资本结构的决定因素和速度的调整

在最近的文献中,一些研究已经进行了是否影杠杆作用意味着恢复或者没有恢复的测试。经验主义的主要焦点是在速度的调整以及决定目标速度调整的因素。然而文献普遍认同杠杆展览意味着均值回归,这在文献中没有达成关于速度调整的共识。

 

进行传统杠杆均值测试的有Taggart(1977)、Marsh(1982)和Auerbach (1985)。这些早期研究需要一个长期的平均数作为目标并假设在样本期内影响杠杆的因素维持不变。Marsh(1982)在他的样本周期中建立了周期平均比率目标并通过分对数模型,发现发行债券或股票在目标中负债资产比率偏差的概率。

 

更多最近的研究有 Flannery and Rangan (2006) , Hovakiam et al. (2001), Kayhan and Titman (2007),Fama and French (2002)。他们发展了调整模型,就是利用杠杆效率随着目标进行及时的调整。这个模型在展示公司时变和非时变特征时都起到了关键的作用。

 

资本结构的决定因素和速度的调整-Determinants Of Capital Structure And Speed Of Adjustment

 

In the recent literature, several studies have been conducted to test if the leverage is mean –reverting or not. The main focus of the empirical studies is on the speed of adjustment and the factors that determine the speed of adjustment to the target. While the literature commonly agrees that leverage exhibits mean reversion, there is no consensus in the literature about the speed of adjustment.

 

The traditional tests of mean reversion are the ones of Taggart (1977), Marsh (1982) and Auerbach (1985). This early studies take a long term average as a target and assumes that the factors that influence the leverage remain unchanged over the sample period. Marsh (1982) establish the target to be the average ratio for the period taken in his sample period and by means of a logit model and find that the probabilities of issuing debt or equity vary with the deviation of the debt-equity ratio from the target.

 

The more recent studies are the ones of Flannery and Rangan (2006) , Hovakiam et al. (2001), Kayhan and Titman (2007),Fama and French (2002).They developed adjustment models, in which leverage adjust in time towards the target. The model is a function of both time-variant and time-invariant firm characteristics.

 

Two approaches have been used in the recent literature to estimate the partial adjustment:

 

Some studies estimate the speed of adjustment in a single step which is the reduced form of the two step procedure: Flannery and Rangan (2006).

 

Other studies estimate the model in two steps: Fama and French (2002), Hovakiam et al. (2001),Korajczyk and Levy (2003). Firstly, the target is computed externally based on the historical data or estimated based on the proxies documented in the literature to influence the leverage and then use it as an independent variable in the second step which is the partial adjustment regression.

 

Fama, Eugene F., and Kenneth R. French (2002), Hovakimian et al. (2001) tested if the leverage is mean-reverting as the trade-off theory predicts and if financing decisions respond to short-term variation in earnings and investment as the pecking order predictions states. Their results show that the leverage is mean reverting but that the speed of adjustment is very low (from 7 to 17 percent per year). The rate of reversion was characterized by Fama and French (2002) as a “snail’s pace”. On the other hand, there are studies that documented a fast speed of adjustment. The results of Flannery and Rangan (2006) were that companies do have a target ratio and that typical firm converges toward its long-run target at a rate of more than 30% per year after controlling for the fixed effects. They state “that targeting behavior explains far more of the observed changes in capital structure than market timing or pecking order consideration” [1] .Alti (2006) also finds a much faster adjustment of leverage.

 

In order to test if the European firms maintain a target leverage as the trade-off theory predicts I will adopt a model with partial adjustment toward target leverage depending on the firm’s variables that have been documented in the literature to determine the capital structure. This procedure has been used in previous studies like the ones of Hovakiam et al (2001), Fama and French (2002) and Flannery and Rangan(2006).

 

A fast speed of adjustment is consistent with the trade-off theory: that the firms adjust their leverage ratio to the target leverage while a low or non-existent speed of adjustment is a support for the opposite theories that suggest that the leverage is not mean-reverting. Hence, the speed of adjustment is believed to differentiate among the competing capital structure theories.

