藉由部分調整模型及非線性實證探討公司資本結構之決定

The determinants of capital structure from partial adjustment and nonlinear empirical evidence

劉文謙(Wen-Chien Liu)

指導教授 ： 聶建中

共同指導教授 ： 張倉耀(Tsang-Yao Chang)

淡江大學/商學院/財務金融學系碩士班/碩士(2006年)

https://doi.org/10.6846/TKU.2006.00652

摘要

本研究主要藉由部分調整模型(partial adjustment model)及縱橫門檻迴歸模型(panel threshold regression model, Hansen, 1999)去探討公司資本結構之決定，檢視主要是支持抵換理論(Trade-off theory)亦或是融資順位理論(Pecking order theory)。此外，吾人認為文獻Flannery and Rangan (2006, JFE)其發現相對於過去文獻中，調整速度相對為快速許多，他們歸因於考慮了公司特性及固定效果；然而，本研究認為資本結構調整速度相對快很多之因，應出自於短期結構偏差(Short time dimension bias)。雖然他們選擇以工具變數法(Instrumental variable, IV)來解決動態縱橫資料(Dynamic panel data)之問題，但實證上要選取考慮完善之工具變數並不容易。因此，吾人在考慮樣本選取偏差(Sample selection bias)及短期結構偏差(Short time dimension bias)之間的抵換關係下，藉由建構及比較平衡式(Balanced)及非平衡式(Unbalanced)的縱橫資料。可發現於公司資本結構之決定，抵換理論之行為確實存在，且公司大致上約需四年可調整至其目標資本結構，此調整速度相對文獻Flannery and Rangan (2006)之發現較為慢。另外，吾人又發現公司資本結構之調整行為，其調整速度分別在高負債及低負債區間為較快的，而在中間負債區間則相對較為慢。另外，在運用縱橫門檻迴歸模型分析結果部份，得到之結果亦為支持抵換理論。綜合言之，抵換理論之行為於資本結構之決定確實存在，但吾人卻不可斷言只存在此行為。

關鍵字

資本結構 ； 調整速度 ； 目標槓桿 ； 抵換理論 ； 短期結構偏差 ； 動態縱橫資料 ； 縱橫門檻迴歸模型

並列摘要

In this study, we investigate at whether the pecking order or trade-off theory is functional by means of applying the partial adjustment model and panel threshold regression model (Hansen, 1999). In addition, we argue that the adjustment speed is faster than other literatures in Flannery and Rangan (2006, JFE) partially because of the problem of time dimension bias in short panels, not all resulting from the complete considerations of firm characters and fixed effects. Although they use the instrumental variables to reduce these problems, choosing a good instrumental variable is not quite easy. Therefore, we construct two sets of unbalanced and balanced panel datasets as the consideration of trade-off relation between sample selection and time dimension bias. We find that trade-off theory is functional and firms close about one-fourth of the gap between its target and actual leverage in one year which is slower than Flannery and Rangan (2006). As estimating our sample in different regimes of leverage, we can find that the patterns of adjustment towards its target leverage are faster and stronger in the lowest and highest regimes of leverage, slower and weaker in the middle percentile of leverage. Furthermore, the results of panel threshold regression model are also consistent with the trade-off theory. In short, the trade-off theory is valid, but we can not assert it is the whole story for the decision of corporate capital structure.

並列關鍵字

Capital structure ； Speed of adjustment ； Target leverage ； Trade-off theory ； Short time dimension bias ； Dynamic panel data ； Panel threshold regression model

參考文獻

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Ahn, Seoungpil, David J. Denis, and Diane K. Denis, 2006, “Leverage and investment in diversified firms,” Journal of Financial Economics, 79, 317-337.

Alti, Aydogan, 2004, “How persistent is the impact of market timing on capital structure?” University of Texas Working Paper.

Arellano, M. and S. R. Bond, 1991,“Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations,”Review of Economic Studies, 17, 36-49.