Upload
liemuel
View
228
Download
0
Embed Size (px)
Citation preview
8/21/2019 Qiu Smith December 2007
1/32
"
A Nonlinear Quantile Regression Test of the Pecking Order Model
#$%&$'( )$*+,
!"#$%%&" ()*%%+ %, -./01"//2 3)34/&"$ 5106"$/0&72 89:; 3401 (&$""& 0)/2 7.6 A"BBBC %'< /.%';%'< D:>%9 AEFFG%C %9 AEFFG%C %.7 $' I%83 8:'6$637'3 %I37. %88:*'3$'( I:. 347 ':'9$'7%.$3>0
+ )$* $6 347 8:'3%83$'( %*34:. %'< 8%' =7 8:'3%837< %3 347 S7D.::37 184::9 :I -*6$'766, @8@%637.
T'$N7.6$3>, "EUF @%$' 13.773 L763, P%2$93:', R'3%.$:, V%'%0
8/21/2019 Qiu Smith December 2007
2/32
E
A Nonlinear Quantile Regression Test of the Pecking Order Model
Abstract
5%63 72&$.$8%9 37636 :' 347 &78;$'( :.%2?1*'%9 AEFFG%C %9 AEFFG%C %.7 $' I%83 8:'6$637'3 %I37. %88:*'3$'( I:. 347 ':'9$'7%.$3>0
8/21/2019 Qiu Smith December 2007
3/32
G
1.
Introduction
J47 I$'%'87 9$37.%3*.7 :II7.6 3H: 2%$' 8:2&73$'( 2:7.6 %'< @%b9*I A"BUYC %667.36 34%3 8:2&%'$76 %.7
.79*83%'3 3: $66*7 .$6;> 678*.$3$76 =78%*67 :I 3.%'6%83$:'6 8:636 %6 H799 %6 347 8:636 %66:8$%37< H$34
$'I:.2%3$:' %6>2273.> =73H77' 2%'%(727'3 %'< &:37'3$%9 $'N763:.6 %=:*3 347 678*.$3$76c N%9*70
L47' 347> '77< I$'%'8$'(, 8:2&%'$76 &.7I7. 3: *67 $'37.'%9 6:*.876, 347' 7K*$3>0
J47 2: $66*7%2?1*' %.(*7 34%3 347 .76*936 6*&&:.3 347 &.7
8/21/2019 Qiu Smith December 2007
4/32
Y
11@ %'< /DZ I$.63, *'9766 $3 7K*%96 :'7, 347 763$2%37< 8:7II$8$7'3 :' '73 7K*$3>0 _937.'%3$N79>, % 8:7II$8$7'3 :I F0U 2%> %.$67
=78%*67 %99 I$.26 .7(*9%.9> $66*7 % I:*. 3: :'7 2$O :I 3: 84::67 7K*$3>0 _6 % .76*93, 347
.79%3$:'64$& =73H77' '73 , H7 %
8/21/2019 Qiu Smith December 2007
5/32
X
L7 763$2%37 347 '73 *67< 3: .7&%> %II783 % 8:2&%'>c6 .76&:'67 3: I$'%'8$%9
8/21/2019 Qiu Smith December 2007
6/32
[
2. Methodology
11@ %'< /D 3763 347 .79%3$:'64$& =73H77' I$.2c6
8/21/2019 Qiu Smith December 2007
7/32
d
H$67 9$'7%. 2:, 763$2%376 :I 347 8:' $6 $2&:.3%'3 3: 347
8*..7'3 63*, 6$'87 '73 6;7H7
8/21/2019 Qiu Smith December 2007
8/32
U
H$34 .76&783 3: β 0 W$;7H$67, f:7';7. %'< -%66733 A"BdUC 64:H 34%3 $I 347 K*% 347 %6>2273.$8 %=6:9*37 347 8:'7%.6 I.:2 "Bd" 3: "BUB0 /D .7?$'N763$(%37 11@c6 3763 *6$'( % 9%.(7. 6%2&97 H4$84 $'89*7%. "Bd" 3: "BBU H$34:*3 347 .763.$83$:' :I 8:'3$'*:*6 :=67.N%3$:'60 a' :.
8/21/2019 Qiu Smith December 2007
9/32
B
V:2&*63%3 $66*76 A:' %N7.%(7,
F0FYU N60 F0FFYC 3: :II673 347 9%.(7. $'37.'%9
8/21/2019 Qiu Smith December 2007
10/32
"F
8:'3$'*:*6 :=67.N%3$:'6 %'< $' 347 I*99 6%2&970 1$2$9%. &%337.'6 %.7 :=67.N7< I:. 347 7%. "Bd" 3: "BUB %.7 9%.(7. %'< 2:.7 2%3*.7 34%' I$.26 $' 347 I*99
6%2&970 J47> %.7 9766 9$;79> 3: 4%N7 9%.(7 I$'%'8$%9 2%> =74%N7 K*$37
:*. 2734:
8/21/2019 Qiu Smith December 2007
11/32
""
CF0Gd3:F0EA,& 0 !",0)0&
F0E?
