* *, - 1 -
- 2 -
/ (1) (2) (3) (4) - 3 -
1 5 2 8 2.1. 8 2.2. 11 2.3. 12 3 14 4 19 5 30 6 35 6.1. 35 6.2. 35 37 39-4 -
1., 2003 adverse selection, (agent problem) (moral hazard) 2001 4 26 2002 2003 1-8 2002-5 -
- 6 - (free ride)
- 7-2003 /
- 8 - / (free ride) / / / 2. 2 1
Myers 2000 partnership model (corporate model) Myers value of continuing Myers, (2003) Fama, Jensen(1983), De Angelo (1985) La Porta, Lopez-de-Silanes, Shleifer Vishny (1997,1999) Jensen & Meckling (1976) (tunneling), (Johnson, La Porta, Lopez-de-Silanes, Shleifer 2000) - 9 -
Barclay Holderness(1989) 1978-1982 63 20% Dyck Zingale(2003) 1990-2000 Bargaining Power - 10 -
2 2 (1) (2) (3) (4) (Jensen and Meckling, 1976; Green, 1984) Brennan and Kraus(1987); Brennan and Schwartz (1988)) Constanides and Grundy(1989) Stein(1992) Constanides and Grundy(1989) Sten(1992) (adverse selection) - 11 -
(Stage Finance) (Sequential Finance) Mayers (1998) 2 3 Grossman and Hart (1982), Jensen (1986) Grossman and Hart (1982) - 12 -
- 13 - Jensen (1986) Rajan 1992 Free-rider problem Rajan 1992 / 2003 :
- 14-3 (break even) / Rajan 1992 1. 0 I e 1 e 0,
1 G B G q B 1-q 2 1 G X H X L X H Pg X L 1-P g 1 B X L 0 X L P b 0 1-P b 1 L : X H >X L >I>L>P b X L 1 q(e,θ) G P g X H I X L B P b 0 0 -------- 1----------- 2 q q = q(e, ),e q 1 (e,θ)> 0, q 11 (e,θ)< 0, q 2 (e,θ)> 0, A1 k k 1 max q( e, θ )( P X + (1 P ) X ) + (1 q( e, θ )) L e (1) e g H g L 1 q1( e, θ ) = ( PX + (1 P) X ) L g H g L (2) 1 1 (1) - 15 -
2. 2 D 1 1 2 D 1 X L >D 1 >0 G B 0 qeθ D 1 + qeθ PD 1 1 (, ) (1 (, )) b e max q( e, θ )( P X + (1 P ) X D ) + (1 q( e, θ )) P ( X D ) e (3) e g H g L 1 b L 1 c e 1. (q(e, θ) + (1 qe (, θ)) P) D I (4) c c 1 1 b 1 c * e 1. = e 1 (5) D 1 (4) (3) (4), q ( e, θ ) = 1 1 (1 Pb ) I XHPg + XL(1 Pg) XLPb qe ( *, θ) + P qe ( *, θ) P 1 b 1 b (6) (6) (2) (A1) q 11 (e,θ)< 0 qe ( *, θ)( PX + (1 P) X ) + (1 qe ( *, θ)) PX e* (7) 1 g H g L 1 b L 1 (7) (2), 3 D 2 µ 2 X X 1 1 2 3-16 -
µ X D µ X > > (8) 2 H 2 2 L qe (, θ )( µ X P + (1 P) D) + (1 qe (, θ)) PD I (9) c c 2 2 H g g 2 2 b 2 e max qe (, θ )((1 µ ) X P + (1 P)( X D)) + (1 qe (, θ )) P( X D) e (10) e 2 H g g L 2 b L 2 (9) µ 2, D 2 (9) (10) q ( e, θ ) = 1 1 I Pb D2 XHPg + (1 Pg) XL PbXL qe ( *, θ ) 2 (11) µ X > D q(e c, θ)d +(1-q(e c, θ ))P D < I e*>e* 2 H 2 2 2 2 b 2 2 g H g L 2 b L 2 1 2 qe ( *, θ )( PX + (1 P) X ) + (1 qe ( *, θ )) PX e* (12) (12) e* 2 2 e* 2 e*>e* 1 2 (12) (7) 4. I 1 B, L 1, µ ( (1 ) ) 3 pgxh + pg XL L + L 3 [0,1] µ µ L 3-17 -
qe (, θ )( µ ( p X + (1 p ) X L) + L) + (1 qe (, θ)) L c c 3 3 g H g L 3 max q( e, θ )(1 µ )( P X + (1 P ) X L) e (13) e 3 g H g L 1 q1( e, θ ) = (1 µ )( X P + (1 P ) X L) 3 H g g L (14) qe ( *, θ )( PX + (1 P) X ) + (1 qe ( *, θ )) L e * (15) 3 g H g L 3 3 µ 3 [0,1] (15) (12),(7) µ 3 θ Rajan θ [0,1], θ θ θ > θ 2002 θ - 18 -
