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1 CSMAR (2001) (1) (2) 1 (1) (2) (1) (2) Modigliani Miller ( ) ( ) ( ) ( ) (ACES) ( ),, [email protected] [email protected]

2 CSMAR (2001 ) ( ) (TEJ) H (Huang Song 2001) G-7 / 2 Modigliani Miller (MM) 1958 ( Harris Raviv (1991), ), Harris Raviv ( 1 The Pecking Order Hypothesis) / Harris Raviv(1991) Harris Raviv(1988),Stulz(1988), Israel(1991) / Brander Lewis(1986) Brander Lewis(1986) (2000) / Titman(1984) Titman 1 (2002). 2

3 (The Static Tradeoff Model) Modigliani Miller(1958,1963) (1) (2) (3) (4) (5) (6) V L V U T C B V L = V U + T C B T C 0 100% Miller(1977) T S T B Miller V L = V U (1 TC )(1 T + 1 (1 TB ) S ) B V L V U T C T S T B B 1 T ) = (1 T )(1 T ) ( B C S Kraus Litzenberger(1973) Kim(1978) Bradley, Jarrel Kim(1984) 3

4 2.1.3 Jensen Meckling(1976) Harris Raviv(1991) Jensen Meckling CEO 2.7% (Berger, Ofek Yermack, 1997) Jensen(1986) Grossman Hart(1982) (firm-specific human capital) Jensen Meckling Harris Raviv(1990) ( ) ( ) Stulz(1990) ( ) ( ) (trading off) (underlying assets) (put option ) (call option, ) (exercise price) (asset substitution effect) Diamond(1989) ( ) 4

5 2 2.2 Ross(1977) Myers Majluf(1984) Myers Majluf(1984) Myers Majluf Myers Majluf Krasker(1986) Brennan Kraus(1987) Narayanan(1988) Noe(1988) Constantinides Grundy(1989) Heinkel Zechner(1990) Myers(1998) (1) (2) (3) (4) (quasi-equity) 2.3 Shyam-Sunder Myers(1999) (statistical power) Myers Chirinko Singha(2000) Fama French(2002) Booth (2001) (cross-sectional test) Titman Wessels (1988) Rajan Zingales (1995) Wald (1999) Booth (2001) Wiwattanakantang (2001) 2 Ross(1977) 5

6 Bradley Jarrell Kim (1984) (1) (2) (3) Titman Wessels (1988) - (factor-analytic technique) ( ) Berger Ofek Yermack (1997) (entrenchment-shocks) Jensen (1986) Rajan Zingales (1995) ( ) ( Q ) Wald(1999) G-7 Wald Booth (2001) ( ) GDP Booth (2001) Demirguc-Kunt Maksimovic (1999) Rajan Zingales(1995) G CSMAR 1000 Rajan Zingales (1995) 6

7 (robustness analysis) ( ) Rajan Zingales (1995) Rajan Zingales (1995) (G-7 ) ( 7.9% ) 50 (IAS) (2000 ) G-77 G-7 (18.0%) (18.4%) G-7 G % 52% G-7 42% 8.8% G % Masulis (1988, P1) ( ) Megginson (1997, P305) Bradley Jarrell Kim (1984) 20 ( ) Titman Wessels (1988) Rajan Zingales (1995) 3 (1) (non-equity liabilities to total assets) (2) (debt to total assets) (3) (debt to net assets) (4) (debt to capital) (5) (interest coverage ratio) EBIT/ EBITDA/ EBIT EBITDA 3,, (robustness check).,,.. 7

8 Rajan Zingales (1995) Rajan Zingales (1995) Rajan Zingales (1995) G-7 Booth (2001) / G-7 4 Booth ( ) 6% 24% 15% G-7 45% 12% % ( ) ( ) ( ) Rajan Zingales (1995) Rajan Zingales G-7 G-7 ( ) 4 6 Chen and Xiong(2001) 78%-86%,,. Q,., Q.. 8

