CSMAR (2001) 1000 2000 (1) (2) 1 (1) (2) (1) (2) Modigliani Miller ( ) ( ) ( ) ( ) (ACES) ( ),, fmsong@econ.hku.hk huangg@hkusua.hku.hk
CSMAR (2001 ) 1000 2000 ( ) (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
(The Static Tradeoff Model) 2.1 2.1.1 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 2.1.2 Kraus Litzenberger(1973) Kim(1978) Bradley, Jarrel Kim(1984) 3
2.1.3 Jensen Meckling(1976) Harris Raviv(1991) Jensen Meckling 1984-1991 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
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
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) 2000 2000 3 Rajan Zingales(1995) G-7 3.1 2000 CSMAR 1000 Rajan Zingales (1995) 6
(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-7 35-43% 52% G-7 42% 8.8% G-7 17.8% 2 3.2 Masulis (1988, P1) ( ) Megginson (1997, P305) Bradley Jarrell Kim (1984) 20 (1962-1981) 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
Rajan Zingales (1995) Rajan Zingales (1995) Rajan Zingales (1995) G-7 Booth (2001) / G-7 4 Booth ( ) 6% 24% 15% G-7 45% 12% 2000 923 5.91 1.0 5.91 2001 5 60% ( ) ( ) 6 3.3 ( ) Rajan Zingales (1995) Rajan Zingales G-7 G-7 ( ) 4 6 Chen and Xiong(2001) 78%-86%,,. Q,., Q.. 8
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% (2000 15.6%) 15% 6.25% (!) 15% ( ) Rajan Zingales (1995) G-7 15% G-7 7 2000 2000 (investment propensity) G-7 7 9
( + ) = = = (1 + ) = ( ) 1 1 = ( ) 1 3.4 G-7 3.4 ( ) G-7 4 4.1 (Jensen Meckling (1976) Jensen (1986) ) ( ) A A B H A B ( ) ( ) 2001 3 H A A A A A A 100 A B H B H ( ) ( A B H ) 10
2000 38% 60% 0.017% 66 Friend Lang (1988) 10% CEO 2.7% (Berger Ofek Yermack 1997) B/H 3.6 4.6 4.2 Booth (2001) /GDP GDP Miller 17 27.5% GDP ( ) GDP 1999 32 GDP 1999 4.24 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% 8 14 8 (2001 ) 21724 11
4.3 Bowen (1982) Bradley (1984) Long Malitz (1985) Kester (1986) ( ) / Titman (1984) Maksimovic Titman (1991) 2001 4 22 50% 50% 30% Bradley (1984) Bradley (1984) 21 (C2) (B) (D) (C4) (C4) 9% Bradley (1984) Bradley (1984) (ROA) 9 (B) 2000 10.6% 9.7% 7.3% 9 12
5. 5.1 Harris Raviv (1990) Wald (1999) 1958 Modigliani Miller 5.1.1 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) 5.1.2 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) ( ) 5.1.3 (effective marginal tax rate) MacKie-Mason (1990) / MacKie-Mason ( 13
