aragciv54mac.dvi

Transcription

1 ( 4 ) Modigliani-Miller(1963) IRR ( ) NPV IRR NPV IRR NPV IRR 100 EBIT 20 20% τ (1 τ) 20% CC tax = S V ρ S + B V (1 τ)ρ B (1) S B V ρ S CAPM 1

2 ρ B *1 (1) MM *2 ( ) MM MM ( ) MM (1 τ) 20% (1) CC tax CC tax CC tax 1 CC tax *1 Brealey-Myers-Allen(2011) Ross-Westerfield-Jaffe(2011) *2 Modigliani-Miller(1958) Modigliani-Miller(1963) Modigliani-Miller(1963) MM MM Arditti-evy(1977) Ben-Horim(1979) Boudreaux-ong(1979) evy-sarnat(1990) 2

3 CC tax 2 CC tax 2 * *3 Myers(1984) Myers-Majluf(1984) ( ) ShyamSunder-Myers(1999) Fama-French(2002) Frank-Goyal(2003) 3

4 ( ) 2 Hayashi(1982) Dixit-Pindyck(1994) Bolton-Chen-Wang(2011) eland(1998) Morellec(2004) 1 Giat-Hackman-Subramanian(2010) DeMarzo-Fishman-He-Wang(2012) Hackbarth-Mauer(2012)

5 2 2.1 * EBIT S B S B V V senior debt EBIT EBIT µ σ Φ(µ,σ ) *5 K K= kv ( ) τ 1 V V ( B) B V + B τ[ V ( B)] V + B Q S τ( V [ B]) Q S = 0 (> ) ( V + B ) (V + B> ) Q S V + B (2) *4 Tsuji(2012) *5 N(µ,σ 2 ) 5

6 3 S > 0 V B( S )>0 V + B (2) 1 ( ) 2 3 Q B Q B K >K Q (>K) B = ( ) K (> K ) 0 (K> ) >K 1 2 K 3 K Q (K ) ( ) B = (4) 0 (> ) 2 S B CAPM 1 S B [ E( Q (>K) B B= [ E( Q (K ) B S = E( Q S ) λ cov( R M, Q S ) (5) 1+R F ]/ ) λ cov( R M, Q (>K) (1+R F ) (>K ) B ) ) λ cov( R M, Q (K ) B ) ]/ (1+R F ) (K ) R F R M (3) (6) λ= E( R M ) R F σ( R M ) 2 (5) (6) partial moment f ( ) Φ(µ,σ ) 6

7 F( ) E( Q S )=µ [1 τ+τf(v + B) F()]+σ 2 [ f () τ f (V + B)] [1 F()]+τ(V + B)[1 F(V + B)] cov( R M, Q S )=cov( R M, )[1 τ+τf(v + B) F()] E( Q (>K) B )=[1 F()] K[F() F(K)] +µ [F() F(K)] σ 2 [ f () f (K)] cov( R M, Q (>K) B )=cov( R M, )[F() F(K)+ K f ()] E( Q (K ) B )=[1 F()] cov( R M, Q (K ) B )=cov( R M, ) f () 2.2 CAPM ( ) eland(1998) Morellec(2004) CAPM ( ) µ σ cov( R M, ) Q S Q B ( ) (2) (3) ( (4) ) (5) (6) (5) (6) S B µ σ k λ R F cov( R M, ) τ µ σ 3 *6 3 *6 k cov( R M, ) 7

8 S = S (,µ,σ ) B= B(,µ,σ ) V = V (,µ,σ )=S (,µ,σ )+ B(,µ,σ ) µ σ µ σ µ σ µ σ µ σ µ σ *7 µ σ 2 EBIT EBIT EBIT EBIT EBIT ω EBIT ( ) ( ) µ *7 Hart(1995) 8

