4外文翻译

附件1：外文资料翻译译文

管理者薪酬和企业债务期限结构

摘要：高管薪酬通过组合敏感性股价变动与股票报酬波动影响管理风险偏好。股票价格不支持管理风险，而股票报酬波动鼓励冒险。理论表明，短期债务通过控制管理风险偏好减轻债务代理成本。我们断定，找到首席执行官组合和短期到期债务之间关系的证据。我们还发现，短期到期债务减轻对债券收益率激励机制的影响。总的来说，我们的经验证据表明，短期债务减轻了从风险补偿所产生的债务代理成本。

使用股票及期权为基础做为高管薪酬的现象在过去的几十年里急剧增加。首席执行官财富的暴露使股票价格在1980年到1994年间增加了两倍，然后1994年到2000年间又增加了一倍。高管薪酬的这种变化对经理所承受的风险有直接的影响，从而改变双方的激励机制和行为。卡彭特和兰伯特探讨了对管理者激励补偿两方面的影响。一个影响是通过补偿股票价格的敏感性造成的。第二个影响是通过补偿股票报酬波动的敏感性造成的。对股票价格补偿方案的灵敏度越高，经理人的风险偏好就越弱。相比之下，对股票收益波动率补偿方案的敏感性越高，经理人的风险偏好就越大。通过改变管理风险偏好，基于股票的补偿也影响那些风险偏好的第三方看法。本研究的主要目的是探讨短期债务在减少来自高管激励合同所产生的债务代理成本的作用。具体来说，我们研究了这两种组合敏感度对公司债务期限结构的影响。此外，我们分析债务到期对投资组合灵敏度和债券收益率之间的关系。实证结果提供了一个一致的意见，短期债务减少了与薪酬激励相关的债务代理成本。

传统的代理理论提出了股东和债权人之间的利益冲突。在他们的开创性研究中，法玛、米勒、詹森和麦克林认为，股东有动机减少债券持有人财富通过代入高风险的投资，这种现象通常被称为资产替代。股权报酬对管理人员去资产替代提供一个潜在的强大动力。债权人了解这些风险的激励机制和合理定价他们。例如，信用评级机构的报告显示CEO薪酬和管理风险偏好之间有显而易见的联系。 2007年的穆迪投资服务公司特别说明“高管薪酬纳入穆迪信用分析的发行人评估，因为补偿是管理行为的决定因素，间接影响信贷质量”。这个报告后来解释说“分析薪酬的主要目的是深入了解关于激励的结构，规模和奖励重点”。穆迪也公布其在2005

年进行的一项内部研究报告，题为“CEO报酬与信用风险”。这项研究的结论是“支付方案对股票价格和经营业绩是高度敏感的，可能会诱发管理者更大的冒险行为，或许与股东保持一致的目标，但不一定债券持有人的目标”。我们发现在普尔对于CEO的激励和信用分析的报告中有类似的研究，报告认为，短期债务可以减少管理的激励机制，以增加风险。

此外，利兰和托夫特（1996）声称，短期债务可以减少甚至消除与资产置换有关的代理成本。斯图尔兹（2000）的一个重要观点是，短期债务的债权人提供了“一个非常强大的工具来监控管理”。同样，拉詹和通泰（1995）认为，短期债务的债权人用最小的努力提供了额外的灵活性以监测管理者.在本文中使用了两项措施来源于管理者的薪酬待遇，我们测试短期债务在减轻资产置换所产生的债务代理成本的作用。具体来说，我们断定，短期债务增加CEO的薪酬风险。经理人的风险偏好的措施之一是对标的股票价格的敏感度补偿方案。债权人认识到，降低这种敏感性，更像是经理人决定风险增加的策略。因此，我们预期，经理人对股票价格的敏感度越低，短期债务在公司资本结构中的比重就越大。与此相反，经理人偏好增加股票报酬波动的敏感性风险。因此，我们预期，管理者的股票报酬波动灵敏度越高，短期债务在公司的资本结构中的比重就越大。此前的研究认为，找到一些证据表明，债务成本增加在于企业经营者风险报酬。如果短期内到期，约束管理风险寻求，那么我们预计短期债务将减弱补偿风险对债务成本的影响。