(tax loss carry-forwards) ) / MM MacKie-Mason 33% 15% (loss carry-back) (liabilities) (non-debt) 5.1.4 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) 5.1.5 (NTDS) DeAngelo Masulis (1980) DeAngelo Masulis (1980) Bradley (1984) NTDS NTDS Wald (1999) Chaplinsky Niehaus(1993) (investment tax credit ) NDTS 5.1.6 Jung Kim Stulz(1996) Jensen (1986) Stulz(1990) (discretion) Berger Ofek Yermack(1997) Myers (1977) 14
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 5.1.7 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) 10 2000 1994 2000 (ROA) Q 1994 2000 1999 (LD) (MLD) 0.83 (TD) (MTD) 0.77 (TL) 10 15
(MTL) 0.72 TD TL 0.88 1% NDTS( / ) ( / ) (0.50) ( ) Q (- 0.41) NDTS Q 5.3 Logit (OLS) ROA 1.5-2.0 40% (1) (2) (NDTS) NDTS (3) Q ( Q ) Hsia (1981) 1994 1995-2000 (LD) 0.12 5% (TL) 0.11 10% 16
(1) (2) 0.314 0.324( ), 0.354( ) 0.359 ( ) F 1% F 10% 5% R 2 5.4 (1) 1994 2000 (2) 1994 (balanced data) 1994 2000 (3) 2000 (endogeneity) 1994 1999 ROA Q 1999 2000 (4) (0.54) (0.17) (0.50) 11 (5) 140 (MTL), R 2 0.461 6. 6.1 ( ) 11 2.05 1% (1.61) 1% 17
50% 50% ( ) 1991-1993 Myers(1984) 1973-1982 62% 6% Myers 2000 6559.7 862 99371.1 12 6.5% 14 Myers B/H ROA 1.5 Fama French(2002) Myers(1984) Chang(1999) 6.2 10 1 B/H 3-4 ( ) ( ) 0.017% (1035 ) 12% 9% 12 2001 18
19 ( ) ( ) 46% 14%) 0.49 0.64 70% 13,.. 13
(2000 ) 16.7 18.0 11.2 18.4 8.8 10.3 10.5 11.4 8.2 21.5 23.6 17.8 22.5 26.9 28.9 29.0 22.1 13.0 14.5 14.0 16.1 13.9 23.6 17.4 15.6 17.7 11.0 0.3 0.3 2.9 3.0 0.1 1.7 1.6 3.7 1.9 53.1 55.9 48.0 57.7 59.4 58.3 56.5 54.7 33.2 36.1 32.2 36.3 28.7 32.7 24.4 32.4 41.3 51.6 -- 6.7 7.3 4.5 10.8 4.8 8.3 6.0 2.7 7.7 3.2 3.6 7.6 0.8 2.4 8.5 2.6 0.9 4.7 1.0 1.0 5.8 2.9 0.7 0.7 3.3 0.5 3.7 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 100.0 17.0 19.3 7.4 16.4 9.9 11.6 16.2 9.6 7.3 19.0 18.8 15.0 15.4 11.5 17.0 14.7 13.7 13.3 1.0 1.1 11.0 10.4 8.7 17.0 12.2 16.7 2.8 37.0 39.2 33.4 42.2 30.0 43.4 43.2 40.0 23.1 0.1 0.1 3.2 0.1 0.8 1.3 1.5 0.9 4.4 7.2 5.4 23.3 18.9 9.8 15.7 12.1 12.4 28.1 3.0 2.6 0.6 0.9 1.6 3.9 3.4 1.1 2.0 0.0 0.0 1.7 0.0 0.0 0.0 0.0 1.6 0.7 5.8 4.8 28.7 6.3 7.8 3.4 2.6 48.7 48.0 66.1 66.8 72.0 68.8 67.4 57.8 60.3 51.3 52.0 34.1 33.2 28.0 31.2 32.6 42.2 39.7 100.0 100 100.0 100.0 100.0 100.0 100.0 100.0 100.0 20
