1.1 77 2 (Exchangeable Bond) 79 4 84 87 Dann and Mikkelson(1984) Green(1984) (straight debt) Stein(1992) 1
1.2 (partial anticipate) 1 ( ) 2 1 Chaplinsky & Hansen(1993) 2 Chaplinsky & Hansen(1993) Jung, Kim & Stulz(1996) 2
1.3 79 1 90 12 79 1 90 12 (333 ) (56 ) 79 90 10 79 90 12 835 TEJ 3
1.4 79 90 4
1-4-1 5
(Pecking Order Theory) (external financing) (1) (2) 2.1 (agency conflict) 6
(agency cost of managerial discretion) Jensen and Meckling(1976) Jensen(1986) Stulz(1990) (risky debt) (residual claim) (NPV) 3 Green(1984) (straight debt) Jung, Kim, Stulz (1996) 3 (risk-shipping hyphthesis) (asset-substitution hypothesis) 7
(back-door equity) Stein(1992) (adverse selection) Myers Majluf (1984) Jung, Kim, Stulz (1996) (1) (2) Stein(1992) call provision Plicher(1955) 82% (debt-sweeteners) Billingsley and Smith(1996) ( ) Mann, Moore, and Ramanlal(1999) (cost of financial distress) Stein(1992) 8
Jensen, Meckling(1976) Bernnan and Schwartz(1988) Stein Myers(1997) (sequential-financing problem) ( ) 9
Mayers(1997) (call) ( Stein,1992 ) 2.2 Bayless and Chaplinsky(1991) Junh Kim Stulz(1996) logit Bayless and Chaplinsky(1991) Junh Kim Stulz(1996) Lewis, Rogalski, and Seward(1999) Green Stein Black-Scholes 10
(equity like) (debt like) 2.3 Jensen and Meckling (1976) Galai and Masulis (1976) (Leverage-related Information Hypothesis) Ross(1977) 11
Mikkleson and Partch(1986) 4 Myers and Majluf (1984) Kim(1990) Kim ( ) 12
13 (1997) 79 87 2 (1996) (CAR) (1993) Echbo (1986) (1996) (1995) 80 83 17 30 20
2.4 Myers and Majluf(1984) Bayless and Chaplinsky(1991) ( ) 5 Chaplinsky and Hansen (1993) Chaplinsky and Hansen 5 Eckob(1986) James(1987) Hansen and Cruchley(1990) Bayless and Chaplinsky(1991) (cumulative announcement prediction error CAPE) 14
2.5 Lewis, Rogalski, and Seward(1999) (2001) Bayless and Chaplinsky(1991) Lewis, Rogalski, and Seward(1999) 6 (equity-like) (debt-like) 6 (1996) (1997) 15
3.1 Lewis, Rogalski & Seward(1999) ( ) 3.2 3.2.1 Jung, Kim, Stulz (1996) 16
3.2.2 Stein(1992) (Backdoor- Equity Hypothesis) Jung, Kim & Stulz (1995) 3.2.3 Bayless & Chaplinsky(1991) ( ) Chaplinsky & Hansen (1993) 17
18 3.3 79 90 12 105 172 635 ( 88 ) 835 TEJ 3.4 3-3-1 79 90 3-3-2 CAR LEADINDX CUAR FCFR / ROA AMOUNT TA
(CV_E) (CV_CF) (DR) (LTDR) ( / CFR) (CR) TAX BTM RND / LEADINDX ( ) Myers & Majluf(1984) 19
7 7 20
3-3-1 DEBT CB EQUITY Variable Mean Std Mean Std Mean Std CAR -0.894 40.91 8.239 33.8348 16.0503 55.7492 LEADINDX 103.16 2.721 103.309 2.5213 103.0478 2.5932 CUAR 0.400 0.217 0.475 0.2111 0.4951 0.2027 ROA 6.959 6.895 9.575 7.3460 10.1767 10.5080 FCFR 0.0014 0.177-0.016 0.2125-0.0041 0.2901 AMOUNT 17,767 25040 11,664 2528 9,443.1 99397 TA 41,571,715 56027660 19,077,249 20163567. 