Hello, Login
X

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscribe to the Journal
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submit a Paper
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
    • Advertising
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
    • Sponsorship
  • Library Access
  • Contact
  • Help

0 comments / 09/07/2014 / the JOIM / Archives, Articles

In Search of a Modigliani-Miller Economy

Kay Giesecke and Lisa R. Goldberg

Volume 2, Number 3, Third Quarter 2004

The Modigliani-Miller theorem describes conditions under which the value of a firm is independent of its leverage ratio. It is one of the cornerstones of finance. A history of this result along with a modern perspective on its derivation is given in Rubinstein (2003), Journal of Investment Management 1(2). We extend this history by examining the relationship between theModigliani-Miller theorem and quantitative models of credit risk. In the first part of the paper, we sort out the role of the Modigliani-Miller theorem and Merton’s classical structural model. This material may be familiar to some readers. Subsequently, we explore the relationship between theModigliani-Miller theorem and I 2, which is a hybrid structural-reduced form model based on incomplete information, Goldberg (2004), Risk 17(1), 515-518. The I 2 model is not consistent with the Modigliani-Miller theorem. It provides a new way to measure the deviation of real markets from the idealized markets in which the Modigliani-Miller theorem holds.

0 comments… add one
Cancel reply

Leave a Comment

Next Article: CASE STUDIES: Poosha-Carta Food Stores

Previous Article: Predictability of Long-Term Spinoff Returns

JOIM

    Library Access

    Subscribe to the Journal
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences

    Edit Profile

Recent Comments

    JOIM

      About the JOIM
    • Library Access
    • Subscribe to the Journal
    • Submit a Paper
    • Editorial Board
    • Harry M. Markowitz Award
    • Reprints & Permissions
    • Advertising
    • Terms and Conditions

    JOIM Conference Series

    • About
    • Upcoming Conferences
    • Membership
    • Board Members
    • Sponsorship Opportunities
    • Terms & Conditions
    Speaker Reimbursement Policy

    Contact

    Journal Of Investment Management (JOIM)
    3658 Mt. Diablo Blvd., Suite 200
    Lafayette, CA 94549
    www.joim.com

    customerservice @ joim.com
    (925) 299-7800

    Copyright 2019 — Journal Of Investment Management design by SEO Web Designers