経営不振に陥った中小企業の存続期間と債務構成
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1 RIETI Discussion Paper Series 06-J-009
2 RIETI Discussion Paper Series 06-J-009 RIETI CRD 2001 Credit Risk Database CRD
3 1 90 Xu (2004a, 2004b) (2005) (2003) (2004) Helwege and Packer (2003) Kang and Stlutz (2000) duration 1 (duration analysis) 1 1
4 2001 Credit Risk Database CRD CRD CRD
5 3 CRD (duration analysis) Gilson (1990) James (1995,1996) (2005) 3
6 Gilson (1997) (von Thadden, Berglof, and Roland 2003; Franks and Sussman, 2005) (coordination failure) (hold-out) (coordination failure) (hold-out) Diamond (1993) Diamond and Rajan (2000, 2001) Welch (1997) Weiss 1990, Xu 2004a, b Petersen 4
7 and Rajan Credit Risk Database CRD CRD CRD (Analysis Time) 2 Ono (2001) Tsuruta (2004) (2004)
8 / / / 0.1% 0.1% 2 Table , , , , , ,440 7, , , ,098 18, , ,650 26,125 10, , CRD Table Table 2 2 6
9 ROA (TS_A total sales/assets / ) 4. Trade Payables Total Liability ratio CRD Total Loans Total Liability ratio 4 4 Trade Loans Total Liability ratio Trade Payables Total Liability ratio
10 Notes payable / Trade Payables 5 (Ordinary Income/Assets) (Ordinary Income/Assets * Log (Assets)) / (Cash/Total Liability) 5 8
11 (( + ) / (Land+Buildings)/Total Liability) 6 (Interest Rate) 7 (Interest Rate) ( 8 ) ( ) 9 6 CRD " " " " 7 8 ( ) 3 2 ( 3 ) 5,000 1,
12 10 CRD 11 (Credit guarantee) (SG dummy) (SG dummy) Credit guarantee* SG Dummy Caves (1988) Mata and Portugal (1994) Audretsch and Mahmood (1995) 1.8% 80% 3 8 ( 1 8 ) 1 ( ) ,250 2 (6 3 ) 8 1, % 11 (selection biases) 10
13 2 2 (2004) (Industry Dummy) (Regional Dummy) (Year Dummy) Table 3 Table 4 Kernel Density Function Figure 1 Figure 2 Table (1) (3) (6) (7) / (Trade Payables-Total Liability ratio) 12 (Trade Payables-Total Liability ratio (at the year of becoming distressed)) (2) 12 11
14 (Notes Payable / Trade Payables) (credit run) - / ( (3)) (4) (5) / / (Total Loans Total Liability ratio / / 1 (5) - / 12
15 10 (2006) 1 (Ordinary Income/Assets * Log (Assets))
16 Table Caves (1988) Mata and Portugal (1994) Audretsch and Mahmood (1995) (2004) 2 2 (Log(1+Firm Age)) 10 ( ) ( ) 14
17 Table5 1 1 Table 5 (6) 1 2 t Semi-parametric Cox Proportional Hazard Model 14 lnh(t) = lnh0(t) + X(t) 14 H(t X(t))= h0(t) exp(x(t) ) H(t X(t)] 2 (3 ) t (Hazard rate) (hazard rate) h(t)=lim t 0 + P(t<=T<=T+ t T>=t)/ t =f(t)/s(t) T S(t) t (survival function) f(t) (density function) h0(t) (Baseline hazard) Mata and Portugal (1994) 15
18 X Table logit (robustness) Semi-parametric Cox Proportional Hazard Model Weibull Distribution h(0)=λρ( ρt) λ-1 (Parametric Hazard Model) Table7 10 Schmidt and Witte (1989) Split 16
19 Population 15 Table8 Semi-parametric Cox Proportional Harzard Model (robust) Credit Risk Database CRD 2 15 Split population i i =1/(1+e Xia ) t t lnt i i t P i (1- i ) + i ((Xib-lnt i )/ ) Xi a b Schmidt and Witte (1989) 17
20 (robust) RIETI CRD CRD RIETI 18