7,487,414 11278005 CV_E 11.4259 227.5450 14.2077 33.0204 37.9818 399.0151 CV_CF 46.4605 51.9780 24.9467 53.1229 32.4848 49.0015 DR 0.4458 0.998 0.4419 0.1093 0.419 0.1433 LTDR 0.1356 0.0947 0.1134 0.1057 0.0822 0.0855 CFR 0.2798 0.6168 0.2697 0.444 0.2505 0.5489 CR 1.5876 0.845 1.788 0.8193 1.959 1.7269 TAX 8.9626 13.9852 8.5362 13.3567 11.8671 19.2151 BTM 0.7839 0.3412 1.1314 1.2679 0.8904 0.6937 RND 0.1268 0.2667 0.196 0.3326 0.139 0.312 CAR LEADINDX CUAR ROA FCFR / AMOUNT TA CV_E CV_CF DR LTDR CFR ( / ) CR TAX BTM RND / LEADINDX 21
3-3-2 T DEBT VS EQUITY DEBT VS CB CB VS EQUITY CAR -4.55*** -4.55*** 1.67** LEADINDX 0.56 0.56-0.8 CUAR -5.53*** -5.53*** 0.75 ROA -4.83*** -4.83*** 0.61 FCFR 0.31 0.31 0.44 AMOUNT -0.75-1.48* 0.22 TA 8.18*** 8.18*** -4.69*** CV_E5-1.13-1.13 0.49 CV_CF15 3.33*** 3.33*** 1.12 DR 2.81** 2.81*** -1.54 LTDR 7.37*** 7.37*** -2.36** CFR 0.61 0.61-0.33 CR 3.94** 1.69* 1.41 TAX -2.24** -2.24** 1.86* BTM -2.59** -2.59** -1.48 RND -0.53-0.53-1.42 *** 0.01 ** 0.05 * 0.1 22
Logistic (logistic regression model) 79 90 4.1 logistic (logistic regression) logistic logistic 0 1 0 1 4.1.2 0 1 4.1.1 Logistic (binary) (qualitative choice model) 23
Probit Logit ( 0 1 ) [0,1] Probit Logit Probit Logit Logistic Logit Logit (logistic probability function): Pi 1 1 = F( Zi ) = = Z ( ) 1 i α + βx + e 1 + e i P i Z i e = 1 Pi Zi = log( ) 1 P Pi log( 1 P I P I P ) = α + βx log [Pi / (1- Pi )] = Zi = b1? X1 + + bi Xi Pi = Prob(Zi =1) 1 - Pi = Prob(Zi =0) i i i i = 1 Zi = 0 Xi i i 24
pseudo-r 2 Wald 2 H0 Wald = (?ß 1 / S? ß ) 2 ß 1 = S? ß = Logit pseudo-r 2 Wald 2 4.1.2 logistic 0 1 0 1 [0,1] Lewis, Rogalski and Seward(1999) Black-Scholes N(d 2 ) [0,1] N(d2) 1 25
50% (equity-like) 50% (debt-like) d 2 d 2 = ln 2 S σ ( ) + ( r div ) X σ T 2 T s x r div / T ( ) S 1, S 2,,S 52 B-S R t R t =ln(s t /S t-1 ) 2 2 ˆσ 2 = 1 N 1 i= 1 N ( R i R) 2 B-S 2 (IID) 2 52 8 4-1-1 79 90 8 pp307-308 26
0.3828 0.2126 0.4002 4-1-1 4.2 (1) (CAR) Lucas and McDonald (1990) Stein 27
(2) (LEADINDX) Choe, Masulis and Nanda(1993) (3) (SIZE) (4) (financial slack) (FCFR) Myers and Majluf(1984) (FCF) FCF ( / ) (5) (PROCEED) Krasker(1986), Richard, Rogalski and Seward(1999) / (1) (CV_E CV_CF) 9 9 Lewis, Rogalski and Seward(1998) Lewis, Rogalski and Seward Green Brennan and Schwartz 28
(2) (DR LTDR) ( / ) ( / ) (1) (TAX) / (1) (book to market ratio BTM) Myers(1977) ( )/ 10 (2) TobinsQ(TOBQ) Tobin s q / Chung and Pruitt(1994) q / 29
(1) (DEVDR) (static theory) (2) (IND) ( 23 24 ) Mikkelson (1981) Chew (1983) f(type 11 )=(CAR, LEADINDX, SIZE, FCFR, PROCEED, CV_E, CV_CF, LTDR, DR, TAX, TOBQ, BTM, DEVDR, IND) 11 TYPE 30
4-2-1 logit 12 CAR LEADINDX Log( ) SIZE / FCFR / PROCEED CV_E CV_CF / DR / LTDR / TAX Tobin s q TOBQ / / BTM DEVDR + 1 0 IND + 12 logit 0 1 31
4.3 333 115 218 4-3-1 logistic 0 1 13 (1) (2) (3) 1 ( 0.01 ) 4-3-1 ( -0.133 P 0.01) 13 0.5 05 32
