Technical Report A Generalized User-Revenue Model of Financial Firms under Dynamic Uncertainty:Equity Capital, Risk Adjustment, and the Conjectural User-Revenue Model

Homma, Tetsushi

Working Paper,Faculty of Economics University of Toyama
(229)  , pp.1 - 44 , 2009-06-05 , FACULTY OF ECONOMICS UNIVERSITY OF TOYAMA
Description
A generalized user-revenue model is proposed in which the volatility risk ofquasi short-run profits and equity capital effects reflecting the risk of bearingthe costs of financial distress are taken into consideration. This is achievedby extending the conjectural user-revenue model proposed by Homma andSouma (2005). Specifically, uncertainties are added to endogenous holding-revenue and holding-cost rates, and the utility function of financial firms isformulated in terms of both quasi short-run profits and equity capital. Theconjectural user-revenue price is extended as a generalized user-revenue price,and the extended generalized-Lerner index is proposed to incorporate theseextensions.
Full-Text

http://utomir.lib.u-toyama.ac.jp/dspace/bitstream/10110/2764/7/229re5_Homma.pdf

http://utomir.lib.u-toyama.ac.jp/dspace/bitstream/10110/2764/2/229slVer2_Homma.pdf

Number of accesses :  

University of Toyama Repository
GO
Other information