21 DP Asquith, P., Gertner, R., and Shcafstein D. (1994). Anatomy of financial distress: an examination of junk-bond issuers, Quarterly Journal of Economics, Audretsch, David B. and Mahmood, Talat (1995), New firm survival: new results using a hazard function, The Review of Economics and Statistics 77, Caves, Richard E.(1998) Industrial Organization and New Findings on the Turnover and Mobility of Firms; Journal of Economic Literature 36, Diamond, Douglas W(1993). Seniority and Maturity of Debt Contracts, Journal of Financial Economics 33, Diamond, Douglas W.; Rajan, Raghuram G(2000).A Theory of Bank Capital; By Diamond, Douglas W.; Rajan, Raghuram G.; Journal of Finance 55, pp Diamond, Douglas W.; Rajan, Raghuram G.(2001) Liquidity Risk, Liquidity Creation, and Financial Fragility: A Theory of Banking; Journal of Political Economy 109, pp Franks, Julian and Oren Sussman (2005). Financial Distress and Bank Restructuring of Small to Medium Size UK Companies, Review of Finance, 9, Gilson, Stuart C. (1990). Bankruptcy, boards, banks, and block holders, Journal of Financial Economics 27, Gilson, Stuart C. (1997). Transactions Costs and Capital Structure Choice: Evidence from Financially Distressed Firms, Journal of Finance, March , Gilson, Stuart C., Kose John and Lang, Larry, H.P. (1990). Troubled debt restructurings, Journal of Financial Economics 27, Helwege, Jean and Frank Packer. (2003) Determinants of the choice of bankruptcy procedure in Japan, Journal of Financial Intermediation, 12,
22 James, Christopher (1995), When do banks take equity? An analysis of bank loan restructuring and the role of public debt, Review of Financial Studies 85, James, Christopher, (1996), Bank debt restructuring and composition of exchange offers in financial distress, Journal of Finance 51, Kang, Jun-Koo and Rene M, Stultz (2000). Do banking shocks affect borrowing firm performance? An analysis of the Japanese experience, Journal of Business, 73, Mata, Jose; Portugal, Pedro (1994), Life Duration of New Firms; Journal of Industrial Economics 42, Ono, Masanori. (2001), Determinants of Trade Credit in the Japanese Manufacturing Sector, Journal of the Japanese and International Economies 15, Petersen, Mitchell A.; Rajan, Raghuram (1997), Trade Credit: Theories and Evidence; Review of Financial Studies 10, pp Pulvino, Todd C. (1998), Do Asset Fire Sales Exist? An Empirical Investigation of Commercial Aircraft Transactions; Journal of Finance 53, Schimidt, Peter and Witte, Ann Dryden (1989), Predicting Criminal Recidivism Using Split Population Survival Time Model, Journal of Econometrics 40, pp Shleifer, Andrei and Vishny, Robert W.(1992) Liquidation Values and Debt Capacity: A Market Equilibrium Approach; Journal of Finance 47, pp von THADDEN, Ernst-Ludwig VON; BERGLOF, Erik; ROLAND, Gerard (2003), Optimal Debt Design and the Role of Bankruptcy; Discussion Paper, Université de Lausanne, Ecole des HEC, DEEP, Cahiers de Recherches Economiques du Département d'econométrie etd'economie politique (DEEP) Tsuruta, Daisuke. (2004), Bank Information Monopoly and Trade Credit: Does Only Bank Have Information? Evidence from Panel Data of Small Businesses in Japan, COE Discussion Paper Series, The University of Tokyo. Weiss, Lawrence A.(1990), Bankruptcy resolution, Journal of Financial Economics 27, Welch, Ivo ( 1997), Why Is Bank Debt Senior? A Theory of Asymmetry and Claim Priority Based 20
23 on Influence Costs; Review of Financial Studies 10, Xu, Peng (2004a). Bankruptcy Resolution in Japan: Corporation Reorganization vs. Civil Rehabilitation, RIETI Discussion Paper 04-E-010 Xu, Peng (2004b), Increasing Bankruptcies and the Legal Reform in Japan, Journal of Restructuring Finance, Vol.1, No. 2, , 2004 (2004) RIETI Discussion Paper Series 04-J-001 (2004) RIETI Discussion Paper Series 04-J-004 (2003) (2005) RIETI Discussion Paper Series (2006) RIETI Discussion Paper Series 21
