Using US firms with over $5b market cap, this paper tests the impact of levered beta on the firm’s market value and optimal capital structure. Using the synthetic rating method in a recursive model, the paper shows the current and optimal weighted average cost of capital sensitivities as the firm’s market risk measured by beta changes. The paper shows that the change in the value of beta due to alternative leverage levels or other risk factors will alter the cost of capital insignificantly and has no impact on the optimal capital structure due to those firms’ extra-strong bond ratings. As a side-benefit of the synthetic rating method, one may also observe the market-level variables’ impacts on the cost of capital computations and the optimal debt ratio. The paper uses Disney Corporation to show how the synthetic rating methodology helps to disclose the sensitivities of hypothetical alternative leverages.

中文翻译：

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杠杆贝塔值和资本敏感性成本：资本结构的实验研究

本文使用市值超过50亿美元的美国公司，测试杠杆beta对公司市值和最佳资本结构的影响。在递归模型中使用综合评级方法，本文显示了当前和最佳的资本敏感度加权平均成本，作为通过贝塔变化衡量的公司市场风险。本文表明，由于替代杠杆水平或其他风险因素而导致的beta值变化将微不足道地改变资本成本，并且由于这些公司的超强债券评级而不会影响最佳资本结构。作为综合评估方法的附带好处，人们还可以观察到市场水平变量对资本计算成本和最佳债务比率的影响。