capstructure资产结构

• First evidence from Warner (1977): direct costs only from railroad bankruptcies. • More recent evidence from highly-leveraged transactions that become financially distressed analyzed by Andrade and Kaplan (1998): 10 – 20% of pre-distress firm value. • Evidence from asset fire sales by Pulvino (1998): 14 – 30% discounts on aircraft sold by distressed airlines. • Overall, not a lot of quantifiable evidence!
– If high value occurs, don’t invest
• Value of existing shares = 150
– If low value occurs, issue & invest
• Value of existing shares = 60
• Issuing new capital signals bad news • If firm has internal capital available, firm invests regardless of outcome (no underinvestment).
Capital structure puzzle
• How do firms choose their capital structures?
– Answer according to Myers (1984): “We don’t know.” – The answer is not really that bleak. It was just that existing theory did not do a very good job of explaining observed capital structures.
• Include both “direct” and “indirect” costs. • Direct
– Costs paid by firm as part of bankruptcy proceedings. – Will vary by economic regime based on law.
Capital Structure Theories and Evidence
Advanced Corporate Finance 25 September 2007
Is there an “optimal” capital structure for a firm?
• Adding corporate taxes to the Modigliani and Miller framework suggests firms should be “all-debt”. • What keeps firms from this type of capital structure? • Costly financial distress • Value of levered firm = Value of unlevered firm + tax benefits – expected costs of distress
– Higher marginal tax rates, higher debt ratios. – Greater expected costs of distress, lower debt ratios. – In general, very non-specific!
What are distress costs?
Basic example (cont’d)
• Equilibrium strategy is that firm’s managers refuse to invest in positive NPV project in “good” state. • Equilibrium value to existing shareholders:
More on the tax benefits of debt
• Are the tax benefits of debt really defined by corporate tax rate? • Miller (1977) • Missing piece: tax rates faced by investors.
• Free cash flow can be used by managers for non-value-adding purposes. • Paying cash flow to shareholders (i.e., more dividends and/or repurchases) is “weak” commitment. • More debt = binding commitment to pay out excess free cash flow (more interest). • Greater commitments to pay debtholders might create additional motivation for managers to maximize efficiency of business.
• Indirect
– Business disruption costs. – Value lost because of underinvestment. – Value lost because of asset fire sales.
How big are financial distress costs?
• Frank and Goyal (2003)
– No – Net equity issues track financing deficit more closely than do net debt issues. – Small, high-growth firms are less likely to follow pecking order.
• An alternative to trade-off theory is proposed by Myers: pecking order.
Pecking order
• Firms prefer internal financing • Adapt target dividend payout to investment opportunities. • Sticky dividend plus unpredictable fluctuations in profitability and investment opportunities create need for financing (or surplus of financing). • If new financing is required, firms issue debt first with new equity as last resort. • Observed debt ratio reflects cumulative need for financing over time.
Basic example of pecking order
• Myers and Majluf (1984) basic example:
– Two equally likely states of the world:
• High value • Low value
– Value of assets in place:
– Value = 115 (expected value of existing assets + expected NPV)
• Assume that managers learn which state occurs ahead of outside investors:
– Value of existing shareholders’ stake if high value occurs:
– Tax rate paid by investors on equity income is positive, but tax rate on interest income is typically much higher. – Reduces tax benefit of debt. – See definition of “G” in equation 15.24. – Tax code could be defined to deter debt (by making tax rate on interest income sufficiently high relative to corporate tax rates). – Graham (2000) estimates the value of debt tax shield after accounting for personal taxes to be about 4 – 7% of firm value.
Does pecking order really explain financing choice better than trade-off theory?
• Shyam-Sunder and Myers (1999)
– Yes – Change in debt is better correlated with the financing deficit (as compared to correlation with difference between lagged “target” debt ratio and lagged actual debt ratio