||The determinants of capital structure from partial adjustment and nonlinear empirical evidence
||Department of Banking and Finance
Speed of adjustment
Short time dimension bias
Dynamic panel data
Panel threshold regression model
||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。
||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.
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
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
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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