9 G-7 ( ) ( ) Myers (1984) (2002) 3.4 Miller (1977) (gain from leverage) (1 TC )(1 TS ) G = 1 (1 T ) B T C T S T B (capital gain) 20% 33% ( ) 16.25% 33% 15% ( %) 15% 6.25% (!) 15% ( ) Rajan Zingales (1995) G-7 15% G (investment propensity) G-7 7 9

10 ( + ) = = = (1 + ) = ( ) 1 1 = ( ) G ( ) G (Jensen Meckling (1976) Jensen (1986) ) ( ) A A B H A B ( ) ( ) H A A A A A A 100 A B H B H ( ) ( A B H ) 10

11 % 60% 0.017% 66 Friend Lang (1988) 10% CEO 2.7% (Berger Ofek Yermack 1997) B/H Booth (2001) /GDP GDP Miller % GDP ( ) GDP GDP A Kruskal-Wallis Kruskal-Wallis 1% (dummy variable ) B C ( 1999 ) 31.1% 33.4% (1999 ) 57.6% 52.6% 0.54 B 47.1% 43.6% 40.1% (2001 )

12 4.3 Bowen (1982) Bradley (1984) Long Malitz (1985) Kester (1986) ( ) / Titman (1984) Maksimovic Titman (1991) % 50% 30% Bradley (1984) Bradley (1984) 21 (C2) (B) (D) (C4) (C4) 9% Bradley (1984) Bradley (1984) (ROA) 9 (B) % 9.7% 7.3% 9 12

13 Harris Raviv (1990) Wald (1999) 1958 Modigliani Miller Jensen (1986) Williamson (1988) Chang (1999) Friend Lang (1988) Titman Wessels (1988) Kester(1986) (Rajan Zingales (1995) Wald (1999) Wiwattanakantang(1999) Booth (2001) ) Long Maltiz(1985) Wald (1999) / (EBIT) Myers Majluf (1984) Jensen Meckling (1976) Williamson (1988) Harris Raviv (1990) Marsh (1982) Long Malitz (1985) Friend Lang (1988) Rajan Zingales (1995) Wald (1999) (liabilities) ( ) (effective marginal tax rate) MacKie-Mason (1990) / MacKie-Mason ( 13

14 (tax loss carry-forwards) ) / MM MacKie-Mason 33% 15% (loss carry-back) (liabilities) (non-debt) Marsh (1982) Fama Jensen (1983) Rajan Zingales (1995) Harris Raviv (1990) Stulz(1990) Ross (1977) Noe (1988) Narayanan(1988) Poitevin(1989) Harris Raviv(1988) Stulz(1988) Marsh (1982) Rajan Zingales (1995) Wald (1999) Booth (2001) Rajan Zingales (1995) Wald (1999) Wald (1999) ( - ) ( 0.79) (spurious correlation) (NTDS) DeAngelo Masulis (1980) DeAngelo Masulis (1980) Bradley (1984) NTDS NTDS Wald (1999) Chaplinsky Niehaus(1993) (investment tax credit ) NDTS Jung Kim Stulz(1996) Jensen (1986) Stulz(1990) (discretion) Berger Ofek Yermack(1997) Myers (1977) 14

15 Jensen Meckling (1976) Kester (1986) Kim Sorensen (1986) Smith Watts (1992) Wald (1999) Rajan Zingales (1955) Booth (2001) Titman Wessels(1988, ) Wald (1999) Titman Wessels (1988) Rajan Zingales (1995) ( Q ) Booth (2001) Q Hsia(1981) (OPM) (CAMP) Modigliani-Miller (Booth (2001)) ( Bradley (1984) Chaplinsky Niehaus(1993) Wald(1999)) ( Titman Wessels(1988)) Booth 5.2 (liabilities) (Gibson, 2001, p248 ) (trade credit) Q ( 3.0) Toy (1974) (TL) (ROA) Q (LD) (MLD) 0.83 (TD) (MTD) 0.77 (TL) 10 15

