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- W1574357736 abstract "Equity and credit are options on firm assets. As options, actual returns to equity and credit are functions of two distinct sources of value; 1) expected firm asset returns and 2) the difference between option price implied and subsequent realized firm asset volatility. Equity and credit are subject to option value arbitrage pricing and therefore no compensating returns accrue to equity and credit for stochastic firm asset volatility. Portfolio construction that eliminates the capital structure option exposure will increase realized risk adjusted returns relative to investments with capital structure option exposure." @default.
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- W1574357736 date "2011-01-01" @default.
- W1574357736 modified "2023-09-25" @default.
- W1574357736 title "Modigliani Miller Investment Implications: A Put Option Theory of Capital Structure and Stochastic Volatility" @default.
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- W1574357736 doi "https://doi.org/10.2139/ssrn.1079662" @default.
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