标题: 动态资本结构调整、公司治理、与财务危机关联性之实证分析
The Relationships among Dynamic Capital Structure Adjustment, Corporate Governance, and Financial Distress: an empirical analysis
作者: 蔡政育
林建荣
林君信
Lin, Jane-Raung
Lin, Chiun-Sin
管理科学系所
关键字: 动态资本结构调整;广义动差法(GMM);财务危机预警;内部公司治理;Dynamic capital structure adjustment;Generalized method of moments(GMM);Financial distress;Internal corporate governance
公开日期: 2009
摘要: 过去文献对于公司资本结构调整行为之研究不胜枚举,然则大部分文献在实证上皆只着重在探究财务健全公司的调整行为。过去学者已指出杠杆高低对于公司面临的财务危机风险有重大影响,故相较于正常公司,资本结构之调整过程对于财务危机公司而言更是不可忽视。有鉴于此,本文以台湾上市柜和曾经上市柜公司为研究对象,试图分别针对财务危机公司和财务健全公司以Ozkan(2001)所提出的动态资本结构调整模型佐以广义动差法(Generalized Method of Moments;GMM)进行资本结构调整行为之比较,同时也将公司偏离最适杠杆比率的程度引入财务危机预警模型之建构,藉以瞭解公司偏离最适杠杆的程度和危机风险之关系。
本文实证结果主要有四点发现:1. 财务危机公司在总负债的调整上不仅不会朝最适杠杆比率调整,反而会加速偏离最适杠杆比率;健全公司则确实具有朝向最适杠杆比率调整之行为。2. 财务危机公司在危机发生前普遍存在长期负债使用过度之情况,故在长期负债的调整上,危机公司为了降低破产风险,会以偿还过多长期负债为目标,因此在长期负债方面仍会具有朝最适杠杆比率调整之行为,但调整速度比健全公司相对较慢;在流动负债调整上,危机公司在自有资金不足及发行权益成本相对较高之情况下,会采用举流动负债还长期负债之方式来调整过多的长期负债,因此流动负债的调整上将会加速偏离最适杠杆比率。3. 财务危机预警模型建构之结果显示公司偏离最适杠杆程度和危机风险存在显着正相关,代表公司债务之使用若超过最适水准将会提高公司所面临的破产风险,此一结果符合静态抵换理论(Static Trade-off Theory)之论述。4. 结合内部公司治理变数至财务危机预警模型建构之实证结果显示加入公司治理变数可提升模型的解释能力且能降低模型预测分类之误差率。其中董监事持股率和大股东持股率和危机风险呈显着负相关,代表当董事会的持股率以及股权集中程度越高,都将使董监事和大股东与公司利益目标越趋一致,进而提升监督意愿,降低危机发生之风险。同时董监质押比则和危机风险为显着正相关,越高的董监质押比就反应董监事对公司未来越不看好,且质押行为也会扭曲公司财务结构,进而提升公司财务危机之风险。
Most previous researches study the capital adjustment behaviors only for firms that are financial health. Scholars in the past have showed that level of leverage is highly correlated with distress risk. This means that the capital adjustment issue is much more important for distress firms. This paper uses Taiwan firms’ data and the GMM estimation technique to study the differences of dynamic capital structure adjustment behaviors between financial health and financial distress companies. We also derive the capital structure deviation level and combine it with the financial distress prediction model to study the effect of deviation to the distress risk.
Our main findings are listed below. First, distress firms do not adjust their total debt to target level. On the contrary, they deviate from the optimal value with a fast speed. Not like the distress firms, financial health firms do adjust their total debt to target leverage.
Second, overuse of long-term debt is a common characteristic for distress firms. For these firms, we discover a phenomenon that distress companies tend to use current debt to refund the long-term debt in order to eliminate the bankruptcy risk before the distress events. An appropriate explanation for this phenomenon is that firms which fall into distress usually don’t have enough own capital, and they can only take a higher cost of capital to issue new equity or bond securities. For that reason, the most possible way for these companies to eliminate long-term debt is through the issue of new current debt. This means that no mater firms are in danger or not, they will adjust their long-term debt levels to the optimal value. But for current debt, distress companies will chose to omit the optimal value and use more and more current debt for the purpose listing above.
Third, the result of combining the deviation level with financial distress prediction model indicates that there exists a significant positive relationship between the bankrupt risk and the capital structure deviation level. This means that the overuse of leverage would raise the risk to bankrupt. This is consistent with the trade-off theory.
Fourth, the result of building financial distress prediction model shows that the model with internal corporate governance variables has better ability to discriminate financial distress corporations form healthy ones. The ownerships for big stockholders, directors, and supervisors are negative correlated with the distress risk significantly, and there is a positive relationship between pledge ratio and distress risk with statistic significance.
URI: http://140.113.39.130/cdrfb3/record/nctu/#GT079731503
http://hdl.handle.net/11536/45337
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