16 (MTL) 0.72 TD TL % NDTS( / ) ( / ) (0.50) ( ) Q (- 0.41) NDTS Q 5.3 Logit (OLS) ROA % (1) (2) (NDTS) NDTS (3) Q ( Q ) Hsia (1981) (LD) % (TL) % 16

17 (1) (2) ( ), 0.354( ) ( ) F 1% F 10% 5% R (1) (2) 1994 (balanced data) (3) 2000 (endogeneity) ROA Q (4) (0.54) (0.17) (0.50) 11 (5) 140 (MTL), R ( ) % (1.61) 1% 17

18 50% 50% ( ) Myers(1984) % 6% Myers % 14 Myers B/H ROA 1.5 Fama French(2002) Myers(1984) Chang(1999) B/H 3-4 ( ) ( ) 0.017% (1035 ) 12% 9%

19 19 ( ) ( ) 46% 14%) % 13,.. 13

20 (2000 )

21 ( ( ) ( ( ) ( ( ) ( ( ) ( ( )) ) ) ) ) I II (0.46) 0.12(0.14) 0.22(0.23) 0.06(0.07) 0.27(0.29) 0.06(0.08) 0.28(0.31) 0.06(0.08) na na na na

22 : 1) 2000 A 954. CSMAR. 2) :, 954,, 100. Rajan Zingales(1995)., ) Rajan Zingales(1995).,. : 1) CSMAR. = /, =( + )/ =(( + )/ = - - = /( + ) = + ) I EBIT/ II EBITDA/ ( ) EBITDA ( ) :. 2) Rajan Zingales (1995) Booth (2001) Booth (2001) 3) 22

23 ( ) ( 2791 ) ( 2497 ) 0.23(0.20) 1.34(1.02) -0.34(-0.02) (0.50) 0.85(0.80) 0.15(0.20) (0.36) 0.72(0.55) 0.28(0.45) (0.30) 0.72(0.62) 0.28(0.38) ) ) Rajan Zingales (1995) OECD : ( "Financial Statements of Non-Financial Enterprises") 23

24 EBIT ( ) EBIT EBIT (1- - ) CSMAR 2% ( ) Rajan Zingales (1995) 24

25 Panel A (1033 ) ( ) 39.31(43.67) (11.62) (36.14) (0.0) (-0.89)*** (-0.35)*** (-0.10)*** (TL) (-0.10)*** (0.08)** (0.09)*** Panel B TL TL TL TL (2.32)** (2.65)*** (2.49)** (2.74)*** (3.04)*** (2.62)*** H/B (2.45)** (1.90)* F- (5.40)** (7.35)*** (5.71)*** (6.12)*** Panel C ( ) (%) 0.044(0.017) ( ) 1.89(0.66) (0.87)*** (TL) (-0.03) (-0.01) 1) A 100 B H 2) 3) *, ** *** 10%, 5%, 1% 25

26 GDP H EP H EP H EP H EP H EP H EP H EP H EP H EP H EP M EP M EP M MP M MP M MP M MP L MP L MP M MP L MP L WP L WP H WP L WP L WP M WP M WP L WP M WP L WP L WP L WP