( ( ) ( ( ) ( ( ) ( ( ) ( ( )) ) ) ) ) I II 954 2000 0.45(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) 6.51 8.63 0.49 0.153 0.24 0.077 0.30 0.082 0.32 0.082 5.64 8.26 2580 1991 0.58 0.44 0.27 0.20 0.34 0.24 0.37 0.28 2.41 4.05 514 1991 0.69 0.45 0.35 0.22 0.48 0.27 0.53 0.29 2.46 4.66 191 1991 0.73 0.60 0.16 0.12 0.21 0.15 0.38 0.23 3.20 6.81 225 1991 0.71 0.64 0.25 0.21 0.39 0.32 0.48 0.41 2.64 4.35 118 1991 0.70 0.70 0.27 0.29 0.38 0.38 0.47 0.46 1.81 3.24 608 1991 0.54 0.40 0.18 0.14 0.26 0.18 0.28 0.19 4.79 6.44 318 1991 0.56 0.49 0.32 0.28 0.37 0.32 0.39 0.35 1.55 3.05 49 85-91 0.3 0.1 na 99 84-90 0.35 0.14 na 99 80-90 0.67 0.34 0.35 93 80-90 0.73 0.49 0.64 38 83-90 0.47 0.12 0.19 96 83-90 0.42 0.13 0.07 96 80-87 0.66 0.26 0.19 64 83-90 0.49 na na 45 83-90 0.59 0.24 0.11 48 80-88 0.42 0.13 0.26 21
: 1) 2000 A 954. CSMAR. 2) :, 954,, 100. Rajan Zingales(1995)., 954. 3) Rajan Zingales(1995).,. : 1) CSMAR. = /, =( + )/ =(( + )/ = - - = /( + ) = + ) I EBIT/ II EBITDA/ ( ) EBITDA ( ) :. 2) Rajan Zingales (1995) Booth (2001) Booth (2001) 3) 22
(1998-2000) 0.61 0.27 0.73 ( 2791 ) 0.52 0.46 0.54 ( 2497 ) 0.23(0.20) 1.34(1.02) -0.34(-0.02) 1991-1993 0.56(0.50) 0.85(0.80) 0.15(0.20) 1991-1993 0.33 0.87 0.13 1991-1993 0.35 0.39 0.61 1991-1993 0.33 0.65 0.35 1991-1993 0.49(0.36) 0.72(0.55) 0.28(0.45) 1991-1993 0.42(0.30) 0.72(0.62) 0.28(0.38) 1991-1993 1) 1998 1998 2000 2) Rajan Zingales (1995) OECD : ( "Financial Statements of Non-Financial Enterprises") 23
1994 1995 1996 1997 1998 1999 2000 1994-2000 279 286 471 667 731 830 950 4214 0.053 0.162 0.179 0.144 0.119 0.14 0.129 0.134 0.447 0.466 0.272 0.341 0.254 0.254 0.345 0.316 0.5 0.371 0.548 0.516 0.627 0.605 0.526 0.549 1994-2000 89-91 89-91 89-91 89-91 89-91 89-91 89-91 4214 0.134 0.40 0.43 0.25 0.39 0.62 0.23 0.52 0.316 0.38 0.18 0.32 0.21 0.27 0.38 0.50 0.549 0.21 0.39 0.42 0.40 0.11 0.40-0.02 EBIT ( ) EBIT EBIT (1- - ) CSMAR 2% ( ) Rajan Zingales (1995) 24
Panel A (1033 ) ( ) 39.31(43.67) 25.71 0 88.58 21.43(11.62) 23.76 0 87.32 38.1(36.14) 11.95 8.98 100 1.17(0.0) 3.82 0 33.27 (-0.89)*** (-0.35)*** (-0.10)*** (TL) (-0.10)*** (0.08)** (0.09)*** Panel B TL TL TL TL 0.05 0.06 0.06 0.06 (2.32)** (2.65)*** (2.49)** (2.74)*** 0.14 0.12 (3.04)*** (2.62)*** H/B 4.59 3.63 (2.45)** (1.90)* F- (5.40)** (7.35)*** (5.71)*** (6.12)*** Panel C ( ) (%) 0.044(0.017) 0.133 0 2.381 ( ) 1.89(0.66) 5.35 0 79.42 (0.87)*** (TL) (-0.03) (-0.01) 1) A 100 B H 2) 3) *, ** *** 10%, 5%, 1% 25
