értekezés - Budapesti Corvinus Egyetem

In a second stage optimization, Leland [1994] determines the optimal debt contract the
firm should issue ex ante in order to maximize the firm value of the leveraged firm. Since
he trades off the tax advantage of debt and the costs of financial distress, his capital
structure theory is basically a dynamic formulation of the classical balancing theory with
an endogenous default decision. Thus, Leland [1994] is able to link debt values and
optimal debt-equity ratios to the firm’s asset value, the firm’s risk, taxes, bankruptcy costs,
and interest rates.
Az EBIT-alapú modellek
While Leland [1994] assumes that the firm makes a single capital structure decision to
maximize current firm value, Goldstein, Ju, and Leland [1998] and Christiensen, Flor,
Lando, and Miltersen [2000] generalize Leland’s model to a dynamic capital structure
strategy, where equity holders optimally choose a time to propose a restructuring of debt to
debtholders by several techniques (such as calling the debt, renegotiation of debt terms,
prepayment, etc.). 212 This new generation of structural models shed light on the deficiency
of Leland’s [1994] model framework and led to the introduction of EBIT-based models.
Instead of modeling the value of the unlevered firm, these recent models take the claim on
future earnings before interests and taxes (EBIT) as a state variable. They do so because
the value of the unlevered firm creates some problems when they analyze dynamic capital
structure strategies. On top of all, in Leland’s setup both the levered and unlevered value of
the firm exist at the same time. Besides the impossibility of such situation, these models
smack of arbitrage for they seem to imply that a share of unlevered equity can be
purchased, levered up, and sold at the levered equity price for a sure profit. 213
Another difficulty with Leland’s [1994] model is that they treat cash flows to government
(via taxes) in a fundamentally different manner than they treat cash flows to equity and
debt. Indeed, they model the tax benefit as an inflow of funds, rather than as a reduction of
outflow of funds. This – according to Goldstein et al. [1998] – leads to three problems: 1. it
212 Dynamic capital structure models were introduced by Fischer, Heinkel, and Zechner [1989], who consider
the possibility of calling debt and issue new debt (at a cost) to take advantage of an increase in the tax shelter.
213 Note that the risk-neutral drift of the unlevered firm in these models is the risk-free rate. If the unlevered
firm is not to be interpreted as a traded asset, then the drift is misspecified in these models. See Goldstein, Ju,
Leland [1998].
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