27 ( ) (t- ) (12.05) (-3.05)*** (15.13) (-2.31)** (11.00) (-1.61) (12.63) -8.92(-2.13)** (18.02) -8.9(-1.51) (15.16) -6.74(-1.35) (15.82) -6.56(-2.00)** (17.71) -6.38(-1.48) (18.83) -6.32(-1.36) (17.34) -5.47(-1.65)* (16.69) -5.06(-1.33) (20.22) -4.64(-1.40) (14.46) -4.38(-1.34) (16.73) -4.34(-1.30) (15.62) -4.26(-1.09) (11.92) -4.09(-0.60) (15.06) -3.85(-0.98) (16.78) -3.84(-0.77) (17.66) -3.61(-0.82) (16.26) -1.81(-0.44) (11.84) -1.34(-0.28) (17.76) 0.53(0.11) (11.33) 0.69(0.12) (15.93) O (15.66) 2.17(0.66) (19.21) 4.22(1.28) (17.24) 4.46(1.06) (15.06) 4.46(0.96) (17.34) 6.48(1.79)* (18.42) 6.56(1.52) (18.17) 6.99(2.46)*** (21.21) 11.97(3.78)*** (17.92) R F- 4.43*** 27

28 1) 1999 ( ) GDP (2000) (2000) 2) 3 H L M GDP 3) 1996 ( ) ( ). A 1) *, **, *** 10%, 5% 1% 2) O: 28

29 Panel A Kruskal-Wallis P < < <0.001 Panel B (TL) ( ) TL (t- ) (18.53) 7.01(4.37)*** (17.28) 3.42(1.96)** (15.57) O (17.92) R F- (11.01)*** Panel C (TL) ( ) TL (t- ) (18.5) 2.85(2.03)** (15.59) -3.95(-2.32)** (17.59) O (17.92) R F- (11.99)*** 1) *,**, *** 10%, 5% 1% 2) O:. 29

30 TL TL : (2001)

31 B 12 C2 2 L 9 D 38 A 27 K 38 C0 C4 F C1 C C5 21 C6 98 C9 14 C7 160 H 94 G 62 C3 21 M 80 J 30 E

32 ( ) (T ) TL B (8.23) -11.6(-2.14)** R C (6.12) D L (7.32) -5.9(-0.96) -5.9(-0.96) D (12.97) -3.77(-1.05) R A (11.1) -3.54(-0.88) -3.54(-0.88) K (9.44) -3.06(-0.85) -3.06(-0.85) C (11.61) -1.87(-0.57) -1.87(-0.57) C (13.15) -0.83(-0.29) R F (13.3) -0.59(-0.16) -0.59(-0.16) C (11.95) O C (12.8) 2.40(0.72) 2.4(0.72) C (8.95) 2.75(0.63) 2.75(0.63) C (15.51) 3.29(1.14) 3.29(1.14) C (10.52) D C (13.42) 3.96(1.47) 3.96(1.47) H (15.67) 9.34(3.2)*** 9.34(3.2)*** G (12.42) 9.58(3.02)*** 9.58(3.02)*** C (17.63) 11.08(2.53)*** 11.08(2.53)*** M (14.31) D J (19.22) 14.46(3.73)*** 14.46(3.73)*** E (21.17) 14.65(3.17)*** 14.65(3.17)*** (13.54) R F (5.29)*** (4.69)*** 1) D O R: 2) C2 2 C9 M 3) ) ***, **, * 1%, 5% 10% 32

33 TL TL B C D C C C C C C G/C C (2001) ( ) 14 33

34 : ( ) (ROA) +/- - (SIZE) (TANG) +/ (TAX) + + (NDTS) - - (GROW/Tobin s Q) (VOLTY) Q - - +/- - (MANAG) + +/- (INSTITU)?? 1) "+ " "-" ; "+/-" "?" 2) 34

35 LD MLD TD MTD TL MTL ROA SIZE TANG TAX NDTS Tobin's Q GROW INSTITU MANAG VOLTY ) 799 2) LD TD ( ) TL LD TD TL (MLD) (MTD) A (2000 ) H B H B A H B 3) ROA 35