我们以1992年至2005年14年间6825个公司为观测样本，研究CEO薪酬激励与公司债务期限之间的因果关系。我们采用短期债务的替代定义，遵循科尔和格威（2002）的估算选择敏感度理论，应用多种实验方法并且选择新债发行的样品进行分析预测关系。与假设相同，我们发现一个消极的显著关系在公司首席执行官股票价格和短期债务之间。也与预期一致，我们发现公司首席CEO组合股票报酬波动和短期债务之间的积极的显著关系。总之，这些研究结果表明，短期债务是用来减少企业经营者报酬风险代理成本。我们的实证结果是全面的控制首席执行官股权，杠杆率，资产期限，成长机会，企业规模，期限结构，债券评级，以及发行人的其他特性。

接下来，我们使用268400个债券观察样本，其为114个不同的企业在1994年至2005年期间的观察，研究短期到期债务是否减轻了对债务成本管理激励机制的影响。与过往的研究（例如，丹尼尔等（2004），肖尔（2007），和比利，莫尔，和

张（2009）），我们发现，股票报酬波动率越高，引起的借贷成本就较低。更重要的是，我们发现短期债务减弱债券收益率和股票价格之间的负（正）的关系。

股票管理和期权补偿在管理风险寻求行为中表现为两个相反的影响。一个影响来自经理人的投资组合对股票价格的灵敏度，另外一个影响来自对股票报酬波动的灵敏度。其他方面相同，较高灵敏度的股票价格以及经理人薪酬会降低冒险行为，而经理人的补偿方案，以较高灵敏度的股票收益波动率将鼓励冒险行为。

债权人了解这些激励措施和合理的价格补偿引起的风险。此前的研究表明，短期债务可以降低与资产置换有关的代理成本，提高监管放贷机构的效率。在本文中，我们分析出短期债务产生的债务代理成本的减轻得益于CEO组合的敏感性度作用。我们的第一个假设是，短期债务对CEO的投资组合的股票收益波动率的敏感性是正相关的，和CEO的投资组合的股票价格（增量）的敏感度呈负相关。我们的第二个假说是，利用短期债务减少股票和债务成本之间的正（负）关系。

为了测试第一个假设，我们组建了一个模型，从1992年到2005年14个年间6825个公司年度观测样本，用短期债务的替代定义，采用科尔和格威（2002）的理论建立评估的敏感性模型，并采用多种计量经济学方法来分析预测关系。我们发现，在补偿方案的灵敏度和股价和短期债之一直是负相关统计学关系。我们还发现，股票收益波动率和短期债务的补偿方案的灵敏度之间时刻保持正相关统计学显著关系。实证研究结果已经证明我们在控制诸多影响债务到期因素是成功的。

为了进一步减轻内生性问题，我们采用新的债务问题的样本重新检验我们的主要假设。我们的研究结果证实，当CEO的股票价格高时债权人多（少）可能借短期资金。我们还检测管理激励、短期到期债务以及公司债券收益率之间的关系。与过往文献中相比，我们发现，债券收益率正在增加股票价格和减少股票价格波动。更重要的是，我们分析了债券收益率期限结构和管理激励机制之间的相互作用。我们发现，短期到期债务减弱股票价格对债券收益率的影响，同时也加强了对股票报酬波动对债券收益率的影响。这些结果表明，短期到期债务约束管理风险偏好并减轻资产替代成本的问题。总体而言，本研究扩展了几个方面的深度，像行政赔偿，债务代理成本和债务期限的决定因素。

我们提供的新证据表明，企业经营者报酬这个组合的敏感性影响公司债务期限，而且他们用完全不同的方式。我们的研究结果无论是在文献上、统计学上还是经济学上都表明，股票报酬波动和股票价格是影响债务期限的决定因素。我们的研

究还发现，一方面是债权人评估高管薪酬和风险寻求行为之间的因果关系，而另一方面，是寻求债务风险行为与代理成本之间的关系。最重要的是，我们的实证结果强调短期债务减轻债务代理成本的作用。

附件2：外文原文

Executive Compensation and the Maturity Structure of

Corporate Debt

PAUL BROCKMAN, XIUMIN MARTIN, and EMRE UNLU

THE JOURNAL OF FINANCE, 2010(3):1123-1127

Abstract: Executive compensation influences managerial risk preferences through executives portfolio sensitivities to changes in stock prices (delta) and stock return volatility (vega). Large deltas discourage managerial risk-taking, while large vegas encourage risk-taking. Theory suggests that short-maturity debt mitigates agency costs of debt by constraining managerial risk preferences. We posit and find evidence of a negative (positive) relation between CEO portfolio deltas (vegas) and short-maturity debt. We also find that short-maturity debt mitigates the influence of vega- and delta-relate incentives on bond yields. Overall, our empirical evidence shows that short-term debt mitigates agency costs of debt arising from compensation risk.

