诺贝尔经济学奖的耻辱

2001419861990199419972000200212MMModiglianiMillerMMMMMM3MM4MM5671995Md/P=f(Y,rb,rc,P/P,W,u)Md/PYrb,rcP/PW,[e-mail]=93.425%7%1100001+7%=1070010700/1+5%=101901901112M&MM&MMMiXi(1),Xi13(2),,Xi(T)Xi(1)Xi(2)TXi(T)M&Mi[Xi(1),Xi(2),,Xi(T)]i∑=∞→=T1tiTitXT1X)(limXiii(Xi)∫=iXiiiiidXXXXE)()(φENiixi=Xi/Nii(xi)dxi=i(Nxi)d(Nx)E(xi)=E(Xi)/Ni14M&Midentical&M&MhomogeneousanalogyM&MM&MM&M15k1/kkjpjE(xj)1.1.1pj=E(xj)/k1.1.2E(xj)/pj=kkkjk11.1.2kk21.1.11/kk131.1.1kkM&M16M&M12rM&MjE(Xj)DjSjVjSj+Dj1.1.3VjSj+Dj=E(Xj)/kkjkE(Xj)/Vj1.1.31.1.4E(Xj)/Sj+DjE(Xj)/Vj=kkj17M&M1.1.31.1.4E(X)12V2V1s222Y222X2rD2homogeneity2X21X1XX2X1181.1.5Y2=(X-rD2)=X-rD2S22s1=(S2+D2)12S21D21s1/S1=(S2+D2)/S1D2Y11.1.6Y1=X(S2+D2)/S1-rD2=(V2/V1)X-rD21.1.51.1.6V2V1Y1Y2221S2V2S1V1M&MV2V1s111S1Y1=s1/S1X=Xs12s2ds2d1.1.7s2=S2/V2s1d=D2/V2s1S2/V2D2/V21922X-rD2s2/S2rd1.1.7Y2Y2=(s2/S2)(X-rD2)+rd=(s1/V2)(X-rD2)+r(D2/V2)s1=(s1/V2)X=(S1/V2)Xs1=S1Y2Y1V2S1V1Y2Y1112Sj/VjDj/VjM&MV2V1V1V2V1=V2kjij1.1.8ij=k+(k-r)Dj/Sjkkr1.1.8ij20M&Mij1.1.9ij(E(Xj)-rDj)/Sj1.1.3E(Xj)=kSj+Dj1.1.91.1.8&1231&&&1963XkXE(X)ZE(X)XZ=X/E(X)kfk(Z)XT211.1.10XT=(1-T)(X-R)+R=(1-T)X+TR=(1-T)E(X)Z+TRTR1-TE(XT)=(1-T)E(X)+TRZE(Z)=E(X)/E(X)=1E(XT)-TR1.1.7(1-T)E(X)1.1.11XT=E(XT)-TRZ+TR=E(XT)1-TR/E(XT)Z+TRXTE(XT)ZR/E(XT)Var(Z)=2VarVar(XT)=(E(XT))2(1-TR/E(XT))22E(XT)T1.1.10(1-T)E(X)ZTRTkE(X)T=(1-T)E(X)/VUVU=(1-T)E(X)/TWb1W/(1+b)2W/(1+b)2nW/(1+b)nnn22VnV=W/b=VUW=(1-T)E(X)b=TVUVLrr=R/DD=R/rDLE(X)1.1.12VL=(1-T)E(X)/T+TR/r=VU+TDL1.1.12M&MM&M1.1.12VL-TDLVUmm/VUYU=(1-T)Xm/VUmmSL/(SL+(1-T)DL)m(1-T)DL/(SL+(1-T)DL)m/(SL+(1-T)DL)(1-T)(X-R)m/(SL+(1-T)DL)(1-T)Rm/(SL+(1-T)DL)23YL=(1-T)Xm/(SL+(1-T)DL)SL+(1-T)DLSL+DL-TDLVL-TDLVUYLYUVUVL-TDLVL-TDLVUmYL=(1-T)(X-R)(m/SL)=(1-T)Xm/SL-(1-T)Rm/SL(1-T)DLm/SL(1-T)Rm/SLmm+(1-T)DLm/SL=m(SL+(1-T)DL)/SL=(VL-TDL)m/SL((VL-TDL)m/SL)/VU(1-T)((VL-TDL)m/SL)/VUYU=(1-T)((VL-TDL)m/SL)/VU-(1-T)Rm/SL=(1-T)m((VL-TDL)/VU)/SL-(1-T)Rm/SLVL-TDLVUYUYLVL-TDLVUVL-TDLVU1.1.121.1.12E(XT)-TR(1-T)E(X)1.1.13VL=(E(XT)-TR)/T+TDL=E(XT)/T+TDL(T-r)/T241.1.14E(XT)/VL=T-TDL(T-r)/VL1.1.141.1.4M&MT0M&MM&M1.1.8M&M1.1.13DLE(XT)nTR=rDL1.1.15SL=VL-DL=nT/T-(1-T)DL(T-r)/T1.1.15i1.1.16i=nT/SL=T+(1-T)DL(T-r)/SLDL/SLM&M1963M&M19581.1.14E(XT)/VL=TM&M252M&Mr=r(D/S)M&MriD/S26M&MM&Mr=r(D/S)M&M3M&MM&M27M&Mk1/krkj1/ijM&MM&M1.1.82829MMMMMMMMMMMMMMM&MRose1959BaldwinVelkMMBaldwinVelkHeinsSprenkle1969BaldwinVelkMMHeinsSprenkleMME(X)X1S12S2D23011.2.1V1=S121.2.2V2=S2+D21.1.5S22Y2=(X-rD2)=X-rD21.1.6S22(S2+D2)11D2Y1=X(S2+D2)/S1-rD2=(V2/V1)X-rD2V2V1Y1Y2M&MHeinsSprenkleBaldwinVelkY1Y2(Y1)(Y2)V2V1(S2+D2)1S22X1V2/V1M&MY1V1V2BaldwinVelkMMHeinsSprenkle31S22rS1-S2S111.2.3Y1*=X-r(S1-S2)1.2.11.2.21.2.4S1-S2=V1-V2+D21.2.31.2.5Y1*=X–rD2-r(V1-V2)1.1.5Y1*Y2V2V1Y1*Y22Y1*=Y2V2=V1V2V1MM1S11.2.6Y1=X1S1=V12V1S2/V22V1D2/V21.2.7Y2=V1/V2(X-rD2)+V1/V2rD2=(V1/V2)XM&MV2V1Y2Y132(Y2)(Y1)Y2Y1HeinsSprenkle1S12S2S1-S21.2.8Y2*=(X-rD2)+rS1-S21.2.41.2.9Y2*=X+rV1-V2V2V1Y2*Y1(Y2*)=(Y1)HeinsSprenkleBaldwinVelkHeinsSprenkleM&MV2V1M&MD2HeinsSprenkle(V1-V2+D2)D2V1V2M&M2V1S2/V2HeinsSprenkle2S2V1S2/V2HeinsSprenkleMMM&M1969HeinsSprenkleMMV2V1X1.1.6Y1331.1.5Y2V2V1X1.2.7Y21.2.6Y1XHeinsSprenkleM&MXXHeinsSprenkleHeinsSprenkleM&MHeinsSprenkleM&MMMHeinsSprenkleMMXM&MVUSUVLSL+DLX34SUVUXVLXSLVL-DLX-rDLDLrDLVLXVUVLVU-VLSLVL-DLX-rDLVU-DLSUVUX-DLDL-rDLrDLVU-DLX-rDLVLVUVL-VUVL=VUSLX-rDL1-T=X1-T-rDL1-TXTSUVUX1-T-DL1-TDL1-TrDL1-T-rDL1-T35VU-1-TDLX-rDL1-TSLVU-1-TDLSL+DLVLVU+TDLVL-VU+TDLVLVU+TDLDurandDurand1959M&MMMDurandDurandM&MM&M36M&MDurandM&M1959DurandM&MDurandM&M15%5%20%1.1.817%15%13.3%15%Durand20%20%20%M&MM&M37M&M38M&MM&MM&M39M&MM&MBaldwinVelkMMM&MM&MM&M12MM12X1X212HeinsSprenkle1.1.5401.3.1Y2=(X2-rD2)=X2-rD21.2.51.3.2Y1*=X1–rD2-r(V1-V2)V2V11.3.3Y=Y1*-Y2=(X1–X2)+r(V2-V1)HeinsSprenkler(V2-V1)1.3.3(X1–X2)HeinsSprenkleX1=X2(X1–X2)X1X21.3.3YE(Y)=(E(X1)-E(X2))+r(V2-V1)Var(Y)=2(Var(X1)-2Cov(X1X2)+Var(X2))EVarCov1.3.4EX1=EX2Var(X1)=Var(X2)=Var(X)1.3.5E(Y)=r(V2-V1)01.3.6Var(Y)=22(1-12)Var(X)12X1X21411X1=A+BX2B0-1121121Var(Y)0V1V2V1V2121MM1.3.51.3.612=1MMM&MDurand112M&M42M&MMMM&M1969MMM&MDurandM&MM&MDurandMMr=r(D/S)43M&MM&MM&M4445MillerM&MMMM&MMiller1977MMMM1998MillerMillerMiller46I.B.M.MillerJeroldWarnerMillerWarner1930195577115.3%1.7%50%MillerWarnerWarner71%WarnerMiller47Miller6019MillerMillerMillerMillerMillerMiller10%11%52%48MillerMillerM&MMillerMillerMillerMiller4930MillerMillerGL2.1.1GL=[1-1-TC1-TPS/1-TPB]BLTCTPSTPBBL2.1.1MM2.1.1TCTPSTPB501-TC1-TPS=1-TPBMillerMillerMMMiller2.1.1rd(B)r051r0rd(B)=r0/(1-TX)r0/(1-TC)rS(B)=r0/(1-TC)r0B*2.1.1TXr0/1-TXr0rd(B)r0/1-TCTCB*52r0/1-TCB*r0/1-TCMillerB*I.B.M.Miller