36 LD MLD TD MTD TL MTL ROA SIZE TANG TAX NDTS Tobin s Q GROW INSTITU MANAG LD 1 MLD TD MTD TL MTL ROA (-0.06)* SIZE (0.06)* (0.05)* TANG (0.06)* (-0.02)* (0.05)* (0.05)* 1 TAX (0.01)* (0.05)* (-0.03)* (0.07)* (0.00)* (0.05)* 1 NDTS (0.02)* Tobin's Q (-0.04)* 1 GROW (0.03)* (0.04)* (-0.07)* (-0.04)* INSTITU (-0.06)* (0.06)* 1 MANAG (-0.05)* (-0.03)* (-0.02)* (0.03)* (0.00)* (0.05)* 0.14 (0.04)* (-0.03)* (-0.06)* 0.07 (0.05)* (0.05)* 1 VOLTY (0.03)* (-0.04)* 0.17 (-0.05)* (-0.02)* (-0.03)* (0.00)* 0.1 (0.01)* * 5%. 36

37 ROA (-13.25)*** (-9.05)*** (-14.15)*** (-9.85)*** (-9.93)*** (-9.74)*** (-9.22)*** (-9.7)*** (-9.07)*** SIZE (7.36)*** (4.22)*** (7.89)*** (4.69)*** (4.54)*** (4.06)*** (3.51)*** (4.00)*** (3.51)*** NDTS (-5.63)*** (-5.92)*** (-5.49)*** (-5.78)*** (-5.68)*** (-3.37)*** (-2.73)*** (-3.09)*** (-2.6)*** INSTITU (3.43)*** (3.9)*** (3.3)*** (3.76)*** (3.74)*** (3.53)*** (3.39)*** (3.31)*** (3.47)*** VOLTY (1.46) (2.29)** (1.28) (2.11)** (2.11)** (2.13)*** (2.02)** (1.66)* (1.75)* TOBIN'S Q (-4.48)*** (-4.49)*** (-4.45)*** (-4.98)*** (-4.97)*** (-4.25)*** (-4.38)*** GROW (5.6)*** (5.61)*** (5.6)*** (5.4)*** (5.09)*** (4.81)*** (4.78)*** TANG (-3.34)*** (-2.12)** (-3.24)*** (-2.55)*** TAX (0.74) (0.73) (0.93) (1.13) (1.2) MANAG (1.16) (1.04) (0.99) (0.81) (0.87) NO NO NO NO NO YES NO YES NO NO NO NO NO NO YES YES R

38 2000 ROA (-9.85)*** (-11.12)*** (-4.51)*** (-8.39)*** (-9.82)*** (-7.27)*** SIZE (4.69)*** (7.03)*** (1.95)** (4.17)*** (9.2)*** (3.86)*** NDTS (-5.78)*** (-4.06)*** (-3.19)*** (-4.76)*** (-1.92)* (-6.54)*** TOBIN'S Q (-4.49)*** (-5.45)*** (-1.14) (-1.52) (-3.61)*** (-4.42)*** GROW (5.61)*** (4.21)*** (3.52)*** (5.24)*** (4.81)*** INSTITU (3.76)*** (4.33)*** (0.79) (3.77)*** (3.74)*** VOLTY (2.11)** (-0.07) (-0.91) (1.35) (2.46)** TANG 16.5 (6.3)*** OBS R

39 1) 799 *, **, *** 10%, 5%, 1%. 2) F 1% 5% 10% 1). 2) ) ) (Endogeneity) 5) (0.54) (Multicollinearity) (0.17) (0.50) % 6) 39

40 VARIABLES TL MTL LD LD MLD TD TD MTD ROA (-9.85)*** (-5.56)*** (-2.13)** (-2.53)*** (-0.99) (-7.96)*** (-7.88)** (-4.68)*** SIZE (4.69)*** (9.86)*** (0.23) (1.00) (1.64)* (0.14) (0.00) (3.92)*** NDTS (-5.78)*** (-4.1)*** (0.82) (-1.93)* (1.93)* (-3.87)*** (-2.92)*** (-2.39)** TOBIN'S Q (-4.49)*** (-12.95)*** (-3.61)*** (-2.68)*** (-5.27)*** (-5.24)*** (-5.33)*** (-10.55)*** GROW (5.61)*** (6.32)*** (1.54) (1.94)* (2.16)** (3.45)*** (3.38)*** (4.31)*** INSTITU (3.76)*** (0.844) (-0.83) (-0.46) (-2.39)** (2.87)*** (2.8)*** (0.29) VOLTY (2.11)** (-0.37) (0.57) (0.57) (-1.24) (1.77)* (1.77)* (-0.93) TANG (5.44)*** (-0.94) R