GDP 14754 35896 H EP 64 11943 30805 H EP 113 7040 19846 H EP 53 7346 15976 H EP 15 7985 12037 H EP 48 8987 11728 H EP 53 6255 10797 H EP 38 6239 10665 H EP 55 6366 10086 H EP 53 6060 8673 H EP 55 5033 6932 M EP 26 4700 6383 M EP 22 5632 7660 M MP 30 5295 6514 M MP 51 5216 6341 M MP 29 5290 5105 M MP 32 4214 4894 L MP 22 3932 4727 L MP 16 4985 4707 M MP 24 3482 4661 L MP 13 3988 6470 L WP 18 3765 5350 L WP 17 6190 4826 H WP 24 4384 4662 L WP 7 3813 4473 L WP 10 4933 4452 M WP 18 4876 4452 M WP 54 4685 4262 L WP 7 4987 4148 M WP 17 4520 4101 L WP 21 4615 3668 L WP 15 4334 2475 L WP 10 5808 6534 1030 26
( ) (t- ) 17 31.11(12.05) -14.48(-3.05)*** 13 33.4(15.13) -12.19(-2.31)** 7 34.54(11.00) -11.06(-1.61) 24 36.68(12.63) -8.92(-2.13)** 10 36.7(18.02) -8.9(-1.51) 15 38.86(15.16) -6.74(-1.35) 55 39.04(15.82) -6.56(-2.00)** 22 39.22(17.71) -6.38(-1.48) 18 39.28(18.83) -6.32(-1.36) 53 40.13(17.34) -5.47(-1.65)* 32 40.54(16.69) -5.06(-1.33) 53 40.95(20.22) -4.64(-1.40) 55 41.21(14.46) -4.38(-1.34) 51 41.26(16.73) -4.34(-1.30) 30 41.34(15.62) -4.26(-1.09) 7 41.51(11.92) -4.09(-0.60) 29 41.75(15.06) -3.85(-0.98) 15 41.75(16.78) -3.84(-0.77) 21 41.98(17.66) -3.61(-0.82) 26 43.78(16.26) -1.81(-0.44) 16 44.25(11.84) -1.34(-0.28) 17 46.13(17.76) 0.53(0.11) 10 46.28(11.33) 0.69(0.12) 48 46.76(15.93) O 53 47.77(15.66) 2.17(0.66) 54 49.81(19.21) 4.22(1.28) 24 50.05(17.24) 4.46(1.06) 18 50.05(15.06) 4.46(0.96) 38 52.08(17.34) 6.48(1.79)* 22 52.15(18.42) 6.56(1.52) 113 52.58(18.17) 6.99(2.46)*** 64 57.57(21.21) 11.97(3.78)*** 1030 45.03(17.92) R 2 0.12 F- 4.43*** 27
1) 1999 ( ) GDP (2000) (2000) 2) 3 H L M GDP 3) 1996 ( ) (http://www.chinawest.gov.cn/english/asp/start.html ). A 1) *, **, *** 10%, 5% 1% 2) O: 28
Panel A Kruskal-Wallis P 120.55 31 <0.001 23.21 2 <0.001 23.30 2 <0.001 Panel B (TL) ( ) TL (t- ) 571 47.14(18.53) 7.01(4.37)*** 303 43.56(17.28) 3.42(1.96)** 156 40.14(15.57) O 1030 45.03(17.92) R 2 0.02 F- (11.01)*** Panel C (TL) ( ) TL (t- ) 595 47.07(18.5) 2.85(2.03)** 217 40.26(15.59) -3.95(-2.32)** 218 44.21(17.59) O 1030 45.03(17.92) R 2 0.02 F- (11.99)*** 1) *,**, *** 10%, 5% 1% 2) O:. 29
