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传播-The term spread
The term spread is measured as the difference between the government bonds with a maturity of more than five years and the six month Treasury bills. During good macroeconomic conditions, the term spread is high, so that the expectations would be that the speed of adjustment is faster during these times.
Hypothesis: in periods with high term spread, the speed of adjustment is faster
违约风险-The default risk
The default risk is determined as the difference between the yield on US rated BAA and the yields on US rated Aaa rated by Moody’s, following the studies of Korajcyk and Levy(2003),Cook and Tang(2000) and Drobetz et al (2006). I assumed that the default rate is a proxy for the global wealth of the economy. During the economic business cycle, this indicator has a high value during periods of economic recessions and lower values during economic booms. I expected a negative relationship between the speed of adjustment and the default risk.
Hypothesis: in periods characterized by a high value of default rate, the speed of adjustment is lower.
国内生产总值(GDP)增长-The Gross Domestic Product growth
The Gross Domestic Product (GDP) is one of the indicators of the macroeconomic conditions: it has a high value during expansions and a low value during recessions. The Gross Domestic Product is also a proxy for the future investments opportunities that the firms can undertake in the next period that will lead to more financial needs that can sustain these new projects. As a result, during periods with economic growth firms need more financing sources than during the recession’s times. Thus, I expect a positive relation between the speed of adjustment and the GDP growth rate.
Hypothesis: in periods with higher GDP growth rate the speed of adjustment will be faster.
通货膨胀率-The inflation rate
The inflation rate is the change in the consumer price index from the previous year. Taggart (1985) showed that when the inflation is high the real value of the tax deductions from debt is higher. Furthermore I expect a positive relation between the inflation and the speed of adjustment.
Hypothesis: in periods with high inflation, the speed of adjustment is lower.
制度变量-Institutional variables
Compared to the previous studies, most of them conducted on the US market, a study conducted at the European level have to take into consideration the differences of the institutional frameworks. By including the institutional variables in the model it will be established to what extent the institutional differences can explain the targeting behaviour of the firms. The institutional variables are: the degree of investor protection, the degree of creditor protection, the legal origin of the country and the quality enforcement of the law and order. All of these factors are taken from the studies of La Porta et al.(1986). The rules that protect the investors and creditor and the enforcement of these rules are key to effective corporate governance mechanism that lead to the ability of firms to raise external capital.
The European countries differ in the institutional environment by means of the legislation that protects investors and the enforcement of the rules. The institutional characteristics can have a significant impact on the capital structure and on the capacity of the firms to rebalance their capital structure back to the optimal leverage. In their article “The legal determinants of external financing”, La Porta et al. (1997) established that the legal environment does influence the capacity of firms to raise the external capital (such as debt or equity). Ultimately, the enforcement of the law influences the capacity of firms to finance themselves through financial contracts. Those contracts consist in the commitment of the firm to fulfil the obligations to its capital suppliers, more specifically paying an appropriate rate of return.
As previous studies did, the starting point in analyzing the institutional environment is the classification of the legal systems in the civil law and common law countries. The differences between the two major families of law are defined based on the following criteria:” (1) historical background and development of financial system,2)theories and hierarchies of sources of law, 3) the working methodology of jurists within the legal system, 4) characteristics of legal concepts employed by the system, 5) the legal institutions of the system, 6) the division of law employed by the system” [7] (Glendon et al. 1992,pp 4-5).
The civil law is the oldest and is widely spread around the world and has the origin in the Roman law. Merryman (1996) states that the civil law countries “ uses statutes and comprehensive codes as a primary means of ordering legal material and relies heavily on legal scholars to ascertain and formulates rules”. [8] Most of the countries have adopted their legal system through colonization. Within the civil law, there are three categories identified: the German, French and Scandinavian laws. The French, German and Scandinavian laws are considered to be enforced in the countries that are more bank-oriented.
The common law is identified with the English law; more specifically most of the countries that have a common law framework modelled their laws based on the English law. The common law is characterized by the intervention of the judges in setting the laws. English law is common law and is characterized by a market oriented system and a high degree of investors protection.
When it comes to the protection of investors and to the quality of law enforcement it seems that the English law countries has the strongest protection and law enforcement, the German and Scandinavian has a lower level while the French law countries has the weakest. The differences between the two might explain the differences in the financing patterns of the firms.
From the corporate governance perspective, the quality of the law may mitigate or exacerbates the principal agent problem that arises because of external financing. The problems arise firstly when there is weak rights enforcement and secondly when there are poor mechanisms for ex-post conflicts of interests like in the case of liquidation. The principal problem that appears is the expropriation of their investment: when insiders steal the profit or start selling assets below the market value. The risk of expropriation is related to the agency problem that appears because of the asymmetry of information that exists between the insiders and non-insiders. Aligning the interests of the investors with the ones of the managers/entrepreneur by the means of law enforcement makes it easier for firms to attract external financing. It is easier for the managers to attract less costly sources of financing when the risk of the investor to be defrauded is lower or when the costs of monitoring the managers are also lower.
As Black Bernards (2001) states, information asymmetry is indeed a barrier to security offerings and as a result, the security markets are a vivid example of a market for lemons. [9] By insuring that all the investors (the majority and minority shareholders) receive information about the firms’ value and have confidence on the way the managers lead the company,the rule’s enforcement will eliminate the underpricing problem that might occur and companies will be able to finance more easily.
Door Stijn Claessens, Erik Berglöf (2004) noted "the combination of poor enforcement and week resolution mechanism gives rise to corporate governance problems in terms of capital markets development, less external financing, lower firms valuation and higher costs of capital.” [10]
法律的起源-The legal origin
The legal origin of the country is an index based on the classification of la Porta et al. (1998) that takes the value 1 if the origin of the country is English Common Law, 2 if the origin is French Commercial Law and 3 if the origin is German Commercial Code.
Hypothesis: firms located in common law countries, will have a faster speed of adjustment.
The degree of investors’ protection and the degree of the creditors’ protection are expected to have a positive influence on the leverage and on the speed of adjustment. Those rights give the power to investor to precede the returns of the investment: it gives to creditors the ability to repossess collateral in the case of liquidation and to shareholders the ability to obtain dividends. The willingness of the investor to offer the external source if financing depends on the extent his/her rights are protected by the law. In countries with a poor investor protection the terms of raising external finance is more costly from the perspective of the entrepreneur, as the risk of losing the investment is higher from the point of view of the investor.
股东的权利-The shareholders rights
The shareholders rights index takes a value between 0 and 5, where 0 is for countries with a low shareholders protection and 5 for a country with a high degree of shareholders protection. The index was computed by La Porta et al. (1986) based on the following considerations: the shareholders are allowed by the country to email their proxy votes, an oppressed minorities mechanism exists, the minimum percentage of capital that entitles the the shareholders to call for an Extraordinary Shareholders Meeting is less than 10%, there is not required for the shareholders to deposit their shares prior to the General Shareholders Meeting and cumulative voting is allowed. [11] |