41 Listed Unlisted T Listed Unlisted B C2 D C0 C4 C1 C8 C6 C7 G/C5 C3 Total 41

42 =100*(A A110227)/A100000; =100*(A A A A A A A A A A111801)/A100000; =100*A111227/A100000; =100*(A A A A A A111601)/A100000; =100*A110000/A100000; =100*A130000/A100000; =100*A120527/A100000; =100*(A A140113); =100*(A A A A A A120801) /A100000; =100*A100000/A100000; =100*(A A212101)/A400000; =100*(A A A A A A A A A A A A A A211701)/A400000; =100*(A A A A A A A A212401)/A400000; =100*A210000/A400000; =100*A230101/A400000; =100*(A A220201)/A400000; =100*A410000/A400000; =100*(A A A A A220416) /A400000; =100*(A A410000)/A400000; =100*A300000/A400000; =100*A400000/A (1) =(A A410000)/A400000; =(A A A A220201)/A400000; =(A A A A220201)/(A A A A212101); =(A A A A220201)/ (A A A A A300000); I =(B B110604)/B110604; II=(B B D D D610801)/B110604; =(B B C C110501)/B A CSMAR (2001 ) 42

43 ( D ); (2) : TL=A A410000; TA=A400000; TD=A A A A220201; EQUITY=A300000; NA=A A A A212101; EBIT=B B110604; INTEREST=B110604; EBITDA=B B D D D610801; =B B C C110501( D ); Sum_TL, Sum_TA, Sum_TD, Sum_Equity, Sum_NA, Sum_EBIT, Sum_Interest, Sum_EBITDA =Sum_TL/Sum_TA; =Sum_TD/Sum_TA; =Sum_TD/Sum_NA; =Sum_TD/(Sum_TD+Sum_Equity); I =Sum_EBIT/Sum_Interest; II =Sum_EBITDA/Sum_Interest; (3) : B/H, (MVE)= *2000 (1) (2) MVE+A A410000; A MVE. ( ), CASHFLOW=D100000; EQUITY=D D D D320601; DEBT=(D D D D310301) -(D D D D D D320615; Sum_Cashflow, Sum_Equity, Sum_Debt, = 100*(Sum_Equity+Sum_Debt) /( (Sum_Equity+Sum_Debt+Sum_Cashflow); =100*Sum_Debt/(Sum_Equity+Sum_Debt); =100*Sum_Equity/(Sum_Equity+Sum_Debt);, EBIT=B B110604; PDEBT=B110604; PDIVIDEND=B230403*B140101/B150101; PCapitalGain=(B B230403)*B140101/B150101; 43

44 Sum_ebit, Sum_debt, Sum_dividend, Sum_CapitalGain,, =sum_debt/ Sum_ebit; =Sum_Dividend/ Sum_ebit; =Sum_CapitalGain/Sum_ebit. : LD=(A A220201)/(A A A220201); TD=(A A A A212101) /(A A A A A212101); TL=(A A410000)/(A A A410000); MLD, MTD MTL, B/H (MVE)= *2000 A MVE : , ROA=(B B110604)/A100000; SIZE=log(B110127) =log(b b110113); TANG=A130000/A100000; TAX=(B B140601)/(B B B140601); NDTS=C110401/A (1997 ) = D610601/A100000(1997 ); Tobin s Q=(A A MVE)/A (MVE)= *2000 ; GROW=Dif(sales)/sales sales=b =B B dif() 44

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