 

The model considered implies an unbalanced panel data set that allows the target leverage to vary both across time and across firms. In the next specification of the model, t represents the specific number of reported years and i is the firm's index. First, the target leverage is expressed as a function of the variables that are expected to influence the leverage:

 

Where is the target leverage at t+1

 

are the explanatory variables that influence the target leverage

 

After establishing the target leverage, a standard partial adjustment model can be presented:

 

Where is the speed of adjustment to the target leverage

 

is the difference between the actual leverage at t+1 and the actual leverage at t

 

is the difference between the target leverage at t+1 and the actual leverage at t

 

By substituting equation (1) in equation (2), following the study of Flannery and Rangan (2006), the model for estimating the speed of adjustment will result:

 

In equation (3) the speed of adjustment is given by the difference between one minus the coefficient of the lagged variable that will be estimated through the econometrical method. It suggests that in the case that firms adjust towards the target leverage, they will close the gap between the level of the target leverage that they have (which is denoted by and the level at which they want to be:). So, if the firms have a targeting behavior the value of will be closed to 1 that would result in a complete adjustment toward the optimal level, implying that there that the adjustment is not costly. If >0, there will be a partial adjustment toward the optimal level, the firms do not fully adjust their leverage ratio from the previous period to the current one. If there is no adjustment, and consistent with the pecking order theory, firms follow there financing order preferences regardless of shocks.

 

Hypothesis: the speed of adjustment >0, as the dynamic trade-off model predicts

 

In order to test the effects of the macroeconomic, institutional and market variables on the speed of adjustment I will adopt the model of Drobetz and Wanzeried (2004), and endogenize the speed of adjustment by writing it as a function of the institutional, market and macroeconomic variables assumed to have an impact on the speed of adjustment, denoted by the scalar:

 

Substituting equation (4) in equation (3) will result in the following model:

 

Working with a dynamic model such as (3) and (5) requires attention on the estimation procedure used as the lagged variable (is correlated with the error term and that is why the endogeneity problem arises. Applying an Ordinary Least Square model or fixed effects can give biased estimators: Huang and Ritter (2007) find that when applying the Ordinary Least Square method the estimators are upward biased that lead to a slower speed of adjustment and when using the fixed effects leads to a downward bias of the coefficient giving a much faster speed of adjustment.

 

One dynamic estimator that can eliminate this shortcoming is Generalized Method of Moments (GMM) that was suggested by Arellano and Bond (1991). The GMM estimator tries to remove the correlation between the transform error term and the lagged variable by using an instrument that is correlated with transformed lagged but not the error. Unlike the two mentioned approaches, the GMM estimator gives a consistent estimation by utilizing instruments that can be obtain from orthogonality conditions that exist between the lagged values and the disturbances: it reflects the parameter estimates so that the correlations between the instrument and the disturbances are as close to zero as possible as defined by a criterion function. [2] 

 

资本结构的决定因素和速度的调整- Determinants of capital structure and speed of adjustment

 

A lot of studies have been conducted on the determinants of the capital structure. There have been documented that the capital structure varies across time and across firms because of the macroeconomic factors and firm's factors. Harris and Raviv (1991) determined that the leverage is positively influenced by fixed assets, non -debt tax shields, investment opportunities, and firm size and negatively by volatility, advertising expenditure, and the probability of bankruptcy, profitability and uniqueness of the product. Also, the studies of Rajan and Zingales(1995) and Bradley, Jarrell, and Kirn (1984) were conducted on the impact of the tangibility of assets (the ratio of fixed to total assets), the market-to-book ratio (usually thought of as a proxy of or investment opportunities), firm size, and profitability.#p#分页标题#e#

 

Frank and Goyal (2007) conducted a study in order to document which factors are have a greater impact on the leverage across firms. They acknowledge that the most reliable factors of the capital structure (explaining more than 27% of the variation in leverage) are the industry leverage (+ effect on leverage), market-to-book ratio (-), tangibility (+), profits (-), log of assets (+), and expected inflation (+) [3] .The remaining 19 factors explained only 2% of the variation in the leverage. The six factors are more significant when it comes to the market definition of the leverage than the book definition of the leverage. They argue in favor of the tradeoff theory.

