提供额外补偿，从而增加了资本成本，因为他们预计他们将输给有经验的交易者。使公司价值最大化的最优资本结构取决于高运营效率和低成本资本之间的权衡。当信息对于公司的运营决策而言不是必不可少的时候，Modigliani-Miller的重要性就不会被保留。但是，当信息对于有效的运营决策至关重要时，最佳的资本结构应在高水平的信息披露与较低的资本成本之间取得平衡。该研究可以解释为什么许多公司始终保持较低的债务水平，以及为什么具有相似基本面的公司可能选择截然不同的资本结构。