24 Table 1: The Number of Bankrupt Firms and Surviving Firms the year when firms suffer distressed Total Bankrupt Firms ,782 go bankrupt in less than 1 year go bankrupt in 1-2 years go bankrupt in 2-3 years go bankrupt in 3-4 years go bankrupt in 4-5 years go bankrupt in 5-6 years go bankrupt in over 6 years Surviving firms 11,134 16,185 19,663 26,719 31,640 36,150 31, ,322 Not-censored samples 4,047 6,394 7,223 12,465 18,699 26,125 31, ,784 Censored samples 7,087 9,791 12,440 14,254 12,941 10,025 66,538 Table 2: Performance during financial distress year after event samples med(roa) med(tp/tl) med(ta/tl) med(ts/a) , , , , , , , Total 446, Note: ROA=(operating income+interest receivables+dividend)/assets, TP_TL=trade payables/total liability, TA_TL=tangible assets/total liability TS_A=total sales/assets 22
25 Figure 1: Kernel Density Function: Trade Payables-Total Liablity Ratio before Bankruptcy density apdebt preyear=0 preyear=2 preyear=1 preyear=3 Figure 2: Kernel Density Function: Trade Payables-Total Liablity Ratio before Bankruptcy (for Firms whose sales is more than 500 billion yen.) density apdebt preyear=0 preyear=2 23 preyear=1 preyear=3
26 Table 3: Expected Signs Explanatory Variables Expected Signs Log(Assets) + or - Interest Rate + Trade Payables/Total Liability + Total Loans/Total Liability - Notes Payable/Trade Payables + (Land Buildings)/Total liability - Cash/Total liability - Ordinary Income/Assets - Sales/Assets - Credit Guarantee - Special Credit Guarantee - Table 4: Summary Statistics Variable Obs Mean Std.Dev. Min 25% 50% 75% Max Legal Bankruptcy 270, Log Assets) 270, Log 1+Firm Age) 249, Interest Rate 229, Trade Payables-Total Liability ratio 250, Trade Payables Growth 234, Total Loans-Total Liability ratio 250, Total Loan Growth 234, Notes Payable/Trade Payables 250, (Land+Buildings)/Total Liability 249, Cash/Total Liability 266, Ordinary Income/Assets 250, Sales/Assets 270, Credit Guarantee 270, Special Credit Guarantee 270,
27 Table 5: Logit Model (1) (2) (3) (4) (5) (6) (7) Logit Model Sample:Excess of debts and ordinary loss for more than two consecutive terms Trade Payables-Total Liability ratio (0.183) (0.203) (0.188) (0.184) Trade Payables-Total Liability ratio (at the year of becoming distressed) (0.183) Trade Payables Growth if Growth Rate is Positive (0.215) Trade Payables Growth if Growth Rate is Negative (0.350) Total Loans-Total Liability ratio (0.152) (0.155) Total Loan Growth if Growth Rate is Positive (0.152) Total Loan Growth if Growth Rate is Negative (0.186) Log Assets) (0.021) (0.020) (0.021) (0.020) (0.021) (0.021) (0.021) Log 1+Firm Age) (0.046) (0.046) (0.047) (0.046) (0.047) (0.047) (0.046) Interest Rate (0.009) (0.009) (0.010) (0.009) (0.010) (0.010) (0.009) Notes Payable/Trade Payables (0.077) (0.077) (0.079) (0.075) (0.077) (0.079) (0.077) (Land+Buildings)/Total Liability (0.118) (0.119) (0.118) (0.119) (0.121) (0.119) (0.117) Cash/Total Liability (0.533) (0.526) (0.545) (0.525) (0.538) (0.546) (0.532) Ordinary Income/Assets Ordinary Income/Assets*Log(Assets) (0.107) (0.107) (0.109) (0.107) (0.111) (0.108) (0.728) (0.069) Sales/Assets (0.026) (0.025) (0.027) (0.025) (0.026) (0.027) (0.026) Credit Guarantee (0.057) (0.057) (0.060) (0.057) (0.060) (0.066) (0.057) Credit