 

Some studies analyzed in detail the impact of the macroeconomic conditions on the capital structure of the firms. If the leverage is influenced by the tradeoff between the benefits of debt from the tax shield and the costs associated with the probability of default, it is influenced indeed by the macroeconomic conditions. The future levels of the cash flows of the companies on which the tax benefits depends is determined by the state of economy (whether is recession or a boom period). Additionally, the probability of default depends also on the current state of economy. As a result the variation in macroeconomic conditions should influence the capital structure of the firm. Using the two dynamic partial-adjustment capital structure models, Cook and Tang (2009) find evidence that the adjustment speed is influenced by the macroeconomic conditions. In their model, states are defined by term spread, default spread, GDP growth rate and market dividend yield. Their results find support for the pecking order theory: firms that are under-levered adjust faster than firms that are over-levered. Also, they found evidence for the market timing theory that firms that are under-levered have less incentive to adjust toward target leverage when the stock market performance is good. [4] 

 

Hovakimian et al. (2001),Korajczyka and Levy (2002) analyzed the impact of the macroeconomic and firms factors on two types of companies: financial constraint and unconstraint firms. Their results were that unconstrained firms „time their issue choice to coincide with periods of favorable macroeconomic conditions, while constrained firms do not" [5] . Their findings are more consistent with the pecking order theory than the trade-off theory: target leverage is counter-cyclical so that there is a negative relation between macroeconomic variables and leverage. Their results were that the state of economy has an important impact on the financing decisions and that firms adjust more rapidly their target leverage during good periods than bad periods.

 

公司特点- Firm’s characteristics

 

The factors assumed to determine the target leverage are the ones that have been used intensively in the previous studies: the earnings before interests rate as a measure for profitability, the log of assets as a measure of the firms size, the market to book ratio as a measure for growth, net property, plant and equipment for tangibility, R&D expenditures as a measure for innovation and a dummy variable for industry. Taking into consideration the debate of the two theories, the hypothesis will be based on the trade-off theory predictions. An inverse sign as expected will be a support for the pecking order theory.

 

盈利能力-Profitability

 

The predictions of the trade-off and the pecking order theory are different when it comes to the relation between the level of leverage and the profitability of the firm. The static trade-off theory predicts that more profitable firms are more levered as there is the tax advantage of debt and also because the expected costs of financial distress are lower for profitable firms. The relation between profitability and leverage is also sustained by the signalling hypothesis of Ross (1977) where higher debt is a signal for the outsiders for good future prospects for the firm. The pecking order theory, consistent with the hierarchy financing, suggests that the relation is negative between leverage and profitability due to the costs associated with the external financing such as transaction costs and adverse selection costs. The proxy for profitability will be the ratio of EBIT on total assets.

 

Hypothesis: more profitable firms have more leverage.

 

公司规模-Firm size

 

The trade-off theory predicts a positive relation between the log of assets and leverage because of the better reputation and diversification of the larger firms. Larger firms are better known on the market so that they have a lower probability of default. By being known on the market the level of information asymmetry is reduced so that the costs for the external finance are smaller. Also, they are more diversified and have as a result a lower probability of default. As a result the costs of financial distress are lower so that firms are more willing to increase the leverage. The pecking order prediction on the relation between the firm size and the leverage is rather ambiguous: as larger firms are better known on the market they are more willing to raise equity as the adverse selection problems are lower than in the case of the smaller firms. As a result one might expect a negative relation between the two variables. On the other hand, larger firms have also more assets so that the adverse selection might be more important compared to the smaller firms.

 

Hypothesis: large firms have more leverage than the smaller firms.

 

增长-Growth

 

The trade-off theory predicts a negative relation between growth and leverage while the pecking order theory predicts a positive relation between the two. Growing firms are in the position of losing more value under the probability of financial distress, thus the costs of financial distress are higher for growing firms. Even more, growing firms exacerbates debt-related agency problems because of the assets substitution problems. It is easier for the manager to substitute a low project risk with a high project risk as they have flexibility when it comes to choosing the future investments. Thus the trade-off theory predicts that growing firms have less leverage. Titman and Wessels (1988) found a negative relation between leverage and growth opportunities as “growth opportunities are capital assets that add value to a firm but cannot be collateralized and do not generate current taxable income”. [6] The pecking order theory predicts that firms with more investment should accumulate more debt over time. The measure for growth opportunities will be the ratio between the market value of assets (total assets plus market value of equity less book value of equity) on the volume of total assets.