33 Krasker(1986) Kraster TOBQ ( 0.745 =0.01 ) (2) 1 0 ( 0.822 P 0.024) (3) ( -0.035 P 0.079) ( -2.625 P 0.092)
( ) 1 84.7% (2) (3) 85.3% 85.6% Wald ratio (3) (pseudo-r 2 0.3194) (3) 34
4-3-1 logistic Parameter sign 1 (2) 3 Estimate p-value Estimate p-value Estimate p-value Intercept 32.417*** <.0001 31.6*** <.0001 26.265*** <.0001 CAR + 0.004 0.237 0.005 0.241 0.004 0.235 LEADINDX + -0.133** 0.011-0.145** 0.005-0.133*** 0.008 FCFR - -0.152 0.826 0.236 0.666-0.048 0.942 PROCEED - 0.002 0.243 0.003 0.119 0.001 0.367 SIZE - -1.250*** <.0001-1.15*** <.0001-0.918*** <.0001 DR + 0.026** 0.04 0.030** 0.019 0.050*** 0.01 LTDR + -2.478 0.151-1.805 0.278-2.625* 0.092 CV_E + -0.0000 0.87 0.00012 0.739 0.002 0.554 CV_CF + 0.0126*** 0.001 0.006 0.144 0.009** 0.018 TAX - -0.0029 0.856 0.001 0.753-0.011 0.336 TOBQ + 0.745*** 0.003 0.790*** 0.003 0.794*** 0.001 BTM - -0.056 0.758-0.170 0.616 0.023 0.942 IND + 0.822** 0.0244 0.854** 0.030 DEVDR + -0.035* 0.079 Pseudo-R 2 0.3104 0.3037 0.3194 WALD 81.825*** 85.437*** 83.685*** 84.7% 85.3% 85.6% 1 79 90 108 274 382 logistic 0 1 (Pseudo-R 2 ) Wald 2 2 *** 0.01 ** 0.05 * 0.1 35
4.4 4.3 79 90 4.3 logistic 56 56 14 56 45 11 16 40 41 35 6 4-4-1 10 35(I) 45 6(II) 5 11 16 40 56 4-4-2 14 logistic Y=0 0.5 (equity-like) (debt-like) 36
4-4-2 DIFF=I N=35 DIFF=II N=6 Variable Mean STD Mean STD Variances t P-Value LEADINDX 103.1993 2.520989 103.2833 3.359266 Equal -0.07 0.943 CAR 5.241162 31.01432 4.525786 20.70658 Equal 0.05 0.9571 LNTA 15.85713 0.670574 17.4541 0.579022 Equal -5.48 <.0001 FCFR -0.01719 0.239498 0.020537 0.245701 Equal -0.36 0.7243 PROCEED 29.37809 69.87748 26.49426 40.96593 Equal 0.1 0.9228 CV_CF15 18.49234 44.45656 55.94535 87.00128 Unequal -1.03 0.3458 DR 43.66314 10.31961 51.32833 12.55471 Equal -1.63 0.1108 LTDR 0.086538 0.089334 0.154756 0.177176 Unequal -0.92 0.395 TAX 10.49343 16.56548 1.146667 2.100197 Unequal 3.19 0.0028 TOBQ 1.075724 0.867975 0.620211 0.58306 Equal 1.23 0.2254 BTM 0.912486 0.421105 1.032257 0.289997 Equal -0.67 0.509 IND 0.228571 0.426043 0.166667 0.408248 Equal 0.33 0.7427 1 TYPE=I TYPE=II 2 Variances DIFF=I DIFF=II t DIFF=I DIFF=II 3 *** 0.01 ** 0.05 * 0.1 37
5.1 Event Study 1. 2. 0 -t t t t 38
3. 20 20 4. 300 30 (mean-adjusted method) CAPM CAPM Brown and Warner(1980) CAPM AR it = R it 1 T T t= 1 R it (CAR) CAR i = ARit H0 39
TYPE=0 TYPE=1 ERROR=0 ERROR=1 DIFF=0 DIFF=1 5.2 ( ) 5-2-1 20 20 (-1,+1) (0,5) 5-2-1 Window N CAR Std p-value (-1,+1) 56-0.835* 3.6199 0.09 (-5,0) 56 0.107 4.6166 0.863 (0,5) 56-1.021** 3.535 0.0351 (-20,+20) 56 1.1237** 3.605 0.0233 * 0.1 ** 0.05 40