4 1997 3 6 2003 08 04 89 2003 2002 1996 8 80 2000-19 -
- 20 -
/ www.cninfo.com.cn 2003 CSMAR 2003 WIND 2001 4 1 20003 8 1 A 1 A A B B B 900901 2002 1 A 2001-2003 2001 2002 2003 54 18 7 79 2003 8 1 2001 2003 A 3-21 -
2 2 A 2001-2003 2001 2002 2003 334 242 202 436 3 2001 2002 2003 N 54 334 1045 21.66 33.93 38.64 63.38 88.75 98.89 0.91 0.69 0.69 Std Dev 19.48 22.93 21.59 N 18 242 1120 39.69 25.31 36.66 58.29 87.36 99.38 17.37 0.95 0.79 Std Dev 12.31 24.13 23.67 N 7 202 1165 38.85 45.53 48.65 50.24 87.04 99.29 18.99 8.27 1.26 Std Dev 10.12 15.57 15.95 CSMAR 3 3 2001 2003 21.66% 38.85%, 33.93% 45.53% 38.64% 48.65 2002 39.69% 25.31% 36.66% 2000 2001 2001 2000 2001 2002 4 4-22 -
4 N 54 334 1060 ( 3.826 2.91 2.69 2001 (%) 46.3 38.71 41.73 (%) 11.39 11.18 13.4 N 18 242 1139 ( 4.98 3.8 3.26 2002 (%) 41.4 42.95 42.16 (%) 13.78 9.04 11.33 N 7 202 1188 ( 5.13 4.99 3.46 2003 (%) 50.89 44.15 41.62 (%) 13.47 15.06 13.56 CSMAR 5 5 2001 2002 2003 N 54 334 1060 (%) 37.18 37.56 34.74 Std Dev (%) 15.32 14.55 13.57 N 18 242 1139 (%) 32.36 36.5 35.87 Std Dev (%) 13.9 14.22 13.52 N 7 202 1188 (%) 29.38 35.68 36.24 Std Dev (%) 8.42 14.61 13.43-23 -
5 2002 2003 2001 2 6 2001 2002 2003 N 54 334 1060 (%) 9.79 12.71 7.9 Std Dev (%) 4.7 5.44 30.8 N 18 242 1139 (%) 10.87 12.13 6.1 Std Dev (%) 3.12 4.61 16.73 N 7 202 1188 (%) 10.33 12.14 6.11 Std Dev (%) 1.25 6.26 14.08 6 Stien(1992) 2 t Wilcoxon - 24 -
/ (book-to-market ratio) / 7 / / 7 / 2001 2002 2003 N 54 334 1060 / (%) 23 64 18.7 19.62 Std Dev (%) 10.3 9.36 10.74 N 18 242 1139 / (%) 33.22 25.57 27.97 Std Dev (%) 13.76 11.8 14.59 N 7 202 1188 / (%) 42.08 36 36.05 Std Dev (%) 11.91 16.3 18.71 / 2001 2002 2002 2003 panel data 2001 2001 Y 2001 Y=1 Y=0 2001 3-25 -
334 54 364 8 30% 8 A 10 83.33 2 16.67 12 B 4 80.00 1 20.00 5 C 156 82.98 32 17.02 188 D 26 96.30 1 3.70 27 E 8 100.00 0 0.00 8 F 11 68.75 5 31.25 16 G 23 92.00 2 8.00 25 H 24 96.00 1 4.00 25 I 4 80.00 1 20.00 5 J 8 88.89 1 11.11 9 K 5 62.50 3 37.50 8 L 4 100.00 0 0.00 4 M 27 84.38 5 15.63 32 310 85.16 54 14.84 364 9-26 -
9 n mean Std Dev Minimum Maximum (%) 364 57.02 25.86 7.41 94.3 (%) 364 37.04 14.4 3.08 100 (%) 364 12.17 5.42 0.29 52.9 (%) 364 19.26 19.99 0.41 85.91 / (%) 364 19.16 9.44 3.88 55.6 (Probit ) : ' ( ) ( ) P= Pr Y = 1 = f X β 10 1% 2002-4 10% 2002 / 3.5776 1% / - 27 -
0.0144 1% ( ) ( ) ' 10 P= Pr Y = 1 = f X β Chi Square Pr>Chi -0.83 1.65 0.199 A -0.5409 0.88 0.3472 B -0.1576 0.04 0.8382 C -0.2 0.33 0.5679 D -1.5749 5.98 0.0145 E -5.7958 0 0.9997 F -0.1983 0.17 0.6842 G -0.275 0.3 0.5824 H -0.8645 1.91 0.1667 I 1.403 3.02 0.0821 J 0.1669 0.05 0.8176 K 0.224 0.15 0.7031 L -6.094 0 0.9998 *** -0.0213 7.34 0.0067 0.179 0.07 0.7953 * -4.0139 3.06 0.08 *** 0.0144 6.9 0.0086 / *** 3.5776 11.25 0.0008-118.3899 364 F Probit *** 1% ** 5% * 10% / 40 100-28 -
