(1) (1) (2) (2) (3) (3) (4) * () (1996 12 1
2
3 [1994] B S B=S W D L (a) (b) B B=S = ( ) S D D
Modigliani=Miller Ross and Westerfield [1988] Sharpe [1976] Treynor [1977] (a) V F F (b) F (c) (d) V F 4
L = Fe rt P( V, F, σ ) P(V, F,) V F = V Fe rt + P( V, F, σ ) V=+W>>F V=+WF W 5
Black [1980] Tepper [1981] Black [1980] 50% Tepper [1981] Miller [1977] (a) (b) S D B D 6
t t t (1t ) (1t ) (1t ) T = ( 1 tb ) (1 tc)(1 ts) T L S G S = { ρs rl(1 tc )}(1 t s ) { S(1 ts ) rl(1 tb )} rl{ (1 t ) (1 t )(1 t )} = ρ b c s L=B G B = { rb rl(1 t = rl{ t c (1 t s )} c )}(1 t s ) { rb(1 t b ) rl(1 t b )} G B G S = rl ( tb ts ) t t Harrison and Sharpe [1983] Bicksler and Chen [1985] 7
Bulow and Scholes [1983] Who Owns the ssets in a Defined-Benefit Pension Plan? Bodie [1990] W L 8
T Max(WT, LT) WT WT LT Max( WT, LT ) = WT + Max(0, LT WT ) 0 W L D P Y P Bodie [1990] T Margrabe [1978] P = W N ( d ) + L N ( d + σ T ) 1 2 d = {ln( W / L) + σ T}/ σ T 2 2 2 σ = σ + σ 2ρ σ σ N ( ) σ W σ L 2 W L W L W L W L ρ W L W L W L P ρ W L = 1σ = σ 9 W L
FS87 Bulow and Scholes [1983] Y W L B S Y = W L W = B+ S r DLDB D U/U Y = ( D B + D D L) r + U / U B L f (=W/L1) k (=S/W) 2 2 2 2 2 δ = {( 1 k)(1 + f ) DB + k(1 + f ) D DL} σ r + { k(1 + f )} σ U 10
a% Z k Z a δ f f k f Z k DB DL f Z DDLD DB k f DB DL k 11
5 (x) (a) (b) D B D S D (x) ~r β λ r µ = r + β λ D r D ~ r = ( ~ r rd)/ = ~ r + d( ~ r r) d = D / µ = r + ( 1+ d ) β λ β = Cov( r ~, r ~ = (1 + d) β M )/ Var( r ~ ) M c = r + β λ = r + ( 1 + d ) β λ 12
µ c / = (a) L B r L=B ~ r = ( ~ r + rb rd rl)/ = ~ r + d( ~ r r) (b) S L=S ~ r = ( ~ r ~ + r ) / ~ ( ~ M S rd rl = r + d r r) + l( ~ r r) ~r l = L / = S / M λ µ = r + ( 1+ d ) β λ + l λ β = Cov( r ~, r ~ = (1 + d) β M )/ Var( r ~ ) + l M c = r + β λ = r + {( 1+ d ) β + l} λ µ c / = 13
1% 15 5 4 19.6% 20% 5% 16% 12% 20%33% 25%49% 15% 5 10 8% 7% 20% 45% 1994 3 QRI RPORT 1996 9 J. L. Bicksler and. H. Chen, The Integration of Insurance and Taxes in Corporate Pension Strategy, Journal of Finance, July 1985 F. Black, The Investment Policy Spectrum: Individuals, ndowment Funds and Pension Funds, Financial nalysts Journal, January/February 1976 F. Black, The Tax Consequences of Long-Run Pension Policy, Financial nalysts Journal, July / ugust 1980 14
Z. Bodie, The BO, the PBO and Pension Investment Policy, Financial nalysts Journal, September / October 1990 J. I. Bulow and M. S. Scholes, Who Owns the ssets in a Defined-Benefit Pension Plan, In Z. Bodie and J. Shoven (eds.), Financial spects of the United States Pension System, University of Chicago Press, 1983 J. M. Harrison and W. F. Sharpe, Optimal Funding and sset llocation Rules for Defined- Benefit Pension Plans, In Z. Bodie and J. Shoven (eds.), Financial spects of the United States Pension System, University of Chicago Press, 1983 W. Margrabe, The Value of an Option to xchange One sset for nother, Journal of Finance, March 1978 M. H. Miller, Debt and Taxes, Journal of Finance, May 1977 S.. Ross and R. W. Westerfield, Corporate Finance, Times Mirror / Mosby College Publishing, 1988 W. F. Sharpe, Corporate Pension Funding Policy, Journal of Financial conomics, June 1976 I. Tepper, Taxation and Corporate Pension Policy, Journal of Finance, March 1981 I. Tepper, The Future of Private Pension Funding, Financial nalysts Journal, January / February 1982 J. L. Treynor, The Principles of Corporate Pension Finance, Journal of Finance, May 1977 15