CHINA FINANCIAL RESEARCH NETWORK
2012-04-11 第4卷 第6期
Murray Z. Frank
University of MinnesotaCarlson School of Management
NewarkRutgers Business School
Murray Z. Frank University of MinnesotaCarlson School of Management
In this paper we compare counterfactual corporate bond issuing dates to actual issuing dates in order to test the ability of firms to time the credit market. The 50 most active bond issuing financial firms and the 50 most active industrial firms are studied using one week, one month, and one quarter windows. The ability to time firm-specific CDS prices is studied from January 2002 - October 2009. The ability to time the risk-free rate (10 year US government bond) is studied from January 1988 - October 2009. We find that: firms do not successfully time the risk-free rate or the credit spreads. There is no evidence of CDS timing ability over one week or one month, but there is some borderline evidence at one quarter. For a typical bond issue, the firm loses about 1% of the face value of the bond relative to a 1 month window, due to their inability to time the market. If the firms could improve their market timing, they could save many hundreds of millions of dollars. Since there is a degree of statistical predictability in the data, we find it surprising that these firms are not able to do a better job of timing the credit market.
Divya Anantharaman NewarkRutgers Business School
Agency theory posits that debt-like compensation (such as defined-benefit pensions and other deferred compensation) aligns managerial interests more closely with those of debtholders and reduces the agency cost of debt. Consistent with theory, we find that a higher CEO relative leverage, defined as the ratio of the CEO's inside leverage (debt-toequity compensation) to corporate leverage, is associated with lower cost of debt financing and fewer restrictive covenants, for a sample of private loans originated during 2006-2008. These findings persist after accounting for the endogeneity of CEO relative leverage, and are more pronounced for firms with higher default risk. Additional analysis on a sample of new public bond issues also shows a negative relation between CEO relative leverage and bond yield spread. Overall, the evidence supports the notion that debtholders recognize the incentive effects of executive debt-like compensation and adjust the terms of corporate debt contracts accordingly.
Theo Vermaelen INSEADINSEAD
We examine effects of capital structure management and misvaluation on the payment method in mergers and acquisitions. In a sample of 3,097 transactions, we find evidence both for leverage optimization and misvaluation as drivers for the decision to pay with cash or stock. Our evidence also shows that it is difficult to pay with overvalued stock unless justified by economic fundamentals. Few bidders try and often only succeed after going hostile. Paying with cash while capital structure optimization suggests stock payment is more common. These firms are reluctant to pay with undervalued stock and experience positive long-term excess returns.
中国金融研究学术网（China Financial Research Network）发表金融研究工作论文和已发表论文的摘要。 如果您如希望按期收到最新的金融研究工作论文和已发表论文的摘要，请访问http://www.cfrn.com.cn,注册即可。 您如果想要发表您的工作论文或已发表论文的摘要，请访问http://www.cfrn.com.cn,注册，登录，然后上传。 中国金融研究学术网不拥有所发表的工作论文和已发表论文摘要的版权。读者可以免费浏览和下载。 如果您有任何问题，请联系我们。通过E-Mail发送至：email@example.com。或者通过邮寄方式，寄送至：清华大学经济管理学院中国金融研究中心。邮编：100084。
Copyright @ 2008 China Center for Financial Research,Tsinghua University. All Rights Reserved.