 

Hypothesis: firms with more growing opportunities will have a smaller level of leverage.

 

可触知-Tangibility

 

The tangibility of assets is measured by the ratio between the property, plant and equipment on the total value of assets. The tangible assets can be collateralized and as results it reduces the risk of assets substitution of high risk assets with low risk assets. Since the creditors have the guarantee that the managers of the firms will not invest sub optimally they may require more favourable terms of financing from the stockholders point of view. Thus, the trade-off theory predicts that the relation between the leverage and tangibility is positive. The pecking order theory predicts a negative relation: the lower asymmetry of information of the tangible assets reduces the adverse selection costs so that firms are more willingness to issue equity for financing.

 

Hypothesis: firms with more tangible assets will have a higher leverage.

 

研发支出-R&D expenditures

 

In comparison with the tangible assets, the intangible assets such as R&D expenditures cannot be collateralized as they are immediately expensed. Thus, the trade-off theory predicts a negative relation between leverage and R&D expenses. The pecking order theory predicts that intangible assets are more prone to adverse selection so that they increase the leverage.

 

Hypothesis: firms with more R&D expenses will have a lower level of debt.

 

折旧-Depreciation

 

Depreciation leads to less leverage as firms as the tax deductions of depreciation are a substitute for the tax benefits of debt. So, firms are less interested in the interest deductions of the debt when they have depreciation expenses and include less debt in their capital structure.

 

Hypothesis: firms with more depreciation expenses will have a lower level of debt.

 

调整速度的求解- The determinates of the adjustment speed

 

宏观经济变量准备- Macroeconomic variables

 

As the capital structure of the firm varies across firms and time, the macroeconomic conditions are important in describing the debt-equity choice of the firms. Korajcyk and Levy (2002) documented that during economic downturns; firms are reluctant to issue new shares (as the return on the equity market is low) and prefer debt financing. The studies of Cook at Tang (2000) and Hackbarth et al (2006) on the US market and the study of Drobetz et al (2006) on the Swiss market considered the impact of the macroeconomic variables on the speed of adjustment. As expected, firms seem to adjust their leverage faster in good times than in bad economic states. The macroeconomic conditions will be described by the following set of macroeconomic indicators: inflation, GDP growth, default spread and term spread.#p#分页标题#e#

 

传播-The term spread

 

The term spread is measured as the difference between the government bonds with a maturity of more than five years and the six month Treasury bills. During good macroeconomic conditions, the term spread is high, so that the expectations would be that the speed of adjustment is faster during these times.

 

Hypothesis: in periods with high term spread, the speed of adjustment is faster

 

违约风险-The default risk

 

The default risk is determined as the difference between the yield on US rated BAA and the yields on US rated Aaa rated by Moody’s, following the studies of Korajcyk and Levy(2003),Cook and Tang(2000) and Drobetz et al (2006). I assumed that the default rate is a proxy for the global wealth of the economy. During the economic business cycle, this indicator has a high value during periods of economic recessions and lower values during economic booms. I expected a negative relationship between the speed of adjustment and the default risk.

 

Hypothesis: in periods characterized by a high value of default rate, the speed of adjustment is lower.

 

国内生产总值(GDP)增长-The Gross Domestic Product growth

 

The Gross Domestic Product (GDP) is one of the indicators of the macroeconomic conditions: it has a high value during expansions and a low value during recessions. The Gross Domestic Product is also a proxy for the future investments opportunities that the firms can undertake in the next period that will lead to more financial needs that can sustain these new projects. As a result, during periods with economic growth firms need more financing sources than during the recession’s times. Thus, I expect a positive relation between the speed of adjustment and the GDP growth rate.

 

Hypothesis: in periods with higher GDP growth rate the speed of adjustment will be faster.

 

通货膨胀率-The inflation rate

 

The inflation rate is the change in the consumer price index from the previous year. Taggart (1985) showed that when the inflation is high the real value of the tax deductions from debt is higher. Furthermore I expect a positive relation between the inflation and the speed of adjustment.