9 ω µ ω µ 1 µ =ω α α>0 (7) α 1 µ ω α *8 = arg max V (,µ,σ ) (8) ( ) σ S σ = arg max σ S (,µ,σ ) (9) (7) (8) (9) 3 µ σ µ σ µ =ω α (10) V (,µ,σ )=0 (11) S (,µ σ,σ )=0 (12) µ σ ω α 2 S B *8 Jensen-Meckling(1976) Myers(1977) EBIT Tsuji(2012) Appendix ((7) EBIT (7) 1 2 9

10 ω α S = S (ω,α;,µ,σ ) B= B(ω,α;,µ,σ ) V = V (ω,α;,µ,σ ) EBIT 1 ω ( ) 10 EBIT 50 1 α 0.2 k 0.4 τ E( R M )=0.11 σ( R M )=0.18 R F =0.06 corr( R M, ) 0.2 E( R M ) 11% (1.11) E( R M )= λ µ =47.41 σ =23.66 =12.93 (10) (11) (12) 3 S B V DR B/V ROA R ROA = ω V V (13) ω (50.0) (10 ) ROA R ROA 1 * % *9 ROA (13) R ROA (1+R ROA )

11 1 ω α k τ E( R M ) σ( R M ) R F λ corr( R M, ) µ σ S B V DR ROA ( )E( R M ) σ( R M ) R F 1 1 λ 1 10 ω µ σ 1 10 DR B/V ROA ( ) (13) R ROA 1 2 ω ω µ σ S B V DR ROA ( )ω ω ω µ σ S B V 1.2 DB ROA 1 (10) ω µ

12 1 *10 I I I B I S I= I S + I B I I I S I B (0) α (0) µ (0) σ (0) V ( ω (0) ( S ω (0) σ µ (0) =,α ; (0),µ (0) α (0) (10),α ; (0),µ (0),σ (0),σ (0) ) = 0 (11) ) = 0 (12) Φ ( ) µ (0),σ (0) (0) S (0) B(0) S (0) = S ( ω (0),α ; (0),µ (0) B (0) = B (,α ; (0),µ (0),σ (0),σ (0) ) ) *

13 Φ ( ) µ (1), (1) S (1) B(1) (1) µ (1) (1) σ S ( ) = arg max S (1),µ (1) σ,σ (10) (14) µ (1) µ (1) = α (1) (15) α α (1) *11 B(1) S (1) S (1) = S ( ω (1),α ; (1),µ (1) B (1) = B (,α ; (1),µ (1),, I I B ) (1 (0) B (1) = I B (16) (1) I B (1) ( ) (1) B (1) 1 (0) ( ) (1) (0) I (1) B 1 (0) B (1) (1) I B I B (0) B (1) B (0) (1) ) ) *11 (15) α α α ( ) 13

14 I S 1 S P(0) 1 P (1) n (0) S S (0) = n(0) S S S n(1) S S I S /P (1) S S (1) S (1) = n(1) S P(1) S = n(0) S + I S P(1) S P (1) S P (1) P (0) = S (0) + I S+ n (0) S (P(1) S P (0) S ) (17) I S S (1) ( 3 ) P (1) S (17) P (1) S P (0) S S (1) S (0) + I S P (1) S = P (0) S ( ) S (1) = S (0) + I S ( = arg max S ω (1) σ,α ; ) (1),µ (1),σ (14) (1 (0) (1) ( S ω (1),α ; (1),µ (1) µ (1) = ) B (,α ; (1),µ (1), S (0) P (0) S α (1) (15) ) S ( ω (0),,α ; (0),µ (0) ) = IB (16) ),σ (0) = IS (18) (14) σ (15) (16) (18) (16) (18) 4 (0) I S I B µ (1) µ (1) 4 (1) (14) (15) 14

15 (16) (18) 2 (1) µ (1) (1) R q ω(1) ω(0) I I (1 ) (I B I S ) I I B I S R q I B R q R q R q (I B ) R q (19) min R q 0 I B I I S = I I B (20) I B I B R q ROA (19) R q 1 (13) R ROA 2 1 S (1) S (0) = I S I S = S (0) I B B (1) S (0)= B (1) 15