TL TL 17 31.11 285 56.65 13 33.4 438 66.63 7 34.54 4 25.41 24 36.68 629 60.02 10 36.7 222 68.21 15 38.86 195 65.87 55 39.04 2082 59.39 22 39.22 1003 64.64 18 39.28 387 50.04 53 40.13 476 57.03 32 40.54 597 64.26 55 41.21 2740 59.47 51 41.26 848 60.25 30 41.34 601 55.72 7 41.51 45 72.44 29 41.75 566 64.67 15 41.75 694 58.16 21 41.98 439 67.31 26 43.78 1127 58.87 16 44.25 366 62.59 17 46.13 598 69.29 10 46.28 107 60.70 48 46.76 1250 55.02 53 47.77 857 59.41 54 49.81 783 63.65 117 50.04 2051 56.09 24 50.05 371 63.15 18 50.05 177 60.78 38 52.08 301 58.38 22 52.15 118 65.74 113 52.58 1367 47.35 1030 45.03 21724 59.01 : (2001) 4.02 17.8 30
B 12 C2 2 L 9 D 38 A 27 K 38 C0 C4 F C1 C8 52 119 37 53 50 C5 21 C6 98 C9 14 C7 160 H 94 G 62 C3 21 M 80 J 30 E 18 1035 31
( ) (T ) TL B 12 29.68(8.23) -11.6(-2.14)** R C2 2 30.00(6.12) D L 9 35.38(7.32) -5.9(-0.96) -5.9(-0.96) D 38 37.51(12.97) -3.77(-1.05) R A 27 37.74(11.1) -3.54(-0.88) -3.54(-0.88) K 38 38.22(9.44) -3.06(-0.85) -3.06(-0.85) C0 52 39.41(11.61) -1.87(-0.57) -1.87(-0.57) C4 119 40.45(13.15) -0.83(-0.29) R F 37 40.69(13.3) -0.59(-0.16) -0.59(-0.16) C1 53 41.28(11.95) O C8 50 43.68(12.8) 2.40(0.72) 2.4(0.72) C5 21 44.03(8.95) 2.75(0.63) 2.75(0.63) C6 98 44.57(15.51) 3.29(1.14) 3.29(1.14) C9 14 44.68(10.52) D C7 160 45.24(13.42) 3.96(1.47) 3.96(1.47) H 94 50.62(15.67) 9.34(3.2)*** 9.34(3.2)*** G 62 50.86(12.42) 9.58(3.02)*** 9.58(3.02)*** C3 21 52.36(17.63) 11.08(2.53)*** 11.08(2.53)*** M 80 54.18(14.31) D J 30 55.74(19.22) 14.46(3.73)*** 14.46(3.73)*** E 18 55.93(21.17) 14.65(3.17)*** 14.65(3.17)*** 1035 44.98(13.54) R 2 0.089 0.080 F (5.29)*** (4.69)*** 1) D O R: 2) C2 2 C9 M 3) 2000 4) ***, **, * 1%, 5% 10% 32
TL TL B 12 29.68 715 59.14 C2 2 30.00 235 63.61 D 38 37.51 1377 54.01 C0 52 39.41 2399 63.34 C4 119 40.45 2998 62.33 C1 53 41.28 2497 67.32 C8 50 43.68 712 55.43 C6 98 44.57 3009 62.94 C7 160 45.24 5315 63.27 G/C5 83 49.13 856 58.68 C3 21 52.36 1066 58.09 1035 44.98 21724 59.01 (2001) ( ) 14 33
: ( ) (ROA) +/- - (SIZE) (TANG) +/- + + + (TAX) + + (NDTS) - - (GROW/Tobin s Q) (VOLTY) Q - - +/- - (MANAG) + +/- (INSTITU)?? 1) "+ " "-" ; "+/-" "?" 2) 34
LD 9.17 4.10 12.43 0 98.75 MLD 2.12 0.61 3.55 0 27.72 TD 31.00 29.64 19.22 0 99.86 MTD 7.87 6.36 6.44 0 37.21 TL 46.24 46.03 17.59 2.47 99.94 MTL 14.09 12.33 8.64 0.20 48.25 ROA 0.076 0.076 0.042-0.141 0.281 SIZE 19.7 19.6 1.0 16.1 23.2 TANG 0.344 0.328 0.162 0.006 0.832 TAX 0.156 0.151 0.064 0.000 0.391 NDTS 0.019 0.016 0.016 0.000 0.296 Tobin's Q 3.19 2.93 1.24 1.35 11.21 GROW 0.265 0.161 0.553-0.608 7.789 INSTITU 22.70 14.10 24.19 0.00 86.37 MANAG 0.420 0.211 0.887 0.000 15.310 VOLTY 0.038 0.028 0.037 0.000 0.530 1) 799 2) LD TD ( ) TL LD TD TL (MLD) (MTD) A (2000 ) H B H B A H B 3) 1994 2000 7 ROA 35