The use of stock and option-based executive compensation has increased dramatically during the past few decades. The median exposure of CEO wealth to stock prices tripled between 1980 and 1994,and then doubled again between 1994 and 2000 .Such changes in executive compensation have a direct impact on the mana ger’s exposure to risk, thus altering both incentives and behavior. Carpenter and Lambert discuss two effects of compensation on managerial incentives. One effect is caused by the sensitivity of compensation to stock prices. A second effect is caused by the sensitivity of compensation to stock return volatility . The higher the compensation package’s sensitivity to stock prices, the weaker will be the manager’s appetite for risk. In contrast,the higher the compensation package’s sensitivity to stock return volatility,the stronger will be the manager’s appetite for risk.By altering managerial risk preferences,stock-based compensation also influences third-party perceptions of those risk preferences. The primary objective of this study is to investigate the role of short-term debt in reducing agency costs of debt arising from executive incentive

contracts. Specifically, we examine the effect of the two portfolio sensitivities on the maturity structure of corporate debt. In addition, we analyze the effect of debt maturity on the relation between portfolio sensitivities and bond yields. The empirical results provide a consistent picture that short-term debt reduces agency costs of debt associated with compensation incentives.

Traditional agency theory posits a conflict of interest between shareholders and creditors. In their seminal studies, Fama and Miller and Jensen and Meckling show that shareholders have an incentive to expropriate bondholder wealth by substituting into riskier investments, a phenomenon commonly referred to as asset substitution. Equity-based compensation provides managers with a potentially stronger motive for asset substitution. Creditors understand these risk incentives and rationally price them. For example, credit rating agency reports show an awareness of the link between CEO compensation and managerial risk appetites. A 2007 Moody’s Investors Service Special Comment states that “Executive pay is incorporated into Moody’s credit analysis of rated issuers because compensation is a determinant of management behavior that affects indirectly credit quality” .The report later explains that the “primary interest in analyzing pay is to gain insight into the compensation committee’s intent regarding the structure, size and focus of incentives” Moody’s has also published the results of an internal study conducted in 2005 entitled “CEO Compensation and Credit Risk.” This study concludes that “pay packages that are highly sensitive to stock price and/or operating performance may induce greater risk taki ng by managers, perhaps consistent with stockholders’ objectives, but not necessarily bondholders’ objectives ” .We find similar statements regarding CEO incentives and credit analysis in Standard & Poor’s reports argue that shorter-term debt can reduce managerial incentives to increase risk.

Further, Leland and Toft (1996) claim that short-term debt can reduce or even eliminate agency costs associated with asset substitution.An important insight from Stulz (2000) is that short-term debt provides creditors with “an extremely powerful tool to monitor management.” Similarly, Rajan and Winton (1995) argue that short-term debt provides creditors with additional flexibility to monitor managers with minimum https://www.360docs.net/doc/5215328039.html,ing two measures of risk preference derived from managerial compensation

packages in this paper, we test the role of short-term debt in mitigating agency costs of debt arising from asset substitution. Specifically, we posit that the proportion of short-term debt increases in CEO compensation risk. One measure of the manager’s appetite for risk is the sensitivity of the compensation package to underlying stock prices. Creditors recognize that the lower this sensitivity, the more likely the manager is to engage in risk-increasing strategies. We therefore expect that the lower the manager’s sensitivity to stock prices, the larger the proportion of short-term debt in the firm’s capital structure. In contrast, the manager’s appetite for risk increases with the sensitivity of the compensation package to stock return volatility. We therefore expect that the higher the manager’s sensitivity to stock return volatility, the larger the proportion of short-term debt in the firm’s capital structure. Prior studies argue and find some evidence that the cost of debt increases in managerial compensation risk. If short maturities restrain managerial risk-seeking, then we expect that short-term debt will attenuate the effect of compensation risk on the cost of debt.

