' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' ' '&' ' 主题:On the persistence of Capital Stucture- reinterpreting what we know

演讲人:Yexiao Xu, University of Texas at Dallas

功夫：12月11日（周四）下午1:30-3:00

地址:新楼217教室

提要：Despite the known problems with pooled regression specifications, we argue that current literature has identified a good list of factors that affect firms' '&' 'rsquo; capital structure decisions. In particular, to address the potential biases in both pooled and fixed effects specifications, we offer an econometric model that (a) separates cross-sectional and time-series effects of each factor, (b) uses a Tobit mixed normal specification, and (c) includes a lagged leverage term to capture leverage persistence. The flexibility of our model allows us to nearly match the explanatory power of the fixed effects specification with only a few parameters, while the linearity of the model allows for a straight-forward interpretation of the parameter estimates. We find that, while leverage is persistent, it is not stable (time-series variation is only 30% smaller than cross-sectional variation); the known capital structure factors have differential explanatory power for cross-sectional and time-series variations in leverage; and lagged leverage has the largest explanatory power for time-series changes in leverage. We find that leverage persistence is significantly related to a number of firm characteristics as well as persistence of these characteristics.