LD MLD TD MTD TL MTL ROA SIZE TANG TAX NDTS Tobin s Q GROW INSTITU MANAG LD 1 MLD 0.83 1 TD 0.51 0.36 1 MTD 0.54 0.63 0.77 1 TL 0.42 0.28 0.88 0.65 1 MTL 0.41 0.51 0.61 0.86 0.72 1 ROA -0.14 (-0.06)* -0.43-0.26-0.43-0.24 1 SIZE (0.06)* 0.19-0.07 0.24 (0.05)* 0.41 0.27 1 TANG 0.19 0.29-0.09 (0.06)* -0.19 (-0.02)* (0.05)* (0.05)* 1 TAX (0.01)* (0.05)* (-0.03)* (0.07)* (0.00)* 0.12 0.08 0.21 (0.05)* 1 NDTS (0.02)* 0.09-0.19-0.07-0.22-0.08 0.18 0.18 0.5 0.07 1 Tobin's Q -0.2-0.29-0.28-0.51-0.31-0.61 0.32-0.41-0.15-0.14 (-0.04)* 1 GROW (0.03)* (0.04)* 0.07 0.07 0.12 0.09 0.11 (-0.07)* -0.08-0.09 (-0.04)* 0.09 1 INSTITU (-0.06)* -0.16 0.11-0.09 0.11-0.13-0.09-0.3-0.13-0.17-0.12 0.21 (0.06)* 1 MANAG (-0.05)* (-0.03)* (-0.02)* (0.03)* (0.00)* (0.05)* 0.14 (0.04)* -0.08 (-0.03)* (-0.06)* 0.07 (0.05)* (0.05)* 1 VOLTY (0.03)* -0.08 0.17 (-0.04)* 0.17 (-0.05)* -0.34-0.21 (-0.02)* (-0.03)* (0.00)* 0.1 (0.01)* 0.2-0.08 799 * 5%. 36
ROA -188.03-149.16-198.91-160.58-163.14-159.31-155.48-158.92-153.94 (-13.25)*** (-9.05)*** (-14.15)*** (-9.85)*** (-9.93)*** (-9.74)*** (-9.22)*** (-9.7)*** (-9.07)*** SIZE 4.19 2.739 4.424 2.996 2.917 2.617 2.391 2.618 2.448 (7.36)*** (4.22)*** (7.89)*** (4.69)*** (4.54)*** (4.06)*** (3.51)*** (4.00)*** (3.51)*** NDTS -193.1-200.91-184.87-192.64-189.9-128.19-108.29-116.45-102.34 (-5.63)*** (-5.92)*** (-5.49)*** (-5.78)*** (-5.68)*** (-3.37)*** (-2.73)*** (-3.09)*** (-2.6)*** INSTITU 0.081 0.091 0.076 0.086 0.086 0.081 0.08 0.078 0.084 (3.43)*** (3.9)*** (3.3)*** (3.76)*** (3.74)*** (3.53)*** (3.39)*** (3.31)*** (3.47)*** VOLTY 22.91 36.17 19.72 32.793 32.92 32.91 31.43 26.26 27.93 (1.46) (2.29)** (1.28) (2.11)** (2.11)** (2.13)*** (2.02)** (1.66)* (1.75)* TOBIN'S Q -2.475-2.433-2.422-2.736-2.835-2.394-2.563 (-4.48)*** (-4.49)*** (-4.45)*** (-4.98)*** (-4.97)*** (-4.25)*** (-4.38)*** GROW 5.392 5.333 5.348 5.129 4.889 4.543 4.576 (5.6)*** (5.61)*** (5.6)*** (5.4)*** (5.09)*** (4.81)*** (4.78)*** TANG -12.593-8.872-12.203-10.676 (-3.34)*** (-2.12)** (-3.24)*** (-2.55)*** TAX 6.27 6.156 7.871 9.77 10.466 (0.74) (0.73) (0.93) (1.13) (1.2) MANAG 0.689 0.613 0.594 0.481 0.531 (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 2 0.261 0.278 0.288 0.305 0.305 0.314 0.324 0.354 0.359 37
