* takeshi.shimatani@boj.or.jp ** kawai@ml.me.titech.ac.jp *** naohiko.baba@boj.or.jp No.05-J-3 2005 3 103-8660 30
No.05-J-3 2005 3 1990 * E-mailtakeshi.shimatani@boj.or.jp ** E-mailkawai@ml.me.titech.ac.jp *** E-mailnaohiko.baba@boj.or.jp 1
1990 90 [2000] 1990 1 Hirota[1999] [2004] 1970 1990 500 700 1992 2003 GMM 1996 2003 2 1 3 2 2
3 3 3 [2004] 3
2 1990 3 4 5 1990 90 1 93 99 2002 6 94 3 1 2003 4
1 + + + 2 2 98 97 95 5
1997 1 3 90 97-98 [2004] 1 DI 2 DI 6
4 90 2000 97 98 96 1 4 496 20 2003 6 1 2 IN database 5 10 9 90 4 [2004] 7
6 99 99 Bloomberg Bloomberg 1990 8
4 4 4 5 MM 6 2 7 pecking order 5 Harris and Raviv [1991] 6 Modigliani and Miller [1958] 7 11 BOX 9
Myers and Majluf [1984] Jensen [1986] Aghion and Bolton [1992] 8 Baker and Wurgler [2002] 8 10
[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 1 0 1 1it 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 1 2 1990 A BBB 92 2000 A 2000 20 13 11
2 1990 multinomial logit model McFadden[1973]Green[2000] 3 9 3 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
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
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
8 8 13 14 1 1 9 2 2003 IT 99 9 IT 13 0 2 1 Train [2003] 14 0.5 15
y i = 0 2,355 y i = 1 1,546 y i = 2 422 y i = 3 64 y i = 4 58 y i = 5 408 y i = 6 45 y i = 7 70 4,968 16
3 QUICK AMSUS IN Bloomberg 1996-2003 621 8 4,968 12 10 A 1,325BBB 810 2,833 11 90 65 59 42 33 31 29 28 26 26 21 19 16 16 16 13 13 12 10 10 9 8 5 5 4 4 3 3 3 2 1998 1999 2000 2001 2002 2003 A 202 235 228 179 172 157 BBB 35 113 120 134 140 139 384 273 273 308 309 325 R&I 1998 97 98 t [2004] 17
t TOPIX t 15 16 17 Rajan and Zingales [1995] 18
18 t 19 A BBB % 7.9 5.7 8.0 8.9 % 2.4 0.6 2.1 3.3 % 16.1 21.7 12.9 14.4 % 1.7 5.2 6.0-1.1 32,349 57,990 34,814 19,651 % 33.2 34.5 36.1 31.7 6,709 11,118 10,295 3,622 83.7 110.9 63.4 73.5 51.6 79.4 13.0 47.3 300.6 191.0 194.5 362.1 4503.2 2716.2 3792.4 5526.1 3,701,958,872 5,006,823,536 3,010,315,020 2,821,464,518 233.6 222.4 224.2 236.3 657,227,802 842,027,581 813,779,923 504,267,795 13 A BBB A A 18 19 19
621 TOPIX 20
1415 t 21
2 22
t -0.529 0.099-5.358*** 0.064-1.479 0.617-2.396*** -0.255-0.527 0.242-2.183** 0.018-0.094 0.057-1.644* -0.001 0.642 0.227 2.828*** 0.029 0.303E-06 0.140E-05 0.217-5.622E-07 0.541E-05 0.407E-05 1.330* 2.454E-07-2.798 0.153-18.316*** -0.143-0.312 0.703-0.444 0.036-1.671 0.326-5.130*** -0.072-0.367 0.093-3.951*** -0.019 2.333 0.349 6.687*** 0.129 0.116E-04 0.142E-05 8.138*** 6.785E-07 0.162E-04 0.433E-05 3.735*** 8.008E-07-3.576 0.288-12.416*** -0.033 0.513 1.598 0.321 0.015-3.943 0.649-6.076*** -0.039 0.302 0.085 3.568*** 0.005 0.290 0.775 0.374-0.003 0.955E-05 0.284E-05 3.358*** 8.476E-08-0.728E-05 0.126E-04-0.577-1.575E-07-3.000 0.323-9.293*** -0.023 1.697 1.524 1.113-0.028-3.854 0.643-5.992*** -0.035 0.062 1.177 0.348 0.002-2.007 0.896-2.239*** -0.030 0.616E-05 0.279E-05 2.208** 3.723E-08 0.166E-04 0.513E-05 3.235*** 1.311E-07-2.873 0.162-17.690*** -0.143-1.121 0.810-1.384* -0.031-1.587 0.344-4.612*** -0.062-0.538 0.115-4.691*** -0.033 2.447 0.365 6.699*** 0.132 0.108E-04 0.145E-05 7.433*** 5.867E-07 0.188E-04 0.433E-05 4.351*** 9.809E-07-3.011 0.370-8.141*** -0.018-5.421 3.038-1.784** -0.042-4.740 0.846-5.601*** -0.035 0.190 0.089 2.125** 0.002-1.492 0.966-1.544* -0.018 0.753E-05 0.337E-05 2.238*** 4.290E-08-0.553E-05 0.110E-04-0.503-9.485E-08-3.929 0.328-11.976*** -0.038-4.885 2.375-2.057** -0.058-4.022 0.667-6.030*** -0.043 0.085 0.155 0.551 0.003 1.517 0.795 1.908** 0.009 0.946E-05 0.207E-05 4.560*** 7.743E-08 0.212E-04 0.507E-05 4.189*** 1.973E-07-6278.45 1. White [1980] 2. t *10% **5% ***1% t 23
