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1、DynamicOptimalRiskManagementandDividendPolicyunderOptimalCapitalStructureandMaturitybyMichaelP.RossHaasSchoolofBusinessUniversityofCalifornia,BerkeleyFall1997AbstractThispaperexaminestheinteractionbetweena rm'svolatilityanddividendpoli-ciesandcapitalstructu
2、reandmaturitypolicies.The rmispermittedtocostlesslyandcontinuouslyselectanyassetvolatilityanddividendyield,withinbounds.Simpleandintuitiverulesarederivedforthe rm'soptimaldividendandvolatilitychoices.Itisfoundthatthe rmalwaysoptimallyselectseitherthemaximal
3、orminimaldiv-idendyieldandassetvolatilityandthatthesedecisionsdepend,respectively,onlyuponthedeltaandgammaofthe rm'sequity.Theseoptimaldividendandvolatil-itypoliciesarethenimplementedwithinthecontextoftheLelandandToft(1996)capitalstructuremodel.Itisfoundtha
4、t rmswilloptimallyselectalowdividendyieldandalowassetvolatilityoveragreaterrangeof rmassetvaluestheshorteristhematurityofthe rm'sdebt.Anticipatingthisbehavior,bondholderswilldemandasmallercreditspreadforshort-termdebtwhenthe rmhasgreatleewayinchoosingitsass
5、etvolatility.Inturn,thismayinducea rmtooptimallyissueshort-termdebt.Itisalsofoundthatthebetterisa rm'sabilitytohedge,themorefrequentlyitwillrefrainfrompayingdividends.Thiscon rmsthewell-knownresultthatriskmanage-mentmitigatesincentivesforunderinvestment.Her
6、eitisshowntoapplyex-postaswellasex-ante.TheauthorwishestothankYuriBurlakov,AaronEdlin,NengjiuJu,HayneLelandandRichardMartin.Anyerrorsremainmyown.1IntroductionTherearethreetypesofcorporate nancialdecisionsthathavelongbeenofinterestto nancialeconomists.Thesea
7、redecisionsregardingleverage,dividendsandrisk.SinceJensenandMeckling'sseminalworkintroducedtheconceptofassetsubstitution,ithasbeenacknowledgedthatlevered rmsmaywishtoundertakerisksinordertoexpropriatevaluefrombondholdersforthebene tofstockholders.WorkbyDiam
8、ond(1989),CampbellandKracaw(1990)andLelandandToft(1996)hasintroducedthenotionthatmanagement,actinginthebestinterestofshareholders,maywishtolimitassetsubstitution.Butoptimalvolatilitychoicehasneverbeenc