F
,& 0A",0)0& =
=
EFF0Gd
EF
PA",0)0& 0,
PA",0)0& 0,
02&
02&
≥≥
≤
/:. 7O%2&97, H47' 347 I$'%'8$%9 $,3?" 7K*%96 347 I$.2 $c6 '73 $'8:27 ':.2%9$Q7< => 3:3%9 %66736 %3 3$27 3?"0 @%.;73 3:
8/21/2019 Qiu Smith December 2007
12/32
"E
=::; .%3$:, @J-$,3?", 7K*%96 347 I$.2 $c6 .%3$: :I 2%.;73 N%9*7 :I %66736 A=::; N%9*7 :I %66736 ? =::;
N%9*7 :I 7K*$3> k 2%.;73 N%9*7 :I 7K*$3>C 7%. "Bd"
3: "BUB0
P:H7N7., H47' H7 2:N7 I.:2 347 6$2&97 9$'7%. 2:0 J47 .76*936 6*((763 34%3 I$.26 37'< 3: *67
8/21/2019 Qiu Smith December 2007
13/32
"G
347 6$2&97 9$'7%. 2:0
J47 .76*936 I.:2 347 &$787?H$67 27 /$(*.7 E0 J47 .76*936 6*((763 34%3, H47' 347 I$'%'8$%9 :I 347 27
8/21/2019 Qiu Smith December 2007
14/32
"Y
$99*63.%376 347 .79%3$:'64$&
=73H77' '73
8/21/2019 Qiu Smith December 2007
15/32
"X
.7N7%96 347 37' %'< % 64:.3 *&&7. 3%$9, %'< 347 H$ %'< 9:'(7. 9:H7. 3%$90 /:. 7O%2&97, H47' 347 I$'%'8$%9 $66*760 L47' 347 I$'%'8$%9 3: :II673 347$. I$'%'8$%9
$' 347 '73
8/21/2019 Qiu Smith December 2007
16/32
"[
6%2&97 H4$84 $'89* F0""BG %'< 347 ` E $6
F0FX0 a' % 6$2&97 9$'7%. .7(.766$:' $'89*
8/21/2019 Qiu Smith December 2007
17/32
"d
V:9*2' AGC %'< AYC $' J%=97 Y .7&:.3 347 .76*936 I.:2 &$787?H$67 9$'7%. .7(.766$:' *6$'(
RW1 763$2%3$:'0 V:9*2'6 AdC %'< AUC .7&:.3 347 .76*936 *6$'( &$787?H$67 27 :'7?3:?:'7 2%&&$'( =73H77' '73? 347 27
8/21/2019 Qiu Smith December 2007
18/32
"U
H$34 9%.(7 I$'%'8$%9 K*%'3$97 .7(.766$:' 3: %88:22:
8/21/2019 Qiu Smith December 2007
19/32
"B
/.%'; %'< D:>%9 AEFFG%C0 a3 64:H6 34%3, :'87 6%2&97
8/21/2019 Qiu Smith December 2007
20/32
EF
References
V4$.$';:, `010, 1$'(4%, _0`0, EFFF0 J763$'( 63%3$8 3.%
8/21/2019 Qiu Smith December 2007
21/32
E"
J%=97 "
Firm’s Characteristics in Different Samples
J4$6 3%=97 &.:N$ 63%3$63$86 :I 347 6%2&976 *67< $' 34$6 63*0 J47 I*99 6%2&97 $6 I.:2 V:2&*63%3
%''*%9 I$976 "Bd" 3: EFF", $'89* F0GY F0G" F0"d F0GF F0EX F0E"
5.:I$3%=$9$3> F0"[ F0"X F0FU F0"F F0"G F0EG
/$'%'8$%9 S7I$8$3 F0F"d F0FFFX F0FdF F0F[" F0FFY F0"dF
^73 S7=3 a66*7 F0F"G F F0F[E F0F"G F F0FBF
^73 \K*$3> a66*7 F0FFY F F0FGB F0FYU F F0"XY
5%'79 -Z /$'%'8$%9 S7I$8$3, ^73 S7=3 a66*7 %'< ^73 \K*$3> a66*7
/$'%'8$%9
S7I$8$3
^73 S7=3
a66*7
^73 \K*$3>
a66*7
/$'%'8$%9
S7I$8$3
^73 S7=3
a66*7
^73 \K*$3>
a66*7
@%O$2*2 F0G[U F0GFB F0Y"Y F0BBB F0XEU "0G"B
@$'$2*2 ?F0EGU ?F0E"d ?F0GdX ?F0GYY ?F0GdU ?F0dBX
1;7H'766 "0"F[ "0FYX "0dGX E0GYd "0"BE G0YEX
f*.3:6$6 [0EXG [0Y[F EX0ddU "F0GYF U0[dB "Y0"XU
R=67.N%3$:'6 "G,XYY ""Y,FBF
8/21/2019 Qiu Smith December 2007
22/32
EE
/$(*.7 "
The Distributions of Financial Deficits