 

Hypothesis: in periods with high inflation, the speed of adjustment is lower.

 

制度变量-Institutional variables

 

Compared to the previous studies, most of them conducted on the US market, a study conducted at the European level have to take into consideration the differences of the institutional frameworks. By including the institutional variables in the model it will be established to what extent the institutional differences can explain the targeting behaviour of the firms. The institutional variables are: the degree of investor protection, the degree of creditor protection, the legal origin of the country and the quality enforcement of the law and order. All of these factors are taken from the studies of La Porta et al.(1986). The rules that protect the investors and creditor and the enforcement of these rules are key to effective corporate governance mechanism that lead to the ability of firms to raise external capital.

 

The European countries differ in the institutional environment by means of the legislation that protects investors and the enforcement of the rules. The institutional characteristics can have a significant impact on the capital structure and on the capacity of the firms to rebalance their capital structure back to the optimal leverage. In their article “The legal determinants of external financing”, La Porta et al. (1997) established that the legal environment does influence the capacity of firms to raise the external capital (such as debt or equity). Ultimately, the enforcement of the law influences the capacity of firms to finance themselves through financial contracts. Those contracts consist in the commitment of the firm to fulfil the obligations to its capital suppliers, more specifically paying an appropriate rate of return.

 

As previous studies did, the starting point in analyzing the institutional environment is the classification of the legal systems in the civil law and common law countries. The differences between the two major families of law are defined based on the following criteria:” (1) historical background and development of financial system,2)theories and hierarchies of sources of law, 3) the working methodology of jurists within the legal system, 4) characteristics of legal concepts employed by the system, 5) the legal institutions of the system, 6) the division of law employed by the system” [7] (Glendon et al. 1992,pp 4-5).

 

The civil law is the oldest and is widely spread around the world and has the origin in the Roman law. Merryman (1996) states that the civil law countries “ uses statutes and comprehensive codes as a primary means of ordering legal material and relies heavily on legal scholars to ascertain and formulates rules”. [8] Most of the countries have adopted their legal system through colonization. Within the civil law, there are three categories identified: the German, French and Scandinavian laws. The French, German and Scandinavian laws are considered to be enforced in the countries that are more bank-oriented.

 

The common law is identified with the English law; more specifically most of the countries that have a common law framework modelled their laws based on the English law. The common law is characterized by the intervention of the judges in setting the laws. English law is common law and is characterized by a market oriented system and a high degree of investors protection.

 

When it comes to the protection of investors and to the quality of law enforcement it seems that the English law countries has the strongest protection and law enforcement, the German and Scandinavian has a lower level while the French law countries has the weakest. The differences between the two might explain the differences in the financing patterns of the firms.

 

From the corporate governance perspective, the quality of the law may mitigate or exacerbates the principal agent problem that arises because of external financing. The problems arise firstly when there is weak rights enforcement and secondly when there are poor mechanisms for ex-post conflicts of interests like in the case of liquidation. The principal problem that appears is the expropriation of their investment: when insiders steal the profit or start selling assets below the market value. The risk of expropriation is related to the agency problem that appears because of the asymmetry of information that exists between the insiders and non-insiders. Aligning the interests of the investors with the ones of the managers/entrepreneur by the means of law enforcement makes it easier for firms to attract external financing. It is easier for the managers to attract less costly sources of financing when the risk of the investor to be defrauded is lower or when the costs of monitoring the managers are also lower.

 

As Black Bernards (2001) states, information asymmetry is indeed a barrier to security offerings and as a result, the security markets are a vivid example of a market for lemons. [9] By insuring that all the investors (the majority and minority shareholders) receive information about the firms’ value and have confidence on the way the managers lead the company,the rule’s enforcement will eliminate the underpricing problem that might occur and companies will be able to finance more easily.

 

Door Stijn Claessens, Erik Berglöf (2004) noted "the combination of poor enforcement and week resolution mechanism gives rise to corporate governance problems in terms of capital markets development, less external financing, lower firms valuation and higher costs of capital.” [10] 

 

法律的起源-The legal origin

 

The legal origin of the country is an index based on the classification of la Porta et al. (1998) that takes the value 1 if the origin of the country is English Common Law, 2 if the origin is French Commercial Law and 3 if the origin is German Commercial Code.