2000 ROA -160.6-152.9-166.4-157.3-37.59-131.6 (-9.85)*** (-11.12)*** (-4.51)*** (-8.39)*** (-9.82)*** (-7.27)*** SIZE 3 3.78 2.78 2.99 4.31 2.73 (4.69)*** (7.03)*** (1.95)** (4.17)*** (9.2)*** (3.86)*** NDTS -192.6-113.95-358.8-143.8-40.97-327.21 (-5.78)*** (-4.06)*** (-3.19)*** (-4.76)*** (-1.92)* (-6.54)*** TOBIN'S Q -2.43-2.49-2.26-1.13-0.648-2.44 (-4.49)*** (-5.45)*** (-1.14) (-1.52) (-3.61)*** (-4.42)*** GROW 5.33 3.37 7.14 4.75 3.64 (5.61)*** (4.21)*** (3.52)*** (5.24)*** (4.81)*** INSTITU 0.086 0.084 0.04 0.096 0.096 (3.76)*** (4.33)*** (0.79) (3.77)*** (3.74)*** VOLTY 32.79-0.97-34.9 26.13 40.95 (2.11)** (-0.07) (-0.91) (1.35) (2.46)** TANG 16.5 (6.3)*** OBS 799 799 203 705 1581 660 R 2 0.305 0.335 0.211 0.262 0.125 0.275 38
1) 799 *, **, *** 10%, 5%, 1%. 2) F 1% 5% 10% 1). 2) 1994 7 3) 1994 2000 4) 2000 1994-1999 2000 (Endogeneity) 5) (0.54) (Multicollinearity) (0.17) (0.50) 1.61 1% 6) 39
VARIABLES TL MTL LD LD MLD TD TD MTD ROA -160.6-39.23-28.8-33.64-3.72-148.5-147.3-28.05 (-9.85)*** (-5.56)*** (-2.13)** (-2.53)*** (-0.99) (-7.96)*** (-7.88)** (-4.68)*** SIZE 3.00 2.72 0.12 0.53 0.24 0.1 0.00 0.92 (4.69)*** (9.86)*** (0.23) (1.00) (1.64)* (0.14) (0.00) (3.92)*** NDTS -192.6-59.13 22.57-60.03 14.73-147.5-127.5-29.3 (-5.78)*** (-4.1)*** (0.82) (-1.93)* (1.93)* (-3.87)*** (-2.92)*** (-2.39)** TOBIN'S Q -2.43-3.04-1.62-1.2-0.66-3.25-3.35-2.11 (-4.49)*** (-12.95)*** (-3.61)*** (-2.68)*** (-5.27)*** (-5.24)*** (-5.33)*** (-10.55)*** GROW 5.33 2.6 1.21 1.51 0.47 3.75 3.68 1.51 (5.61)*** (6.32)*** (1.54) (1.94)* (2.16)** (3.45)*** (3.38)*** (4.31)*** INSTITU 0.086 0.01-0.016-0.01-0.013 0.075 0.073 0.002 (3.76)*** (0.844) (-0.83) (-0.46) (-2.39)** (2.87)*** (2.8)*** (0.29) VOLTY 32.79-2.48 7.31 7.23-4.42 31.39 31.41-5.28 (2.11)** (-0.37) (0.57) (0.57) (-1.24) (1.77)* (1.77)* (-0.93) TANG 16.77-4.06 (5.44)*** (-0.94) 799 799 799 799 799 799 799 799 R 2 0.305 0.461 0.042 0.076 0.101 0.239 0.239 0.299. 40
Listed Unlisted 80 70 60 50 40 30 20 10 0 1 3 5 7 9 11 13 15 17 19 21 23 25 27 29 T Listed Unlisted 80 70 60 50 40 30 20 10 0 B C2 D C0 C4 C1 C8 C6 C7 G/C5 C3 Total 41
