RESEARCH REPORT 2004.4.8 0091
1 2 1
3 4 5 1 2 2
3 3
1 1 2 4 5 6 8 9 9 14 16 16 18 19 24 26 28
2001 2001 2000, 30000, 40000 1 1 2003 2 19 1
Prvate Equty Venture Captal IPO 2
Captal Structure Modglan Mller MM MM 3
1 D/A D/A* A B V1 A* B* V1* * 4
1 Myers 1977 2 Jensen 1986 Myers Myers 1977 assets n place growth opportuntesmyers 1977 Hovakman Opler Tman 2001 5
Barclay Morllec Smth 2001 Bradley 1984Smth Watts 1992Barclay Smth 1995Goyal 2001 Oper 1999 1974-1994 Telser 1966 6
Ttman 1984 Maksmovc and Ttman 1991 Opler and Tman 1994 Phllps 1995 Kovenock Phllps 1995 Chevaler 1995a 1995b Kovernock Phllps 1997 Zngales 1999 1980 40 4589 5 1050 Zngales 8 7
Rajan Zngales(1995) (G-7 ) Demrgul-Kunt&Maksmorc(2001) Huang Song 2003 2001 8
9 2002 2003 2 INDUSTRY TAX CG FC ROE MC GROWTH SIZE DebT ε β β β β β β β β β + + + + + + + + + = 8 7 6 5 4 3 2 1 0 2
DebT SIZE GROWTH MC ROE FC CG TAX INDUSTRY β β ε 0 1 SIZE 3 Rajan Zngales(1995) Huang Song 2003 2002 2003 2 GROWTH 3 Ttman Wessels 1988 10
Myers Wald 1999 Myers 1977 Bradley 1984 Smth Watts 1992 Barclay Smth 1995 Goyal 2001 3 MC Maksmovc and Ttman 1991Opler and Tman 1994Phllps 11
1995Kovenock Phllps 1995 4 FC + Prowse 1990Homafar 1994 Bathala 1994 5 ROE Myers Majluf 1984 peckng order Ttman Wessels 1988 Farrar Tucker 1999 6 CG 12
Myers Majluf 1984 Prowse 1990 Macke 1990 Smth Watts 1992 Grer Zychowcz 1994 7 TAX Barton 1989 Prowse 1990 8 INDUSTRY 13
1 0 1 4 SIZE 5 GROWTH 3 MC FC ROE CG TAX INDUSTRY 2001 6 2 5000 SIZE = Log10 Tasset 4 Tassett 3 5 GROWTH = 1/ 3 t= 1 Tasset t Tasset t 1 / Tassett 1 100% 6 2001 2001 2001 14
2 1999 2 2003 2001 79 36 36 7 15 21 36 1999 1999 2003 2003 2 3 36 54.62% 47.10% 7.51% 40.08% 34.39% 5.58% 3.17 8 2 1999 36 0.6956 0.1819 0.5462 0.110178 36 0.6954 0.0730 0.4710 0.123737 36 0.3322 0.0000 0.0751 0.093811 36 8.8154 8.0578 8.4441 0.189660 36 7.2987-0.6635 0.9504 1.327511 36 0.9042 0.1334 0.3506 0.170765 36 2.3359 0.0110 0.3524 0.579172 36 0.4545 0.0589 0.1983 0.091574 36 0.9031 0.2454 0.5902 0.130880 36 0.7011 0.0010 0.1815 0.154529 36 1 0 7 8 2 3 15
3 2003 36 0.8489 0.0885 0.4008 0.163774 36 0.8489 0.0868 0.3449 0.162912 36 0.3068 0.0000 0.0558 0.071020 36 9.3595 8.4553 8.9454 0.189557 36 1.1823-0.3281 0.2045 0.290964 36 0.9205 0.0703 0.2964 0.171085 36 1.7386 0.0129 0.3838 0.357533 36 0.1209-0.5238 0.0219 0.101360 36 0.7487 0.1173 0.5246 0.139265 36 0.3522 0.0010 0.1216 0.090409 36 1 0 2 1999 2003 60.00% 50.00% 40.00% 30.00% 20.00% 1999 2003 10.00% 0.00% 4 5 4 1999 2 R 0.4756 8 47.56% F.0416 > F (8,27) 2. 30 95% 3 0. 05 = 16
2 R 2 0.4188 R 0.4544 F 95% 2003 2 R 0.7042 8 70.42% F.0366 > F (8,27) 3. 26 99% 8 0. 01 = 2 R 0.7986 R 2 0.2616 95% F 4 1999 0.2497 0.1875 0.0614 2.51 1.60 0.71-0.0103-0.0104 0.0001-0.62-0.53 0.00-0.1943-0.2231 0.0293-1.71-1.66 0.30-0.0453-0.0353-0.0100-1.61-1.06-0.41 0.1470 0.3033-0.1571 0.76 1.33-0.94-0.0118-0.4238 0.4128-0.08-2.46 3.26 0.0040-0.0300 0.0335 0.03-0.22 0.33 0.0073-0.0169 0.0244 0.22-0.43 0.86-1.5128-0.8234-0.6833-1.85-0.85-0.96 R 0.4756 0.4188 0.4544 F 3.0614 2.4324 2.8114 17