 

Hypothesis: firms located in common law countries, will have a faster speed of adjustment.

 

The degree of investors’ protection and the degree of the creditors’ protection are expected to have a positive influence on the leverage and on the speed of adjustment. Those rights give the power to investor to precede the returns of the investment: it gives to creditors the ability to repossess collateral in the case of liquidation and to shareholders the ability to obtain dividends. The willingness of the investor to offer the external source if financing depends on the extent his/her rights are protected by the law. In countries with a poor investor protection the terms of raising external finance is more costly from the perspective of the entrepreneur, as the risk of losing the investment is higher from the point of view of the investor.

 

股东的权利-The shareholders rights

 

The shareholders rights index takes a value between 0 and 5, where 0 is for countries with a low shareholders protection and 5 for a country with a high degree of shareholders protection. The index was computed by La Porta et al. (1986) based on the following considerations: the shareholders are allowed by the country to email their proxy votes, an oppressed minorities mechanism exists, the minimum percentage of capital that entitles the the shareholders to call for an Extraordinary Shareholders Meeting is less than 10%, there is not required for the shareholders to deposit their shares prior to the General Shareholders Meeting and cumulative voting is allowed. [11] #p#分页标题#e#

 

Hypothesis: firms located in countries with stronger investor protection will have a faster adjustment towards the target leverage.

 

债权人权利-The creditors rights

 

The creditors’ rights are commensurate by an index that ranges from 0 to 4. The index was formed based on the following considerations: there are restrictions imposed by the countries, secured creditors are able to gain possession of their securities once the reorganization petition has been approved, the administration of the debtors property pending the resolution of the reorganization is not retained by the debtor and in case of a bankruptcy secured creditors are the first entitled in the distribution of the proceeds. [12] The creditors’ rights index should have a positive impact on the speed of adjustment. In countries with a better protection of the creditors, the debt holders will be more willingness to finance firms. For instance, in countries that enforce a rule that allow the creditors to take the collateral without the completion of reorganization make more accessible to the entrepreneurs the debt finance.

 

Hypothesis: Firms located in countries with a stronger creditor protection will have a faster adjustment towards the target leverage.

 

法律制度的效率-The efficiency of the legal system

 

The efficiency of the legal system will be measured by the law and order index of La Porta (1986).The quality of the enforcement of rules that are protecting the investor rights determines to what extent these rights are protected. The law and order tradition of a country is reflected by an index that takes the value between 0 and 10; the lower scores are for the countries with a low tradition for law and order. The level of the law enforcement depends on the efficiency of the legal system, the rule of law, the corruption, and the risk of expropriation. The index was computed by La Porta et all (1986) based on the country risk that was rated by the International Country Risk agency (ICR). I expect that a more efficient enforcement of the law has a positive influence on the speed of adjustment.

 

Hypothesis: firms situated in countries with a stronger enforcement of law and order will have a faster adjustment towards the capital structure.

 

市场特点-Market characteristics

 

Besides the institutional characteristics, the impact of market characteristics on the leverage and on the speed of adjustment will be analyzed. The market characteristics variables are define by the stock market capitalization on GDP and the domestic credits on GDP as measures for how developed the capital and credit markets are. It has been documented that the leverage ratio is lower in the market-oriented countries (such as US and United Kingdom) then in the bank-oriented countries (the countries for continental Europe).

 

金融市场的大小-The size of financial markets

 

The ratio of the stock market capitalization on GDP is a measure for the size and the activity of the capital markets in one country. The development of the capital markets does not provide only others sources of external finance for the firms but also reveal more information to the stakeholders on the market, reducing the asymmetry of information. When firms are well-known on the market the sources of financing are less costly as the risk for the provider of the capital is lower. Thus, I except that larger markets have a positive impact on both leverage and the speed of adjustment as it facilitates the process of decision making on the capital structure.

 

Hypothesis: Larger stock markets have a positive impact on leverage and the speed of adjustment