WTO 11 11 Chi Square Pr>Chi -0.823 1.59 0.2079 A -0.5314 0.85 0.3658 B -0.1521 0.04 0.8431 C -0.1845 0.28 0.5998 E -5.7488 0 0.9997 F -0.1817 0.14 0.7099 G -0.2903 0.33 0.5632 H -0.8315 1.77 0.183 J 0.2028 0.08 0.7794 K 0.2378 0.16 0.6869 L -6.0775 0 0.9998 *** -0.0227 7.89 0.005 0.2435 0.12 0.7345-3.649 2.51 0.1129 ** 0.0143 6.56 0.0104 / *** 3.413 10.06 0.0015-112.75 332 F Probit *** 1% ** 5% * 10% 11 10% / 1 / - 29 -
2 5 40 60 A 1 j 0 c c c c ( P P ) ( I I ) AR, = log log 0 1 j,0 j, 1-30 -
j 1 c c c c ( P P ) ( I I ) AR, = log log 1 0 j 1 j,1 j,0 c c c c ( P P ) ( I I ) AR, = log log 1 2 j, 1 j, 2 c Pj, 2 P c j, 1 P c j, 0 c c Pj, 1 I 2 I c 1 I c 0 I c 1 A A A 2-1 0 1 AR 1 n t = AR j, t n j = 1 AR t t AR j, t t j t = 40, 19, L,0, L19,60 n CAR t t = i= 40 AR i t 40 t 40 60 2002 60 60 60 12 *** 1% ** 5% * 10% - 31 -
12-1.08% 1% 25 39 40 42 0 Eckbo (1986) 1.25% 2002-3.52%. 12 t AR t AR t AR t AR t AR -40-0.06-20 0.30 1-0.08 21 0.02 41-0.03-39 0.01-19 -0.10 2 0.05 22-0.07 42 *-0.27-38 -0.07-18 0.04 3-0.23 23 0.23 43 0.00-37 0.40-17 0.14 4 0.06 24-0.22 44-0.02-36 -0.03-16 0.03 5-0.03 25 *-0.29 45 0.30-35 -0.04-15 -0.02 6 0.24 26 0.11 46 0.14-34 -0.16-14 -0.17 7 0.08 27 0.11 47 0.02-33 -0.03-13 -0.31 8-0.18 28-0.08 48 0.06-32 -0.09-12 0.05 9-0.17 29 0.14 49 0.14-31 -0.06-11 0.05 10-0.05 30 0.04 50-1.31-30 -0.27-10 -0.08 11 0.09 31 0.07 51-0.12-29 -0.28-9 -0.11 12 0.01 32 0.11 52-0.02-28 -0.19-8 0.27 13 0.06 33 0.21 53-0.07-27 -0.01-7 0.08 14 0.28 34-0.06 54 0.24-26 -0.82-6 0.02 15 0.04 35 0.06 55 0.15-25 -0.02-5 0.10 16 0.02 36-0.01 56 0.16-24 -0.78-4 0.17 17-0.06 37 0.05 57-0.07-23 0.02-3 -0.07 18-0.19 38-0.10 58-0.16-22 -0.20-2 0.05 19-0.17 39 **-0.38 59 0.16-21 0.29-1 0.17 20-0.05 40 **0.36 60 0.12 0 ***-1.08 1 t -40 40 0 60 60 2 100 3 t Wilcoxon *** 1% ** 5% * 10% - 32 -
0.5 0-0.5-1 -1.5-2 -2.5-3 -3.5-4 -40-30 -20-10 0 10 20 30 40 50 60 1 1 2001 2003 100-2.94% 2003 120-2.98% 0.5 0-0.5-1 -1.5-2 -2.5-40 -30-20 -10 0 10 20 30 40 50 60 2 2001-33 -
0-1 -2-3 -4-5 -6-7 -8-9 -10-40 -30-20 -10 0 10 20 30 40 50 60 3 2002 10 5 0-5 -10-15 -20-40 -30-20 -10 0 10 20 30 40 50 60 4 2003 2-4 2001-2003 1 2-34 -
6 6.1 1 2 3 / / 4 1.08% 40 60 6.2 1-35 -
2 3 4-36 -