=100*(A110101 14 +A110227)/A100000; =100*(A110301+A110401+A110501+A110637 +A110702+A110801+A111901+A111001+A111101+A111801)/A100000; =100*A111227/A100000; =100*(A111301+A111401+A111502+A111701+A111937 +A111601)/A100000; =100*A110000/A100000; =100*A130000/A100000; =100*A120527/A100000; =100*(A140101-A140113); =100*(A140000-A140101+A140113+A150101+A120901+A120801) /A100000; =100*A100000/A100000; =100*(A210101+A212101)/A400000; =100*(A210201+A210301+A210401+A210501+A210601+A210701 +A210801+A210901+A211001+A211101+A211201 +A211301 +A212001+A211701)/A400000; =100*(A211401+A211501+A211601+A211801 +A211901+A212201+A212301+A212401)/A400000; =100*A210000/A400000; =100*A230101/A400000; =100*(A220101+A220201)/A400000; =100*A410000/A400000; =100*(A220301+A220401+A220501+A220602+A220416) /A400000; =100*(A200000+A410000)/A400000; =100*A300000/A400000; =100*A400000/A400000. (1) =(A200000+A410000)/A400000; =(A210101+A212101+A220101+A220201)/A400000; =(A210101+A212101+A220101+A220201)/(A400000- A210000+A210101+A212101); =(A210101+A212101+A220101+A220201)/ (A210101+A210201+A220101+A220201+A300000); I =(B140101+B110604)/B110604; II=(B140101+B110604+D610601+D610701+D610801)/B110604; =(B140101+B110604+C110401+C110501)/B110604 14 A100000 CSMAR (2001 ) 42
( D610601 ); (2) : TL=A200000+A410000; TA=A400000; TD=A210101+A212101+A220101+A220201; EQUITY=A300000; NA=A400000-A210000+A210101+A212101; EBIT=B140101+B110604; INTEREST=B110604; EBITDA=B140101+B110604+D610601+D610701+D610801; =B140101+B110604+C110401+C110501( D610601 ); 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) 400000 MVE+A200000+A410000; A300000 MVE. (1998-2000), CASHFLOW=D100000; EQUITY=D310101+D620501+D320615-D320601; DEBT=(D310201+D310116+D310501+D310301) -(D320101+D620101+D620201+D620401+D620501+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=B140101+B110604; PDEBT=B110604; PDIVIDEND=B230403*B140101/B150101; PCapitalGain=(B150101-B230403)*B140101/B150101; 43
Sum_ebit, Sum_debt, Sum_dividend, Sum_CapitalGain,, =sum_debt/ Sum_ebit; =Sum_Dividend/ Sum_ebit; =Sum_CapitalGain/Sum_ebit. : LD=(A220101+A220201)/(A300000+A220101+A220201); TD=(A220101+A220201+A210101+A212101) /(A300000+A220101+A220201+A210101+A212101); TL=(A200000+A410000)/(A300000+A200000+A410000); MLD, MTD MTL, B/H (MVE)= *2000 A300000 MVE : 1994 2000, ROA=(B140101+B110604)/A100000; SIZE=log(B110127) =log(b110101-b110113); TANG=A130000/A100000; TAX=(B140204-B140601)/(B150101+B140204-B140601); NDTS=C110401/A100000 (1997 ) = D610601/A100000(1997 ); Tobin s Q=(A100000-A300000+MVE)/A100000 (MVE)= *2000 ; GROW=Dif(sales)/sales sales=b110127 =B110101-B110113 dif() 44
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