90% T 90% 95% 99% 5 2003 90% T 90% 95% 99% 0.3747 0.4280-0.0539 2.90 4.04-0.61 0.1185 0.1676-0.0491 1.61 2.77-0.97-0.1987-0.3270 0.1286-1.61-3.22 1.52 0.0265-0.0077 0.0342 0.55-0.19 1.03-1.2710-1.3585 0.0876-5.88-7.66 0.59 0.1990-0.0017 0.2005 1.46-0.01 2.14 0.2320 0.1631 0.0687 1.13 0.97 0.49-0.0381-0.0171-0.0211-0.99-0.54-0.80-3.0125-3.4006 0.3934-2.66-3.66 0.51 R 0.7042 0.7986 0.2616 F 8.0366 13.3857 1.1959 4 5 99% 95% 90% 18
99% 90% 90% 99% 90% 1 1 1999 1 2003 2 2 2 1 3 2 1 2 1 1 19
2 2 3 1 20
2 1 2 4 1 1 2 2 5 1 1 21
9 2 6 1 1 2 2 9 22
7 8 A 23
B 2 80% 24
1 25
2 3 1 Andre Shlefer, Robert W. Vshny, A Survey of Corporate Governance, Journal of Fnance, 1997, Vol.52, Page737-783. 2 Eugene F. Fama and Kenneth R. French, The Corporate Cost of Captal and the Return on Corporate Investment, 1998, http://www.ssrn.com. 3 Franco Modglan and Merton H. Mller, The Cost of captal, Corporaton fnance and the Theory of Investment the Amercan Economc Revew 1958, Vol.48,pp261-275. 4 John R. Graham, and Campbell R. Harvey, The Theory and Practce of Corporate Fnance: Evdence from the Feld Journal of Fnancal Economcs, 2001, Vol. 60, 187-243. 5 Laurence Booth, Varouj Avazan, Asl Demrguo-Kunt, and Vojslav Maksmovc, Captal Structure n Developng Countres, The Journal of Fnance, February 2001, Vol. 56, pp87-130. 6 Marsh, P. 1982, The choce between equty and debt: an emprcal study. Journal of Fnance 37, 121-144. 26
7 Mchael C. Jensen and Wllam H. Mecklng Theory of the Frm: Manageral Behavor, Agency Cost and Ownershp Structure Journal of Fnancal Economcs, October 1976, Vol. 3, No. 4, pp305-360. 8 Mchael C. Jensen, Agency Costs of Free Cash Flow, Corporate Fnance, and Takeovers, Amercan Economcs Revew, May 1986, Vol. 76, No. 2, pp.323-329. 9 Mlton Harrs, Artur Ravv, the Theory of Captal Structure, the Journal of Fnance, Vol46, March 1991, pp297-355. 10 Myers, S.C., 1977 Determnants of corporate borrowng, Journal of Fnance Economc. 5, 147-175. 11 Myers, S.C., Majluf, N.S. 1984 Corporate fnancng and nvestment decsons and when frms have nformaton, nvestors don`t have, Journal of Fnance Economc 13,77-107. 12 Nevns D. Baxter, Leverage, Rsk of Run And The Cost of Captal, the Journal of Fnance, Vol.22, Sep. 1967, pp395-403. 13 Raghuram G. Rajan, Lug Zngles, What Do We Know About Captal Structure? Some Evdence From Internatonal Data, The Journal of Fnance, December 1995, Vol.50,pp1421-1460. 14 Samuel G. H. Huang and Frank M. Song, The Determnants of Captal Structure: Evdence from Chna, Workng paper, The Unversty of Hong Kong, 2003. 15 Stephen C. Meyers, Captal Structure Puzzle, NBER Workng Paper, No.393 1984. 16 Ttman, S. and Wessels. 1988. The determnant of captal structure choce. Journal of Fnance. 43, 1-19 17 Vdhan K. Goyala, Kenneth Lehnb, Stanko Raccb, Growth opportuntes and corporate debt polcy:the case of the U.S. defense ndustry, Journal of Fnancal Economcs 64 (2002) 35 59. 18 2003 1 27
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