(equity-like) (debt-like) 5-2-2 (-1,+1) (-5,0) Kim(1990) 5-2-2 Debt-like N=45 Equity-like=1 N=11 Variable Mean Std P-value Mean Std P-value Variances P-value (-1,+1) -0.932 3.89973 0.116-0.437 2.223 0.529 Unequal 0.029 (-5,0) -0.079 4.28677 0.9026 0.866 5.964 0.640 Unequal 0.525 (0,5) -0.602 3.275673 0.224-2.734* 4.185 0.056 Equal 0.853 (-20,+20) 1.110* 3.746395 0.0531 1.179 3.117 0.238 Equal 0.051 (ERROR=0) (ERROR=1) Miller and Rock (1985) John and Williams(1985) 41
5-2-3 ERROR=1 N=41 ERROR=0 N=15 Variable Mean Std P-value Mean Std P-value Variances P-value (-1,+1) -1.307 3.996 0.043 0.4567 1.846 0.354 Unequal 0.5817 (-5,0) -0.0918 5.039 0.908 0.65 3.276 0.46 Equal 0.5477 (0,5) -0.967 3.528 0.087-1.167 3.674 0.239 Equal 0.0727 (-20,+20) 1.6901 3.516 0.0037-0.4267 3.495 0.644 Equal 0.9553 Bayless and Chaplinsky(1991) (DIFF=1) ( CAR=-1.587%) Bayless and Chaplinsky 5-2-4 DIFF=0 N=35 DIFF=1 N=6 Variable Mean Std P-value Mean Std P-value Variances P-value (-1,+1) -1.259* 4.304687 0.0925-1.587** 1.285 0.0293 Unequal 0.7181 (-5,0) -0.135 4.633833 0.8638 0.163 7.5548 0.9598 Unequal 0.9284 (0,5) -0.616 3.380457 0.2884-3.02 3.999 0.1241 Equal 0.1254 (-20,+20) 1.5526** 3.717756 0.0187 2.4983 1.999 0.0281 Equal 0.5494 42
5.3 Jung, Kim and Stulz(1996) (3) CAR(-1, +1)= f (LEADINDX, CAR, FCFR, PROCEED, SIZE,, CV_E, DR, TAX, TOBQ, BTM, IND, TYPE,ERROR, DIFF) 15 5-3-1 56 (-1,+1) 16 (4) (7) Tobin sq Lucas and McDonald (1990) Stein 5-3-1 43
(4) (6) (5) (7) Mayers and Majluf(1984) (5) 17 Bayless and Chaplinsky(1991) (41/56) (6) ERROR=0 ERROR=1 Bayless and Chaplinsky(1991) ( ) ( ) (R-square 27.35% 31.58%) (DIFF=0 DIFF1 ) (R-square 30.97%) 44
5-3-1 [CAR(-1.+1)] (4) (5) (6) (7) Variable Estimate P-Value Estimate P-Value Estimate P-Value Estimate P-Value Intercept -45.15** 0.042-43.57* 0.055-34.985 0.123-49.80 0.169 LEADINDX 0.357* 0.072 0.336* 0.097 0.3220* 0.1001 0.487* 0.084 CAR 0.032* 0.09 0.030* 0.0773 0.0309* 0.100 0.025 0.351 FCFR -4.402* 0.10-4.745 0.1280-4.3684* 0.098-5.2897 0.131 PROCEED -0.015 0.129-0.01657 0.1105-0.0146 0.144-0.0119 0.365 SIZE 0.519 0.34 0.417 0.474 0.150 0.798-0.139 0.900 CV_E -0.04** 0.03-0.04** 0.038-0.03** 0.043-0.037 0.102 DR -0.031 0.543-0.008 0.871-0.0126 0.810-0.034 0.604 TAX -0.0386 0.2943-0.03817 0.3100-0.0423 0.2433-0.031 0.496 TOBQ 1.493* 0.108 2.265*** 0.005 1.5611* 0.089 2.116* 0.095 BTM -1.221* 0.09-1.364* 0.076-1.3328* 0.069-0.2379 0.907 IND 1.059 0.400 1.118 0.388 1.1457 0.357 0.492 0.767 TYPE 0.446 0.729 ERROR -1.795* 0.1002 DIFF 1.32339 0.613 R-Square 27.34% 27.35% 31.58% 30.97% CAR LEADINDX FCFR / PROCEED / SIZE CV_E DR TAX BTM ; TOBQ Tobin sq IND IND=0 IND=1 LEADINDX TYPE TYPE=0 TYPE=1 ERROR ERROR=0 DIFF DIFF=0 45
( ) (Tobq) ( ) ( ) ( ) 46
6.1 1. 2. 3. 4. ( 47
) 6.2 1. TEJ 2. 3. 4. 6.3 48
1. 2. 3. 49
1. (1992 ) 2. (1993 ) 3. pp307-308 4. (1996 ) 5. (1993) 6. (1996) 7. (1994) 8. (1991) 9. (1997 ) - 10. (1995 ) 11. (1993) 12. (2001) -
38 1 13. (1997 ) 14. 15. SAS
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