We study the causal link between CEO incentive compensation and corporate debt maturity using a sample of 6,825 firm-year observations during the 14 year period from 1992 to 2005. We employ alternative definitions of short-term debt, follow Core and Guay’s (2002) method for estimating option sensitivities and appl y several empirical methodologies and an alternative new debt issuance sample to analyze the predicted relations. As hypothesized, we find a negative and significant relation between CEO portfolio deltas and short-term debt. Also consistent with expectations, we find a positive and significant relation between CEO portfolio vegas and short-term debt. Taken together, these findings suggest that short-term debt is used to reduce agency costs associated with high managerial compensation risk. Our empirical results are robust to controlling for CEO stock ownership, leverage, asset maturity, growth opportunities, firm size, term structure,bond rating, and other issuer characteristics.

Next, we use a sample of 268,400 bond-day observations for 114 unique firms during the 1994 to 2005 period to examine whether short-maturity debt mitigates the impact of managerial incentives on the cost of debt. Consistent with prior studies (e.g., Daniel et al. (2004), Shaw (2007), and Billett, Mauer,and Zhang (2009)), we find that

higher deltas (vegas) lead to lower (higher) borrowing costs. More importantly, we show that short-term debt attenuates the negative (positive) relation between bond yields and deltas (vegas).

Managerial stock and option compensation exerts two opposing forces on managerial risk-seeking behavior. One effect arises from the sensitivity of the manager’s portfolio to stock prices (delta), and the other effect arises from the sensitivity to stock return volatility (vega). All else equal, higher sensitivity of the manager’s compensation package to stock prices will discourage risk-taking behavior whereas higher sensitivity of the manager’s compensation package to stock return volatility will encourage risk-taking behavior.

Creditors understand these incentives and rationally price the compensation-induced risks. Prior research suggests that short-term debt can reduce agency costs associated with asset substitution and improve the efficiency of monitoring by lenders. In this paper, we analyze the role of short-term debt in mitigating agency costs of debt arising from CEO portfolio sensitivities. Our first hypothesis is that short-term debt is positively related to the sensitivity of the CEO’s portfolio to stock return volatility (vega), and negatively related to th e sensitivity of the CEO’s portfolio to stock prices (delta). Our second hypoth-esis is that the use of short-term debt reduces the positive (negative) relation between vega (delta) and the cost of debt.

To test the first hypothesis, we construct a sample of 6,825 firm-year observations during the 14-year period from 1992 to 2005, use alternative definitions of short-term debt, implement Core and Guay’s (2002) method for estimating option sensitivities, and employ several econometric techniques to analyze the predicted relations. We find a consistently negative and statistically significant relation between the compensation package’s sensitivity to stock prices and short-term debt. We also find a consistently positive and statistically significant relation b etween the compensation package’s sensitivity to stock return volatility and short-term debt. Our empirical findings are robust to controls for numerous factors that have been shown to affect debt maturity.

To further mitigate endogeneity concerns, we retest our main hypotheses using a sample of new debt issues. Our results confirm that creditors are more (less) likely to

lend short-term funds when CEOs have high vega (high delta) incentive packages.We also examine the relation between managerial incentives, short-maturity debt, and corporate bond yields. Consistent with prior literature, we find that bond yields are increasing in vega and decreasing in delta. More importantly, we analyze the interaction between maturity structure and managerial incentives on bond yields. We show that short-maturity debt attenuates the impact of vega on bond yields while it reinforces the impact of delta on bond yields.These results suggest that short-maturity debt constrains managerial risk preferences and mitigates asset substitution problems.Overall, this study extends the literature in several areas, including executive compensation, agency costs of debt, and the determinants of debt maturity.

We provide new evidence that the two portfolio sensitivities in managerial compensation affect corporate debt maturity, and that they do so in quite different ways. Our results add to the literature on the determinants of debt maturity by showing that executive portfolio deltas and vegas are significant determinants,both statistically and economically. Our study also sheds light on the creditor’s assessment of the causal connections between executive compensation and risk-seeking behavior on the one hand, and between risk-seeking behavior and agency costs of debt on the other hand. Perhaps most importantly, our empirical results highlight the role of short-term debt in mitigating agency costs of debt.