t -0.570 0.101-5.630*** 0.056-0.282 0.416-0.678-0.048-0.281 0.222-1.267 0.060-0.100 0.056-1.765** -0.003 0.577 0.228 2.530*** 0.021 0.633E-06 0.139E-05 0.456-5.006E-07 0.565E-05 0.406E-05 1.390* 2.854E-07-2.834 0.154-18.394*** -0.144 0.695 0.560 1.242 0.066-1.515 0.306-4.944*** -0.070-0.359 0.092-3.894*** -0.019 2.158 0.345 6.257*** 0.118 0.118E-04 0.143E-05 8.219*** 6.826E-07 0.163E-04 0.433E-05 3.762*** 7.974E-07-3.341 0.353-9.452*** -0.030-3.627 1.602-2.265** -0.042-4.203 0.629-6.686*** -0.044 0.354 0.081 4.398*** 0.006 0.666 0.809 0.824 0.002 0.841E-05 0.303E-05 2.777*** 6.939E-08-0.700E-05 0.125E-04-0.559-1.533E-07-3.152 0.316-9.979*** -0.025 2.132 1.266 1.684** 0.027-4.218 0.620-6.798*** -0.040 0.059 0.144 0.406 0.002-1.847 0.829-2.226*** -0.028 0.633E-05 0.287E-05 2.204** 3.765E-08 0.164E-04 0.530E-05 3.102*** 1.270E-07-2.900 0.165-17.619*** -0.144-0.177 0.608-0.291-0.008-1.398 0.313-4.473*** -0.058-0.543 0.115-4.718*** -0.033 2.373 0.366 6.481*** 0.131 0.110E-04 0.145E-05 7.568*** 5.917E-07 0.190E-04 0.432E-05 4.396*** 9.831E-07-2.679 0.438-6.112*** -0.015-7.278 1.903-3.825*** -0.063-4.172 0.675-6.182*** -0.031 0.240 0.105 2.281*** 0.003-1.654 1.097-1.507* -0.019 0.695E-05 0.354E-05 1.964* 3.688E-08-0.431E-05 0.108E-04-0.400-8.286E-08-4.090 0.302-13.558*** -0.040 0.241 1.197 0.202 0.005-3.219 0.547-5.884*** -0.034 0.056 0.152 0.367 0.003 1.172 0.859 1.363* 0.005 0.105E-04 0.204E-05 5.145*** 8.995E-08 0.214E-04 0.508E-05 4.214*** 1.984E-07-6276.62 1. White [1980] 2. t *10% **5% ***1% t 24
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 16 20 A BBB 13 A A A 21 BBB 1996 1 20 21 A 25
17 A BBB 26
96-98 99-01 02-03 96-98 99-01 02-03 0.3117 0.3160 0.3108 0.3065 0.0849 0.0860 0.0860 0.0818 0.0027 0.0022 0.0028 0.0034 0.0044 0.0039 0.0045 0.0048-3.4728-3.6574-3.4911-3.1804 2.9358 2.9575 2.9352 2.9217 13.5470 15.2283 13.8068 10.9358 10.4118 10.6708 10.5196 9.9405 0.0129 0.0105 0.0123 0.0174 0.0117 0.0110 0.0114 0.0131 0.0004 0.0001 0.0002 0.0012 0.0002 0.0001 0.0002 0.0005 15.5188 12.3606 11.8850 10.9098 11.8426 8.6750 11.7414 10.0730 346.9668 232.9360 224.2261 152.8199 210.7045 140.3390 235.0579 129.0683 27
. 1990 28
[2004] 2004 [2004] No.04-J-15 [2000]90 2000-01 Aghion, P., and P. Bolten [1992], An Incomplete Contracts Approach to Financial Contracting, Review of Economic Studies 59, pp.473-494. Baker, M., and J. Wurgler [2002], Market Timing and Capital Structure, Journal of Finance 62, pp. 1-32. 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.297-355. 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.201-229. Jensen, M. C.[1986], Agency Costs of Free Cash Flow, Corporate Finance, and Takeovers, American Economic Review 76, pp.323-329. 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.261-297. 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.187-221. Nerlove, M., and S. Press, Univariate and Multivariate Log-linear and Logistic Models, RAND-R1306-EDA/NIH, Santa Monica, 1973. Rajan, R. G., and L. Zingales [1995], What Do We Know About Capital Structure?: Some Evidence from International Data, Journal of Finance 50, pp.1421-1460. Train, K., Discrete Choice Methods with Simulation, Cambridge University Press, 2003. White, H. [1980], A Heteroskedasticity-Consistent Covariance Matrix and a Direct Test for Heteroskedasticity, Econometrica 48, pp.721-746. 29