3
5% 998 A B
3 3. 3. 3.3 3.3. 3.3. 3.3.3 3.3.4 3.3.5 4 5 5. 5. 5.3 6 A A
IPO 7 998 647 63.74% 96.5% 99 A 99 5 967.98 637.85 56.9 - A 993 4.36%5.7%.48%6.53% 997 4% 997 %6% - 99-3 99 65% 5% 995 998 999 - -4 995 995 5% 85% -3.385% 998 -% % 3
995 998 53.5% 65.86% 6 6% 4% 998-5 - A 99 5 5 99 5 5 993 94.83 8.58 8.58 76.4 994 49.6 5.6 5.6 99.78 995.68 6.83 6.83 85.5 996 4.45 69.89 69.89 94.34 997 655.6 98. 98. 853.6 998 4.59 365.43 334.97 3.46 778. 999 5.88 38.7 3.97 59.75 893.6 84.87 686.5 59.45 66.7 665. 967.98 894.76 637.85 56.9 5.94 3 4 - (A) (%) (%) 993 76.4 6335.4 4845.6 4.36 5.7 994 99.78 76.6 56..38.93 995 85.5 9339.8 695.45.9.4 996 94.34 683.33 7937.75.76 3.7 997 853.6 7.47 849.96 7.96.47 998 778. 49.94 9.39 6.77 8.55 999 893.6 846.36 874.7 8.4. 665. 3346.6 74..48 6.53-3 % % % 99 53 48. 68.7 3.73 9.7 65. 5. 993 83 8. 933. 888. 9.63 48.76 37. 994 9 339. 68. 68. 6.3 5.8 38.8 995 33 495. 958. 337. 4.37 54.4 4 996 53 635. 94. 34.. 53.7 4.6 4
997 745 966.58 484.77 4835.8 7.68 5.6 38.8 998 85 47.5 666.76 64.76.4 49.49 38. 999 949 67.36 7639.35 8468..7 5.57 39 88 673.88 79.77 594. 6.5 53.49 4. -4 % 995.4 5.48 36.3 9.5 48.78 4.73 996 4.75 49.4 35.85 3.3 39.38 57.4 997 5.43 5.3 3.35-3.8 47.5 56.3 998 3.73 46.8 4. -.55 5.63 59.93 999 4.3 5.5 34.63-5.83 55.33 6.5 9.9 53.3 7.59 - - - 995 999 WIND - -5 % 995 58.76 4.4 53.89 46. 996 57.95 4.5 4.69 59.3 997 6.75 38.5 45.56 54.44 998 53.5 46.48 45.79 54. 999 59.63 4.37 47.77 5.3 65.86 34.4 - - -4-6 % 995 5.6 55.96 8.4. 59.34.67 996.89 55.9..93 66..85 997 3.6 53.89.85 3. 6. 4.58 998.84 44.59 34.57 4.46 57.5 8.3 999.75 44.33 3.9 4.73 56.9 8.36 3.5 43.46 6.4 - - - -4 5
-3 99993 996 %996 % 998 999 997 6%7% 995 4.3% 5% 5% 6% -6 A 4% -3 5% A 7% 5 958 (Modigliani) (Miller) MM MM MM MM MM MM 6 6
Modigliani and Miller963 Farrar and Seluyn967 Stapleton 97 Baxter(967)Kraus and Litzenbergt973 7 (Miller977) 8 De Anglo Maslis(98)Kim98987 D Dm - - D D D m D m D m 7
MM JensenMeckling(976) Contractual Theory of Capital Structure S.Ross977 S.Myers and N.Majluf,984 The Pecking Order - % 75 54 46 6 44 75 34 55.7 5 46 54 38 56 5 66 44.9 3 9 3 3 3 8 7.86 46 3 39 4 59 3. 6-5 4-7.43 944 99 97 985 R.HubbardMoney,the Financial System and the Economy. - 55.7% 44.9%.86% 3% 75% 9% 3% 8% 7% 3% 59% % (Federal Reserve Board989) 7 8 8 987 78 98 3 95 3 8
% 8 988 4 8 3 7 994 994 - - 9 99 993 994 995 996 3.4 9.9 3.3-9 -.6 7.3-44.9-74. -8.6 44 45.. 4.5 3.3 3.4 63.4 48. 5.7 57.8 997 - - - - A IPO 3 9
() 3 3. 4.4% 5.85% 5.94% 6.3% IPO 3. 936 946 963 963 967 Modigliani and Miller966
3.3 999 995 997 999 997 8 9 CAPM L.Lowenstein99 3 Stern Stewart & Co,. EVA 4 3.3. DK EK DK = SD + SD + LD 3- SD SD LD 5 EK = EK j ER 3- j= j= EK EK EK 3 EK 4 j A A 3 4 43 8
EK ER ER 5 3.3. 3 3 DC DC 35 3.3.3 EC CAPM r r = ( r ) β 3-3 i f m r f i r i = rf + ( rm r f ) β i 3-4 r i r r rm r i f m f EC i = r + ( r r ) β 3-5 f m f i EC i i i β i 3.3.4 DK EK C = DC ( T ) + EC 3-6 V V C T V V = E + D + D 3-7 E D D S S 3.3.5 L L
3 V 5 = DK + EK V 4 998 998 6 3 5 4-998 A B A B B A 998 7 7 3463. 4358.57 999 6 5 5534.76 967.46 8 4 4 593.8 88457.7 7 4 46734. 5.4 5 3
Wind 4-998 a % % b % % 998 8.69 6.48-4 7.5 999 6.5 3.9 9 3.6 c 6.3.44 5.56 d 6.3 3. -6-9. a 35 b cd 3 35 4-4- 998 998 β β 5 4-3 % 998 8.8 3.9 5.6.45 5.98 48..5 5.77.9 4.6 5.6 5.6.7 38.66 8.4 9.5 93.99 7.5 6.8 4.47.65 6. 8.95 6. 999 8.4.79 9.65 6.76 5.34 47.66 4