Guarantee*SG dummy (0.150) Industry Dummies yes yes yes yes yes yes yes Year Dummies yes yes yes yes yes yes yes Regional Dummies yes yes yes yes yes yes yes Sample 205, , , , , , ,488 Note: Standard errors are in parentheses. Interest rate is the ratio of a firm s interest expenses to the sum of its short-term debt, long-term debt, and discounted notes receivable. When variables include outliers, they are truncated at their 0.5th percentiles or 99.5th percentiles of the sample. This result does not change if we truncate at their 1st percentiles or 99th percentiles of the sample. Significant at 1% level. Significant at 5% level. Significant at 10% level. 25
28 Table 6: Cox Proportional Hazards Model (1) (2) (3) (4) (5) (6) (7) Cox Proportional Hazards Model Sample:Excess of debts and ordinary loss for more than two consecutive terms Trade Payables-Total Liability ratio (0.179) (0.199) (0.179) (0.179) Trade Payables-Total Liability ratio (at the year of becoming distressed) (0.178) Trade Payables Growth if Growth Rate is Positive (0.209) Trade Payables Growth if Growth Rate is Negative (0.345) Total Loans-Total Liability ratio (0.149) (0.153) Total Loan Growth if Growth Rate is Positive (0.152) Total Loan Growth if Growth Rate is Negative (0.184) Log Assets) (0.020) (0.020) (0.021) (0.019) (0.020) (0.020) (0.020) Log 1+Firm Age) (0.045) (0.045) (0.046) (0.045) (0.046) (0.045) (0.045) Interest Rate (0.009) (0.008) (0.009) (0.009) (0.009) (0.009) (0.009) Notes Payable/Trade Payables (0.076) (0.076) (0.078) (0.074) (0.076) (0.076) (0.076) (Land+Buildings)/Total Liability (0.115) (0.116) (0.116) (0.117) (0.119) (0.115) (0.115) Cash/Total Liability (0.528) (0.522) (0.541) (0.521) (0.534) (0.528) (0.528) Ordinary Income/Assets Ordinary Income/Assets*Log(Assets) (0.105) (0.105) (0.107) (0.106) (0.109) (0.105) (0.640) (0.060) Sales/Assets (0.026) (0.025) (0.027) (0.025) (0.026) (0.026) (0.026) Credit Guarantee (0.058) (0.058) (0.061) (0.058) (0.061) (0.064) (0.058) Credit Guarantee*SG dummy (0.144) Industry Dummies yes yes yes yes yes yes yes Year Dummies yes yes yes yes yes yes yes Regional Dummies yes yes yes yes yes yes yes Sample 205, , , , , , ,488 Note: Standard errors are in parentheses. Interest rate is the ratio of a firm s interest expenses to the sum of its short-term debt, long-term debt, and discounted notes receivable. When variables include outliers, they are truncated at their 0.5th percentiles or 99.5th percentiles of the sample. This result does not change if we truncate at their 1st percentiles or 99th percentiles of the sample. Significant at 1% level. Significant at 5% level. Significant at 10% level. 26
29 Table 7: Parametric Hazard Model (1) (2) (3) (4) (5) (6) (7) Parametric Hazards Model (Weibull Distribution) Sample:Excess of debts and ordinary loss for more than two consecutive terms Trade Payables-Total Liability ratio (0.179) (0.198) (0.179) (0.178) Trade Payables-Total Liability ratio (at the year of becoming distressed) (0.176) Trade Payables Growth if Growth Rate is Positive (0.207) Trade Payables Growth if Growth Rate is Negative (0.345) Total Loans-Total Liability ratio (0.149) (0.153) Total Loan Growth if Growth Rate is Positive (0.152) Total Loan Growth if Growth Rate is Negative (0.183) Log Assets) (0.020) (0.020) (0.021) (0.020) (0.020) (0.020) (0.020) Log 