16 I B (1) B (0) = I B (16) (0) (1) B(1) = B (0) (21) (21) 1 I B B (0) (21) B (0) 1 ω c c = cω(0) = cσ (0) = ω(1) σ (0) (22) 2 I( ) B (0) /V (0) I B /I I B I S I B I S B (,α ; (1),µ (1) ( S ω (1),α ; (1),µ (1) = ω(1) σ (0) (22) µ (1) = α (1) (15) ) (, B ω (0),α ; ) (0),µ (0),σ (0) = IB (23), ) S ( ω (0),α ; (0),µ (0),σ (0) ) = IS (18) (18) (15) (23) (22) (23) 16

17 3 µ (0) σ (0) (0) S (0) B (0) V (0) DR ROA µ (1) (1) S (1) B (1) V (1) I B I B /I RRI ( )ω µ σ 1 10 (0) (1) DR B/V ROA ( ) (13) R ROA 1 RRI ( ) (19) R q 1 (22) 4 µ (1) (1) 4 ω(0) (19) I= 2 3 I= I B I S B (0) ) B(1) ) (S (1) (S (0) I S I B (1) =14.46 µ (1) = I=2 =50 ω(1) =55.91 R q % ( 3 RRI ) RRI R q 1 RRI ROA B (0) /V (0) I I B I S 1 I=2 I B 0 2 ( I S = I I B ) ((22) (15) (23) (18) 4 ) R q R q R q R q R q 1 R q I B I S B (0) S (0) 17

18 RRI I B 1 (I B ) ( ) I B I S R q ( ) (I B ) R q I B I I B 1 I I B R q I B 1 I I B R q I B 3.3 R q R q I B I S R q (20) 4 I B = 2 I= 2 R q 18

19 0.119 RRI I B 2 (I B ) ( ) 4 ( ) µ (0) σ (0) (0) S (0) B (0) V (0) DR ROA µ (1) (1) S (1) B (1) V (1) I B RRI ( ) 3 I B 0 2 R q 2 I B R q ( B (1) 8.28 I B 2 ) 1 S (0) σ (1) S (1) σ (1) σ (0) = 0 [σ,σ ] S (1) 19

20 σ σ = ω(1) σ σ (0) 1.3 σ (0) ω σ σ 30% 4 σ σ 4 1 R ROA R q R q R ROA σ (0) 20

21 4 I α k τ λ corr( R M, ) I B /I 1.0 ( ) B (0) OldB OldB OldB B (0) DR (0) DR (1) 1 [σ,σ ] σ ω(0) σ (0) RRI ROA 5 ( (0) ) 2 DR(0) ROA RRI 6 50 I RRI 5 7 α α DR (0) α=0.16 α= % 20% 7 α RRI 8 9 k ( 8) τ ( 9) 21

22 k τ DR (0) k τ RRI k RRI 8 9 τ RRI λ 11 corr( R M, ) λ corr( R M, λ corr( R M, ) RRI λ corr( R M, ) 1 (1) RRI 5 11 CC tax RRI tax *12 10% 15% 5 CC tax RRI tax CC tax 2 α (0) µ (0) σ (0) α 1 ( ) α (0) µ (0) σ (0) *12 RRI tax = (1 τ)rri 10 1 CC tax RRI tax 22

