Abstract
A generalized user-revenue model is proposed in which the volatility risk of quasi short-run profits and equity capital effects reflecting the risk of bearing the costs of financial distress are taken into consideration. This is achieved by extending the conjectural user-revenue model proposed by Homma and Souma (2005). Specifically, uncertainties are added to endogenous holding-revenue and holding-cost rates, and the utility function of financial firms is formulated in terms of both quasi short-run profits and equity capital. The conjectural user-revenue price is extended as a generalized user-revenue price, and the extended generalized-Lerner index is proposed to incorporate these extensions.
Original language | English |
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Pages (from-to) | 1-44 |
Number of pages | 44 |
Journal | Working Paper, Faculty of economics, university of toyama |
Volume | 229 |
DOIs | |
State | Published - 2009/06 |
Keywords
- Equity capital
- Risk adjustment
- Conjectural user-revenue model
- Generalized user-revenue price
- Extended generalized-Lerner index
ASJC Scopus subject areas
- Economics, Econometrics and Finance (all)