értekezés - Budapesti Corvinus Egyetem

15. ábra - A fedezés hatása a Ross [1996] modellben
The impact of capital structure decision vs. hedging on shareholder value in Ross’s [1996]
model
Source: Ross [1996] pp. 21. Figure 4
Figure 4: Unless an x-axis variable, parameters are as follows: V = 100 (unlevered firm
value), r = 0.067, σ1 = 0.2 (prior-to-hedge firm asset volatility), t = 0.25 (corporate tax
rate), b = 0.22 (bankruptcy cost in % of levered firm value), and z = 0.25 (risk reduction in
% of start-out asset volatility). The solid line is the contribution to $100 unlevered firm
value of optimal leverage when asset volatility is 0.2. The dotted line is the contribution to
$100 unlevered firm value of optimal leverage when asset volatility is 0.15. The difference
is the value of 25% risk-reduction.
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