1+Firm Age) (0.046) (0.046) (0.047) (0.046) (0.047) (0.046) (0.046) Interest Rate (0.009) (0.008) (0.009) (0.009) (0.009) (0.009) (0.008) Notes Payable/Trade Payables (0.076) (0.076) (0.078) (0.074) (0.076) (0.076) (0.076) (Land+Buildings)/Total Liability (0.115) (0.116) (0.116) (0.117) (0.119) (0.115) (0.115) Cash/Total Liability (0.524) (0.517) (0.536) (0.516) (0.529) (0.524) (0.523) Ordinary Income/Assets Ordinary Income/Assets*Log(Assets) (0.102) (0.102) (0.104) (0.102) (0.106) (0.102) (0.647) (0.061) Sales/Assets (0.026) (0.024) (0.027) (0.025) (0.025) (0.026) (0.026) Credit Guarantee (0.058) (0.059) (0.061) (0.058) (0.061) (0.064) (0.058) Credit Guarantee*SG dummy (0.143) Industry Dummies yes yes yes yes yes yes yes Year Dummies yes yes yes yes yes yes yes Regional Dummies yes yes yes yes yes yes yes Sample 205, , , , , , ,488 Note: Standard errors are in parentheses. Interest rate is the ratio of a firm s interest expenses to the sum of its short-term debt, long-term debt, and discounted notes receivable. When variables include outliers, they are truncated at their 0.5th percentiles or 99.5th percentiles of the sample. This result does not change if we truncate at their 1st percentiles or 99th percentiles of the sample. Significant at 1% level. Significant at 5% level. Significant at 10% level. 27
30 Table 8: Split-Population Hazard Model (1) (2) (3) (4) (5) (6) (7) Sample:Excess of debts and ordinary loss for more than two consecutive terms Trade Payables-Total Liability ratio (0.194) (0.214) (0.198) (0.195) Trade Payables-Total Liability ratio (at the year of becoming distressed) (0.196) Trade Payables Growth if Growth Rate is Positive (0.220) Trade Payables Growth if Growth Rate is Negative (0.354) Total Loans-Total Liability ratio (0.158) (0.161) Total Loan Growth if Growth Rate is Positive (0.153) Total Loan Growth if Growth Rate is Negative (0.192) Log Assets) (0.024) (0.025) (0.024) (0.025) (0.025) (0.024) (0.024) Log 1+Firm Age) (0.047) (0.047) (0.048) (0.047) (0.048) (0.048) (0.047) Interest Rate (0.011) (0.011) (0.011) (0.011) (0.012) (0.011) (0.011) Notes Payable/Trade Payables (0.080) (0.081) (0.081) (0.078) (0.080) (0.081) (0.080) (Land+Buildings)/Total Liability (0.124) (0.126) (0.124) (0.127) (0.129) (0.125) (0.124) Cash/Total Liability (0.542) (0.538) (0.554) (0.537) (0.549) (0.554) (0.542) Ordinary Income/Assets (0.109) (0.110) (0.110) (0.110) (0.113) (0.110) (1.038) Ordinary Income/Assets*Log(Assets) (0.027) (0.102) Sales/Assets (0.027) (0.026) (0.028) (0.026) (0.062) (0.028) (0.027) Credit Guarantee (0.059) (0.059) (0.061) (0.059) (0.067) (0.059) Credit Guarantee*SG dummy (0.151) Industry Dummies yes yes yes yes yes yes yes Year Dummies yes yes yes yes yes yes yes Regional Dummies yes yes yes yes yes yes yes Sample 205, , , , , , ,488 Note: Standard errors are in parentheses. Interest rate is the ratio of a firm s interest expenses to the sum of its short-term debt, long-term debt, and discounted notes receivable. When variables include outliers, they are truncated at their 0.5th percentiles or 99.5th percentiles of the sample. This result does not change if we truncate at their 1st percentiles or 99th percentiles of the sample. Significant at 1% level. Significant at 5% level. Significant at 10% level. 28
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