中国金融学术研究网
CHINA FINANCIAL RESEARCH NETWORK

公司财务--资本结构
工作论文
2012-04-11 第4卷 第6期

编: 清华大学经管学院金融学教授。

执行主编: 杨之曙清华大学经济管理学院金融学副教授。


本期目录

Credit Market Timing

Murray Z. Frank University of MinnesotaCarlson School of Management
Pedram Nezafat University of MinnesotaCarlson School of Management

Inside Debt and the Design of Corporate Debt Contracts

Divya Anantharaman NewarkRutgers Business School
Vivian W. Fang NewarkRutgers Business School
Guojin Gong Pennsylvania State UniversitySmeal College of Business

Acquisition Finance, Capital Structure and Market Timing

Theo Vermaelen INSEADINSEAD
Moqi Xu INSEAD INSEAD

现金持有动态调整的非对称特征研究

连玉君 中山大学岭南学院金融系
苏治 中央财经大学统计学院


论文摘要

Credit Market Timing

Murray Z. Frank University of MinnesotaCarlson School of Management
Pedram Nezafat 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.

Inside Debt and the Design of Corporate Debt Contracts

Divya Anantharaman NewarkRutgers Business School
Vivian W. Fang NewarkRutgers Business School
Guojin Gong Pennsylvania State UniversitySmeal College of Business

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.

Acquisition Finance, Capital Structure and Market Timing

Theo Vermaelen INSEADINSEAD
Moqi Xu INSEAD INSEAD

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.

现金持有动态调整的非对称特征研究

连玉君 中山大学岭南学院金融系
苏治中央财经大学统计学院

本文以动态权衡理论为基础,研究了中国上市公司现金持有动态调整的非对称特征。结果表明:(1)上市公司倾向于维持目标现金持有水平,并在偏离后不断调整,支持动态权衡理论。(2)调整成本的差导致调整过程具有明显的非对称特征,过度持有的调整速度明显快于持有不足的调整速度。(3)就调整方式而言,调整过程主要通过内部融资来实现,而债务融资和股利分配政策则作用甚微;就调整动机而言,预防性动机和投机动机具有很好的解释力。上述结果表明,融资约束对上市公司的现金持有行为具有重要影响。


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