23 µ (0) µ (1) 5 σ (0) (0) S (0) B (0) V (0) DR (0) ROA CC tax (1) B (1) DR (1) OldB I B /I RRI RRI tax ( ) DR (0) DR (1) B (0) /V (0) B(1) /V (1) ROA (13) R ROA RRI (19) R q 1 CC tax (1) OldB B (1) I B I B /I 1.0 RRI tax (1 τ)rri α=0.2 k=0.4 τ=0.45 I=2.0 λ=3.24 corr( R M, )=0.2 I µ (0) µ (1) 6 I σ (0) (0) S (0) B (0) V (0) DR (0) ROA CC tax (1) B (1) DR (1) OldB I B /I RRI RRI tax ( ) α=0.2 k=0.4 τ=0.45 λ=3.24 corr( R M, )=0.2 5 α µ (0) µ (1) 7 α σ (0) (0) S (0) B (0) V (0) DR (0) ROA CC tax (1) B (1) DR (1) OldB I B /I RRI RRI tax ( ) k=0.4 τ=0.45 I=2 λ=3.24 corr( R M, )=

24 k µ (0) µ (1) 8 k σ (0) (0) S (0) B (0) V (0) DR (0) ROA CC tax (1) B (1) DR (1) OldB I B /I RRI RRI tax ( ) α=0.2 τ=0.45 I=2 λ=3.24 corr( R M, )=0.2 5 τ µ (0) µ (1) 9 τ σ (0) (0) S (0) B (0) V (0) DR (0) ROA CC tax (1) B (1) DR (1) OldB I B /I RRI RRI tax ( ) α=0.2 k=0.4 I=2 λ=3.24 corr( R M, )=0.2 5 λ µ (0) µ (1) 10 λ σ (0) (0) S (0) B (0) V (0) DR (0) ROA CC tax (1) B (1) DR (1) OldB I B /I RRI RRI tax ( ) α=0.2 k=0.4 τ=0.45 I=2 corr( R M, )=

25 corr( R M, ) µ (0) µ (1) 11 corr( R M, ) σ (0) (0) S (0) B (0) V (0) DR (0) ROA CC tax (1) B (1) DR (1) OldB I B /I RRI RRI tax ( ) α=0.2 k=0.4 τ=0.45 I=2 λ= I 15% [1](period[1]) [2](period[2]) 10 1 S (0) B(0) E( R M ) σ( R M ) R F λ 1 10 corr( R M, ) k τ k=0.3 τ [1] 515 [2] 592 α ( ) 3.1 [1] 442 [2] 576 ( =σ ) [1] 284 [2] 572 σ [2] [1] 3 [1] 3 [2] σ [1] 253 [2]

26 12 period[1] period[2] 1 (A) (B) (B)/(A) 91.5% 97.6% (C) (C)/(B) 93.8% 99.7% ( ) period[1] ( [1]) period[2] ( [2]) α σ (0) (0) µ (0) 3.1 [1] 1 31 [2] σ σ σ σ 13 RRI tax CC tax *13 CC tax RRI tax (s.d.) CC tax RRI tax 2 CC tax RRI tax di f f di f f CC tax RRI tax di f f [1] [2] [1] 0.78% [2] 18.54% [1] di f f 130 [2] di f f 6 CC tax RRI tax [1] [2] CC tax 13 RRI tax CC tax 3 t-test *13 4 CC tax 5 CC tax CC tax 26

27 13 CC tax RRI tax CC tax RRI tax di f f period[1] period[2] period[1] period[2] period[1] period[2] mean s.d min max difference: test statistics correlation firms di f f > 0 t-test di f f - Wilcoxon Pearson Spearman Kendall period[1] period[2] ( ) RRI tax CC tax di f f di f f = (CC tax RRI tax )/RRI tax t-test RRI tax CC tax t diff- f f = 0 Wilcoxon Pearson Spearman Kendall 5% 1% t- di f f - di f f - 3 Wilcoxon [1] RRI tax CC tax [2] 1% RRI tax CC tax 13 3 (Pearson) [1] [2] Spearman Kendall 3 [2] [1] 3 2 1% 14 [1] [2] RRI tax CC tax RRI tax [1] [2] RRI tax CC tax % RRI tax CC tax 27

28 14 CC tax RRI tax total 278 same movement 183 (percentage) (65.8%) ( ) total RRI tax [1] [2] RRI tax same movement CC tax ( ) 1% 18% CC tax RRI tax 6 MM

