26 Pages Posted: 11 Jan 2017 Last revised: 17 May 2017
Date Written: May 18, 2017
Chinese Abstract: MM 命题的最大贡献是提出完美市场假设和使用套利证明方法。本文回顾了完美市场假设和无套利原理,然后对 MM 命题的论证采用当前的视角进行评述,着重回顾从确定性世界进入不确定性世界的过程中,人们逐步认识套利实质的演进历程。居于对无套利原理的清晰认识,我们看到 MM 命题的循环论证以及权益资本成本等观念的误导。企业进行生产活动以提供商品和服务,我们从企业价值创造的分享角度,发现股东有举债冲动而最大程度负债,但最终资本结构的选择,我们认为主要是受到行业特性和融资便利性的制约。
English Abstract: The real contributions of MM proposition on the irrelevance of financial policy are its central assumption of perfect capital markets and the associated arbitrage argument. In this text we review the perfect market assumption and no-arbitrage principle. Then, we restate and comment the proofs of MM proposition in current perspectives. We focus on the evolution on the understanding of arbitrage, the breakthrough from a deterministic world into a world of uncertainty. With no-arbitrage principle in mind, we clearly read the circular justification in the MM proposition and the misleading concept on cost of equity. From the perspective of the distribution of corporate’s value creation, we find that shareholders prefer the maximum degree of debt. However, we believe that the capital structures are mainly constrained by industry characteristics and the market timings of equity and debt financing.
Notes: Downloadable document is available in Chinese.
Keywords: 完美市场,无套利原理, MM 命题,资本结构, 权益资本成本, Perfect Market, No-Arbitrage Principle, MM Proposition, Capital Structure, Cost of Equity
JEL Classification: G12, G32, D24
Suggested Citation: Suggested Citation
Chen, Deng-Ta, MM 命题: 重新思考 (MM Proposition: Re-think) (May 18, 2017). Available at SSRN: https://ssrn.com/abstract=2896067