我國房地產上市公司資本結構影響因素實證研究-資料下載頁

　　

【正文】 , as long as management is presumed to be acting in the best interests of the stockholders, retained earnings can be regarded as equivalent to a fully subscribed, preemptive issue of mon stock. Hence, for present purposes, the division of the stream between cash dividends and retained earnings in any period is a mere detail. Notice also that the uncertainty attaches to the mean value over time of the stream of profits and should not be confused with variability over time of the successive elements of the stream. That variability and uncertainty are two totally different concepts should be clear from the fact that the elements of a stream can be variable even though known with certainty. It can be shown, furthermore, that whether the elements of a stream are sure or uncertain, the effect of variability per set on the valuation of the stream is at best a secondorder one which can safely be neglected for our purposes (and indeed most others too). The next assumption plays a strategic role in the rest of the analysis. We shall assume that firms can be divided into equivalent return classes such that the return on the shares issued by any firm in any given class is proportional to (and hence perfectly correlated with) the return on the shares issued by any other firm in the same class. This assumption implies that the various shares within the same class differ, at most, by a scale factor. Accordingly, if we adjust for the difference in scale, by taking the ratio of the return to the expected return, the probability distribution of that ratio is identical for all shares in the class. It follows that all relevant properties of a share are uniquely characterized by specifying (1) the class to which it belongs and (2) its expected return. The significance of this assumption is that it permits us to classify firms into groups within which the shares of different firms are homogeneous, that is, perfect substitutes for one another. We have, thus, an analogue to the familiar concept of the industry in which it is the modity produced by the firms that is taken as homogeneous. To plete this analogy with Marshallian price theory, we shall assume in the analysis to follow that the shares concerned are traded in perfect markets under conditions of atomistic petition.From our definition of homogeneous classes of stock it follows that in equilibrium in a perfect capital market the price per dollar39。s worth of expected return must be the same for all shares of any given class. Or, equivalently, in any given class the price of every share must be proportional to its expected return. Let us denote this factor of proportionality for any class, say the kth class, by l/Pk. Then if pi denotes the price and sj is the expected return per share of the jth firm in class k, we must have：（1）pj =(1/ Pk)xj；or, equivalently, (2) xj/ pj= Pk ，a constant for all firms j in class k. The constants Pk (one for each of the k classes) can be given several economic interpretations：(a) From (2) we see that each Pk is the expected rate of return of any share in class k. (b) From (1) l/Pk is the price which an investor has to pay for a dollar39。s worth of expected return in the class k. (c) Again from (1), by analogy with the terminology for perpetual bonds, Pk can be regarded as the market rate of capitalization for the expected value of the uncertain streams of the kind generated by the kth class of firms. B. Debt Financing and Its Effects on Security Prices Having developed an apparatus for dealing with uncertain streams we can now approach the heart of the costofcapital problem by dropping the assumption that firms cannot issue bonds. The introduction of debtfinancing changes the market for shares in a very fundamental way. Because firms may have different proportions of debt in their capital structure, shares of different panies, even in the same class, can give rise to different probability distributions of returns. In the language of finance, the shares will be subject to different degrees of financial risk or leverage and hence they will no longer be perfect substitutes for one another. To exhibit the mechanism determining the relative prices of shares under these conditions, we make the following two assumptions about the nature of bonds and the bond market, though they are actually stronger than is necessary and will be relaxed later：(1) All bonds (including any debts issued by households for the purpose of carrying shares) are assumed to yield a constant ine per unit of time, and this ine is regarded as certain by all traders regardless of the issuer. (2) Bonds, like stocks, are traded in a perfect market, where the term perfect is to be taken in its usual sense as implying that any two modities which are perfect substitutes for each other must sell, in equilibrium, at the same price. It follows from assumption (1) that all bonds are in fact perfect substitutes up to a scale factor. It follows from assumption (2) that they must all sell at the same price per dollar39。s worth of return, or what amounts to the same thing must yield the same rate of return. This rate of return will be denoted by r and referred to as the rate of interest or, equivalently, as the capitalization rate for sure streams. We now can derive the following two basic propositions with respect to the valuation of securities in panies with different capital structures：Proposition I. Consider any pany j and let Xi stand as before for the expected return on the assets owned by the pany (that is, its expected profit before deduction of interest). Denote by Di the market value of the debts of the pany；by Sj the market value of its mon shares；and by Vj=Sj+Dj the market value of all its securities or, as we shall say, the market value of the firm. Then, our Proposition I asserts that we must have in equilibrium：(3) Vi (Sj +Dj) = Xj/pk, for any firm j in class k. That is, the market value of any firm is independent of its capital s