9.75 7.57 8.96 7.64 3.6 3.6 38.33 8.6 34.8 5.89 8.9 98.9 6.7.85 9.39 7.3.9 8.9.54 6.58 6.7 4.43 69.8 3.9.84 9. 7.78 8.4 4.84 4.84 49.87 4.5 35.95 4.8. 95.7 7.33 5.36 6. 5. 4.93. 6.7 -.5 * 3.64-6.7 * 66.8 33.7 6.37.58 * 5.74 9.8 * 7.9 7.9 34.63-3.6 * 3.78 -.3 * 97.9 7.45 6.55-5.7 * 6.3-47.33 * 7.55.8 4-3-5 3-6 * 9 B A B B A A A B β 4-3 998 8.8% 3.9% 5.6%.45%999 999 8.4%.79% 9.65% 6.76%.54% 6.58% 6.7% 4.43% 998 38.66% 4.47% 4.5% 5.36% 6.7% 3.64% -9.% 5
.4% 4-3 998 5.98%999 5.34% 69.8% 66.8%-3-5 5 A B 5. lnc = α + β ln EC + β ln DC + β ln EKB + β ln DKB + β ln ZFK + β ln ZFK+ β ln ZFK + β ZFK3 + β IR + β TYPE + ε 7 () 8 9 3 4 5 6 5- ln * * C EC DC 3-6 EKB DKB 6
EK EKB = 5- EK + DK DK DKB = 5-3 DK + DK ZFK ZFK ZFK ZFK3 ZFK ZFK ZFK3 IR TYPE B TYPE A TYPE ε EC EC KBAV ln C = α + β ln EC + β ZFK3 + β KBAV 7 8 + β ln EC + β KBAV 9 + β EKB 3 + β EKB + β TYPE + ε 4 + β ln ZFK 5 + β ln ZFK 6 5-4 998 5 OLS 5- R R.98F D.W 7
5- lnc I β i t β i t α -.38 -.5.394 7.99** ln EC.778 9.437***.394 6.844*** ln EC.847.984 ln DC.69 3.35** EKB.9 8.997**.3 6.44** EKB -. -.736 * -.37 -.554 * ln ZFK -.94 -.65 ln ZFK.548.637 -.74 -.8 ln ZFK -.554 -.65.7.55 * ZFK 3.734.86 *.474.54 ln IR.6945. * KBAV -.46 -.96 KBAV.6.99 TYPE.89 3.6**.33.595 5 5 R.985.95 R.985.939 D. W.634.395 F 6.5 79.8 ( Pr ob > F ) (.) (.) ****** t %5%% t ln EC % ln DC EKB TYPE 5% EKB ZFK3 ln IR % ln ZFK ln ZFKln ZFK % 8
3-6 TYPE A/B t ZFK3 D.W R R F t 5 t 5. 5 5-5- (%) 9
SL SL LL LL TL LL 4.69 8.84 7.54 8.3 6.959 3.4 4.887 9.9.65.5.55.4 5-.65%.55% % 5% ln C α + β SL + β SL + β LL + β LL + β TL + β TL + ε 5-5 = 3 4 5 6 ln C = 3 4 5 6 7 α + β SL + β SL + β LL + β LL + β TL + β BAV + β BAV + ε 5-6 5 3 lnc II β i t β i t
.63 33.9***.694 4.55*** SL.35.94.447.9 SL 5.444.63* 4.5.4 LL.566.895.7.69* LL 4.698.39 4.33.4 TL -6.468 -.79* TL.336.988* -5.897 -.5* BAV 7. -..77 7 BAV.95.46 5 5 R.9.44 R.97.4 D. W.838.6 F 3.88.9 (Pr ob. F) (.3) (.73) ****** t %5%% 5-3 OLS F D.W R R 5% % SL TL TL LL TL 5% 999 5%
5.3 A B 6
3 3
( ) % A K X ( T ) = A V K X T V A ( X KdD)( T ) S Kd( T ) D D K = + A V V V V Kd S D A ( TD) = α + α X ( T + α A + µ A V ) 3 X A V T 4
D µ A A V TD A X ( T ) A = α + α + α + α 3 + η A A A A α α α ρ ρ = / α K K α 3 dd C = ρ T K da A3 999 999 9 997 997 5 997 8, 9 9 9 963 963 L. 99 999 Bar-Yosef,,Sasson,978, The Cost of Equity Capital, European Economic Review, Federal Reserve Board989, Balance Sheets for the U.S. Economy,949-988. 5
Modigliani,F and M.Miller,958, The Cost of Capital, Corporation Finance and the Theory of Investment, American Economic Review 53,697. Modigliani,F and M.Miller,,963, Corporation Incom Taxes and the Cost of Capital : A Correction, American Economic Review,June. Ross,S.A.,985, Debt and Taxes and Uncertainty,Journal of Finance,4, July. Modigliani,F and M.Miller,,966, Some Estimates of the Cost of Capital to the Electric Utility Industry, 954957American Economic Review. Meyers,S.C,984, The Capital Structure Puzzle, Journal of Finance,39 Mayer,Colin,988, New Issues in Corporate Finance, European Economic Review,3 Jensen,M. and Meckling,W. 976, Theory of the Firm :Managerial Behavior, Agency Costs and Capital Structure,,Journal of Financial Economics 3,May. 6