A Model of Capital Structure when Earnings are Mean-Reverting
构建了一个多期最优资本结构模型，假设收益服从自回归过程。研究发现收益的均值回归参数与波动性正相关、与杠杆负相关，并指出若企业间收益过程不同质，标准风险度量无法充分反映企业价值波动的横截面差异。
A multiperiod model of optimal capital structure is developed under the assumption that earnings follow an autoregressive process. Firm value and leverage vary through time and, at each date, the firm achieves an optimal debt level that is a function of the full state contingent debt policy. The reversion parameter of the earnings series is shown to be positively related to various measures of variability and negatively related to leverage. If earnings processes are not homogeneous across firms, then standard earnings risk measures in capital structure studies do not adequately represent crosssectional differences in variability in firm value.