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系統識別號 U0002-2106200611361000
中文論文名稱 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
英文論文名稱 The determinants of capital structure from partial adjustment and nonlinear empirical evidence
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 94
學期 2
出版年 95
研究生中文姓名 劉文謙
研究生英文姓名 Wen-Chien Liu
學號 693490061
學位類別 碩士
語文別 英文
口試日期 2006-05-11
論文頁數 82頁
口試委員 指導教授-聶建中
共同指導教授-張倉耀
委員-古永嘉
委員-沈中華
委員-林蒼祥
中文關鍵字 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 
英文關鍵字 Capital structure  Speed of adjustment  Target leverage  Trade-off theory  Short time dimension bias  Dynamic panel data  Panel threshold regression model 
學科別分類 學科別社會科學商學
中文摘要 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。
英文摘要 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.
論文目次 Contents
1. Introduction 01
2. Theory and literature review 07
2.1 The trade-off theory 07
2.2 The pecking order theory 09
2.3 Market timing theory 10
2.4 Adjustment to target leverage 11
3. Data 14
4. Empirical methodology 19
4.1 Panel data estimation 19
4.2 Panel threshold regression model 29
5. Empirical Results 36
5.1 Partial adjustment model 36
5.2 Panel threshold regression model 50
6. Robustness 57
6.1 Stability across firm size 57
6.2 Stability over estimation horizons 60
6.3 Stability over time periods 63
6.4 Alternative “leverage” definitions 66
7. Conclusion 69
References 70
Appendix 77


表目次

Table 1 Summary statistics 17
Table 2 Partial adjustment estimation 40
Table 3 Alternative methods for estimating dynamic panel regression 42
Table 4A Over different quartile regimes based on the MDRt in Unbalanced Panels 46
Table 4B Over different quartile regimes based on the MDRt in Balanced Panels 47
Table 5 Pecking order regression 49
Table 6A Panel Threshold Regression Estimation 52
Table 6B Panel Threshold Regression Estimation for alternative consideration of MDR2 54
Table 7 The distribution of MDR and MDR_b in each regimes 56
Table 8A Over different quartile regimes based on the Firm Size in Unbalanced Panels 58
Table 8B Over different quartile regimes based on the Firm Size in Balanced Panels 59
Table 9A Estimation over different forecast horizons in Unbalanced Panels 61
Table 9B Estimation over different forecast horizons in Balanced Panels 62
Table 10A Estimations in each periods in Unbalanced Panels 64
Table 10B Estimations in each periods in Balanced Panels 65
Table 11A Estimations of alternative definitions of leverage in Unbalanced Panels 67
Table 11B Estimations of alternative definitions of leverage in Balanced Panels 68

圖目次

Figure 1 The static trade-off theory of optimal capital structure 5

Figure 2 Confidence Construction for MDR 53

Figure 3 Confidence Construction for MDR_b 55

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