わが国企業による資金調達方法の選択問題

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1 * ** *** No.05-J

2 No.05-J * ** *** 1

3 [2000] Hirota[1999] [2004] GMM

4 3 3 3 [2004] 3

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7 [2004] 1 DI 2 DI 6

8 IN database [2004] 7

9 Bloomberg Bloomberg

10 MM pecking order 5 Harris and Raviv [1991] 6 Modigliani and Miller [1958] 7 11 BOX 9

11 Myers and Majluf [1984] Jensen [1986] Aghion and Bolton [1992] 8 Baker and Wurgler [2002] 8 10

12 [2004] 4 [2004] 1 [2004] * [2004] i t d it xkit k = 1L K d * it = β + β x + β x + L+ β x 0 1 1it 2 2it K Kit, i = 1L I t = 1LT (1b) i t d it * d = ( d d ) d λ (2b) it it 1 it it it 1 zlit l = 1L L λ = γ + γ z + γ z + L+ γ z it 0 1 1it 2 2it L Lit (3b) (1b) (3b) (2b) d it ( β + β x + + β x ) = ( ( γ + γ z + L+ γ z )) 0 1 1it L K Kit it L Lit ( d it ( β 0 + β1x1 it + + β K xkit )) + ηi + ε it L 1 (4b) ηi i ε it (4b) dynamic model 1 GMM A BBB A

13 multinomial logit model McFadden[1973]Green[2000] i J +1 j U ( yi = j) U ij uij ε ij U = + ε (1) ij u ij ij i j j k { } U ij > max U (2) ik U ij ε ij i j Prob y = j ( ij ik ik ) ( y = j) = Prob u ij + ε = max{ u + ε } k ( ) Prob i (3) i 9 Nerlove and Press [1973] models with discrete dependent variables probit model 12

14 i m i ( x, x 2,, x ) x (4) i1 i K im j u ij u ij = β + x + x + + β x = β j0 β j1 i1 β j2 i2 K jm im jxi (5) β jl i l ε ij 10 Prob ( y = j) ( β x ) exp i = J j i for j = 0,1, L, J exp k= 0 ( β x ) k i (6) (6) xi J +1 (6) β 0 = 0 11 (6) Prob ( y = j) ( β x ) j i i = forj = 1, L, J 1+ exp k= 1 exp ( β x ) k i J (7) 10 conditional logit model ordered logit model nested logit model 3 11 β0 = 0 13

15 Prob ( = 0) y i = 1 + J k= 1 1 exp ( β x ) k i (8) 12 ln L N J = i= 1 j= 0 d ( y j) ij ln Prob i = (9) dij i j 1 0 β γ j marginal effect β (6) P J j γ j = = P j[ β j Pk β k ] = P j[ β j β] for j = 0,1L, J (10) x ( P Prob j) i j y i = k = 0 β i (10) γ j β j 12 2 IIAIndependence of Irrelevant Alternatives 14

16 IT 99 9 IT Train [2003]

17 y i = 0 2,355 y i = 1 1,546 y i = y i = 3 64 y i = 4 58 y i = y i = 6 45 y i = ,968 16

18 3 QUICK AMSUS IN Bloomberg , A 1,325BBB 810 2, A BBB R&I t [2004] 17

19 t TOPIX t Rajan and Zingales [1995] 18

20 18 t 19 A BBB % % % % ,349 57,990 34,814 19,651 % ,709 11,118 10,295 3, ,701,958,872 5,006,823,536 3,010,315,020 2,821,464, ,227, ,027, ,779, ,267, A BBB A A

21 621 TOPIX 20

22 1415 t 21

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24 t *** *** ** * *** E E E E E * 2.454E *** *** *** *** E E *** 6.785E E E *** 8.008E *** *** *** E E *** 8.476E E E E *** *** *** E E ** 3.723E E E *** 1.311E *** * *** *** *** E E *** 5.867E E E *** 9.809E *** ** *** ** * E E *** 4.290E E E E *** ** *** ** E E *** 7.743E E E *** 1.973E White [1980] 2. t *10% **5% ***1% t 23

25 t *** ** *** E E E E E * 2.854E *** *** *** *** E E *** 6.826E E E *** 7.974E *** ** *** *** E E *** 6.939E E E E *** ** *** *** E E ** 3.765E E E *** 1.270E *** *** *** *** E E *** 5.917E E E *** 9.831E *** *** *** *** * E E * 3.688E E E E *** *** * E E *** 8.995E E E *** 1.984E White [1980] 2. t *10% **5% ***1% t 24

26 i (6) Prob ( y = j) ( β x ) exp i = J j i forj = 0,1, L, J exp k = 0 ( β x ) k i β xi A BBB 13 A A A 21 BBB A 25

27 17 A BBB 26

28

29

30 [2004] 2004 [2004] No.04-J-15 [2000] Aghion, P., and P. Bolten [1992], An Incomplete Contracts Approach to Financial Contracting, Review of Economic Studies 59, pp Baker, M., and J. Wurgler [2002], Market Timing and Capital Structure, Journal of Finance 62, pp Greene, W. H. Econometric Analysis, 4 th Edition, Prentice-Hall, Inc., 2000 Harris, M. and A. Raviv [1991], The Theory of Capital Structure, Journal of Finance 46, pp Hirota, S. [1999], Are Corporate Financing Decisions Different in Japan?: An Empirical Study on Capital Structure, Journal of the Japanese and International Economies 13, pp Jensen, M. C.[1986], Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers, American Economic Review 76, pp McFadden, D.[1973], Conditional Logit Analysis of Quantitative Choice Behavior, In P. Zerembka, ed., Frontier in Econometrics, New York: Academic Press. Modigliani, F., and M. H. Miller [1958], The Cost of Capital, Corporation Finance and the Theory of Investment, American Economic Review 48, pp Myers, S., and N. Majluf [1984], Corporate Financing and Investment Decisions When Firms have Information that Investors Do not Have, Journal of Financial Economics, 13, pp Nerlove, M., and S. Press, Univariate and Multivariate Log-linear and Logistic Models, RAND-R1306-EDA/NIH, Santa Monica, Rajan, R. G., and L. Zingales [1995], What Do We Know About Capital Structure?: Some Evidence from International Data, Journal of Finance 50, pp Train, K., Discrete Choice Methods with Simulation, Cambridge University Press, White, H. [1980], A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity, Econometrica 48, pp

わが国企業による株主還元策の決定要因:配当・自社株消却のインセンティブを巡る実証分析

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