6 11 (6) (3) (3) y 1 = q( e, θ)( PgXH + (1 Pg) XL D 1 ) + (1 q( e, θ)) Pb( XL D 1 ) e y 1( e) = q11( e, θ )( PgXH + (1 Pg) XL D1 Pb( XL D1)) = q ( e, θ )( P ( X X ) + (1 P )( X D )) 11 g H L b L 1 q 11 ( e, θ ) < 0, X L > D 1, y 1 ( e) < 0 y 1 (3) (11) (10) (10) 2 θ µ 2 H g g L 2 θ b L 2 y = q( e, )((1 ) X P + (1 P )( X D )) + (1 q( e, )) P ( X D ) e y 2( e) = q11( e, θ )((1 µ 2) XHPg + (1 Pg)( XL D2) Pb( XL D2)) = q ( e, θ )((1 µ ) X ( X D )) P + (1 P )( X D )) 11 2 H L 2 g b L 2 q ( e, θ ) < 0, X > D, (1 µ ) X ( X D ) 11 L 2 2 H L 2 (1 µ ) X ( X D ) > 0 2 H L 2 y ( e) 0 2 < y2 (10) (6) e * > 0 1 1 q ( e, θ ) < if e * > e > 0 (1 P ) I 1 1 b XHPg + XL(1 Pg) XLPb qe (, θ) + Pb qe (, θ) Pb 16 (3) e +, y 1 e>0 e>e q ( e, θ ) < 1 1 (1 Pb ) I XHPg + XL(1 Pg) XLPb qe (, θ) + P qe (, θ) P b b (6) (16) (10) e * > 0 2 1 q1( e, θ ) < if e 2* > e > 0 I Pb D2 XHPg + XL(1 Pg) XLPb qe (, θ ) 17-37 -
e * > e * 1 2 q(e c, θ)d +(1-q(e c, θ ))P D < I 2 2 2 b 2 1 1 < I Pb D2 (1 Pb ) I XHPg + XL(1 Pg) XP L b XHPg + XL(1 Pg) XP L b qe (, θ) qe (, θ) + P qe (, θ) P b b q ( e *, θ ) = b 2 XHPg + XL(1 Pg) XLPb qe ( 2*, θ ) 1 2 1 I P D 1 (1 Pb ) I XHPg + XL(1 Pg) XLPb qe ( *, θ) + P qe ( *, θ) P 2 b 2 b > q ( e *, θ ) 1 2 16 e * > e * 1 2-38 -
Barclay, M., and C. Holdeness, 1989, Private Benefits of Control of Public Corporations, Journal of Financial Economics 371-395 Brannan, M., and A. Kraus, 1987, Efficient Financing Under Asymmetric Information, Journal of Finance 42, 1225-1243 Brannan, M., and E. Schwartz, 1988, The Case of Convertibles, Journal of Applied Corporate Finance 1, 55-64 Constanides and Grundy, 1989, Optimal Investment with Stock Repurchase and Financing as Signals, Review of Financial Studies 2, 445-465 Dyck, A., and L. Zingales, 2003, Private Benefits of Control: AN International Comparison, Forthcoming in Journal of Finance Eckbo, B., 1986, Valuation Effects of Corporate Debt Offerings, Journal of Financial Economics 15,393-414 Fama Eugene, Michael Jensen, 1983, Separation of Ownership and Control, Journal of Law and Economics, 26, 301-325 Green, R., 1984, Investment Incentives, Debt and Warrants, Journal of Financial Economics 13, 115-136 Grossman, S., and O. Hart, 1982, Corporate Financial Structure and Managerial Incentives, In J. McCall, ed: The Economics of Information and Uncertainty, University Chicago Press Jensen, M., and W. Meckling, 1976, Theory of the Firms: managerial Behavior, Agency Costs and Ownership Structure, Journal of Financial Economics 3, 305-360 Jensen, M., 1986, Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers, American Economic Review 76, 323-339 Myers, S., 2000 Outside Equity, Journal of Finance, 1005-1037 Rajan, R. 1992, Insiders and Outsiders: The Choice between Informed and Arm s- Length Debt, Journal of Finance, 1367-1400 - 39 -
Ross, S., 1977, The Determination of Financial Structure: The Incentive Signaling Approach, Bell Journal of Economics 8, 23-40 Stein, J., 1992, Convertible Bonds as Backdoor Equity, Journal of Financial Economics 32, 3-21 2003, 2002 2003 2003 2003, 2003-40 -