29 1 (7) (15) α [1] Arditti, F. D., and H. evy The Weighted Average Cost of Capital as a Cutoff rate: A Critical Analysis of the Classical Textbook Weighted Average. Financial Management 6: [2] Ben-Horim, M Comment on The Weighted Average Cost of Capital as a Cutoff Rate. Financial Management 8: [3] Bolton, Patrick, Hui Chen, and Neng Wang A Unified Theory of Tobin s Q, Corporate Investment, Financing, and Risk Management. Journal of Finance, Vol.66, No.5 (October, 2011), pp [4] Boudreaux, K. J., and H. W. ong The Weighted Average Cost of Capital as a Cutoff Rate: A Further Analysis. Financial Management 8: [5] Brealey, R. A., S. C. Myers, and F. Allen Principles of Corporate Finance(tenth edition). McGraw-Hill/Irwin. [6] DeMarzo, Peter M., Michael J. Fishman, higuo He, and Neng Wang, Dynamic Agency and the q Theory of Investment, Journal of Finance Vol.67, No.6 (December, 2012), pp [7] Dixit, A. K., and R. S. Pindyck Investment under Uncertainty. Princeton University Press. [8] Fama, Eugene F., and Kenneth R. French, Testing Trade-Off and Pecking Order Predictions about Dividends and Debt, Review of Financial Studies, Vol.15, No.1 (Spring, 2002), pp [9] Frank, M.., and V. K. Goyal, Testing the Pecking Order Theory of Capital Structure, Journal of Financial Economics Vol.67, No.2 (February, 2003), pp [10] Giat, Yahel, Steve T. Hackman, and Ajay Subramanian, Investment under Uncertainty, Heterogeneous Beliefs, and Agency Conflicts, Review of Financial Studies Vol.23, No.4 (April, 2010), pp [11] Hart, O Firms, Contracts, and Financial Structure. Oxford University Press. [12] Hackbarth, Dirk, and David C. Mauer, Optimal Priority Structure, Capital Structure, and 29

30 Investment, Review of Financial Studies, Vol.25, No.3 (March, 2012), pp [13] Hayashi, Fumio Tobin s Marginal q and Average q: A Neoclassical Interpretation, Econometrica, Vol.50, No.1 (January, 1982), pp [14] Jensen, M. C., and W. H. Meckling Theory of the Firm: Managerial Behavior, Agency Costs, and Ownership Structure. Journal of Financial Economics 3: [15] eland, H. E Agency Costs, Risk Management, and Capital Structure. Journal of Finance 53: [16] evy H., and M. Sarnat Capital Investment and Financial Decisions(fourth edition). Prentice Hall. [17] Morellec, E Can Managerial Discretion Explain Observed everage Ratios? Review of Financial Studies 17: [18] Modigliani, F., and M. H. Miller The Cost of Capital, Corporation Finance and the Theory of Investment. American Economic Review 48: [19] Modigliani, F., and M. H. Miller Corporate Income Taxes and the Cost of Capital: A Correction. American Economic Review 53: [20] Myers, S. C Determinants of Corporate Borrowing. Journal of Financial Economics 5: [21] Myers, S. C The Capital Structure Puzzle. Journal of Finance 39: [22] Myers, S. C., and N. S. Majluf Corporate Financing and Investment Decisions When Firms Have Information that Investors Do Not Have. Journal of Financial Economics 13: [23] Ross, S. A., R. W. Westerfield, and J. Jaffe Corporate Finance(ninth edition). McGraw- Hill/Irwin. [24] Shyam-Sunder, akshmi, and Stewart C. Myers Testing Static Tradeoff against Pecking Order Models of Capital Structure, Journal of Financial Economics, Vol.51, No.2 (February, 1999), pp [25] Tsuji, Y Measuring the Agency Costs of Debt: A Simplified Approach. Journal of Business, Economics and Finance 1: