谱负Levy模型下具有规模效应的最优资本结构
Optimal Capital Structure with Scale Effects under Spectrally Negative Levy Models
摘要：
内生破产的最优资本结构模型首先由Leland（1994）和Leland and and Toft（1996）研究，后来由Hilberink and Rogers（2002）和Kyprianou and Surya（2007）扩展到谱负Levy模型。本文通过允许破产成本和税收优惠的价值取决于企业的资产价值，将规模效应纳入其中。利用谱负Levy过程的涨落恒等式，得到了一个候选破产水平和最优性的充分条件。特别是当资产价值中税收优惠的价值单调增加，破产损失额增加，其相对于资产价值的比例减少时，最优性保持不变。该解在尺度函数方面具有半显式形式。通过一系列的数值研究，分析了规模效应对违约策略和最优资本结构的影响。
英文摘要：
The optimal capital structure model with endogenous bankruptcy was first studied by Leland (1994) and Leland and Toft (1996), and was later extended to the spectrally negative Levy model by Hilberink and Rogers (2002) and Kyprianou and Surya (2007). This paper incorporates the scale effects by allowing the values of bankruptcy costs and tax benefits to be dependent on the firm's asset value. By using the fluctuation identities for the spectrally negative Levy process, we obtain a candidate bankruptcy level as well as a sufficient condition for optimality. The optimality holds in particular when, monotonically in the asset value, the value of tax benefits is increasing, the loss amount at bankruptcy is increasing, and its proportion relative to the asset value is decreasing. The solution admits a semi-explicit form in terms of the scale function. A series of numerical studies are given to analyze the impacts of scale effects on the default strategy and the optimal capital structure.
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