NEW DEVELOPMENTS ON THE MODIGLIANI-MILLER THEOREM

作者：Aboura S^*; Lepinette E

来源：Theory of Probability and Its Applications, 2017, 61(1): 3-14.

DOI：10.1137/S0040585X97T988010

• Modigliani-Miller theorem
• absence of arbitrage opportunity
• banks
• leverage
• regulation

The seminal Modigliani-Miller theorem (1958) is a cornerstone of corporate finance theory. It provides conditions under which changes in a firm's capital structure do not affect its fundamental value. A recent controversial debate around the relevancy of the Modigliani-Miller theorem regarding the banking sector has been raised since the 2008 financial crisis. In this paper, we provide an overview of the theorem with recent developments when considering several extensions of the initial model. We reformulate the Modigliani-Miller theorem under a Markowitz perspective. Under this approach, we consider the case of implicit government guarantees offered to banks. Our main result shows that a bank does not satisfy the Modigliani-Miller theorem; precisely, banks will favor leverage instead of equity.

• 出版日期2017