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A Generalized User-Revenue Model of Financial Firms under Dynamic Uncertainty:Equity Capital, Risk Adjustment, and the Conjectural User-Revenue Model
(229)
, pp.1
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44 , 2009-06-05 , FACULTY OF ECONOMICS UNIVERSITY OF TOYAMA
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Other information
| subject |
Equity capital
Risk adjustment Conjectural user-revenue model Generalized user-revenue price Extended generalized-Lerner index |
| 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.
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| publisher |
FACULTY OF ECONOMICS UNIVERSITY OF TOYAMA
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| NIItype |
Technical Report
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| format |
application/pdf
application/pdf |
| language |
en
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| identifier | |
| relation |
Working Paper / No.229
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| textversion |
publisher
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