J4$6 I$(*.7 64:H6 347 7%. "Bd" 3: EFF"
%Z /$.26 H$34 V:'3$'*:*6 :=67.N%3$:'6 I.:2 >7%. "Bd" 3: "BUB
0
5
1 0
1 5
2 0
P e r c e n t
-.4 -.3 -.2 -.1 0 .1 .2 .3 .4 .5 .6 .7 .8 .9 1
Financial Deficit/Total Assets
=Z _99 /$.26 I.:2 >7%. "Bd" 3: EFF"
0
1 0
2 0
3 0
P e r c e n t
-.4 -.3 -.2 -.1 0 .1 .2 .3 .4 .5 .6 .7 .8 .9 1
Financial Deficit/Total Assets
8/21/2019 Qiu Smith December 2007
23/32
EG
J%=97 E
The Relationship between Net Debt Issue and Financial Deficit for Firms with Positive
Deficit
A1%2&97 H$34 8:'3$'*:*6 :=67.N%3$:'6 I.:2 "Bd" 3: "BUBCJ4$6 3%=97 &.767'36 .76*936 :' 347 '73 3?"F0FF"Y
AF0XC
?F0FFFU
A?F0GC
F0FFFd
AG0EC
F0FFFX
AE0[C
R=67.N%3$:'6 d,"GU [,YXd d,"GU [,YXd d,"GU [,YXd d,"GU [,YXd
_
8/21/2019 Qiu Smith December 2007
24/32
EY
J%=97 G
The Relationship between Net Debt Issue and Financial Deficit for Firms with Negative
Deficit
A1%2&97 H$34 8:'3$'*:*6 :=67.N%3$:'6 $,3?" $6 347 I$.2 $c6 .%3$: :I I$O7< %66736 3: 3:3%9 %66736%3 3$27 3?"0 & ?63%3$63$86 %.7 .7&:.37< $' 347 &%.7'3476760
@7%' `7(.766$:' @7
8/21/2019 Qiu Smith December 2007
25/32
EX
/$(*.7 E
Summary of the Relationship between Net Debt Issue and Financial Deficit
A1%2&97 H$34 8:'3$'*:*6 :=67.N%3$:'6
8/21/2019 Qiu Smith December 2007
26/32
E[
/$(*.7 G
The Relationship between Net Debt Issue and Deficit across Different Quantiles
A1%2&97 H$34 8:'3$'*:*6 :=67.N%3$:'6
8/21/2019 Qiu Smith December 2007
27/32
Ed
J%=97 Y
The Relationship between Net Debt Issue and Deficit for Firms with Positive
Financial Deficit
A/*99 1%2&97C
J4$6 3%=97 &.767'36 .76*936 :' 347 '73
N%.$%=9760 J47 3:3%9 %66736 %3 3$27 3?"0 @J-$,3?" $6
I$.2 $c6 2%.;73 3: =::; .%3$: %3 3$27 3?" %6 27%6*.7< => A=::; N%9*7 :I %66736 ? =::; N%9*7 :I
7K*$3> k 2%.;73 N%9*7 :I 7K*$3>Ch=::; N%9*7 :I %667360 J%'($=$9$3>$,3?" $6 I$.2 $c6 .%3$: :I I$O7
8/21/2019 Qiu Smith December 2007
28/32
EU
@7%' `7(.766$:' @7
8/21/2019 Qiu Smith December 2007
29/32
EB
J%=97 X
The Relationship between Net Debt Issue and Deficit for Firms with Negative
Financial Deficit
A/*99 1%2&97C
J4$6 3%=97 &.767'36 .76*936 :' 347 '73
N%.$%=9760 J47 3:3%9 %66736 %3 3$27 3?"0 @J-$,3?" $6
I$.2 $c6 2%.;73 3: =::; .%3$: %3 3$27 3?" %6 27%6*.7< => A=::; N%9*7 :I %66736 ? =::; N%9*7 :I
7K*$3> k 2%.;73 N%9*7 :I 7K*$3>Ch=::; N%9*7 :I %667360 J%'($=$9$3>$,3?" $6 I$.2 $c6 .%3$: :I I$O7
8/21/2019 Qiu Smith December 2007
30/32
GF
@7%' `7(.766$:' @7
8/21/2019 Qiu Smith December 2007
31/32
G"
Figure 4
The Relationship between Net Debt Issue and Financial Deficit
A/*99 1%2&97C
J4$6 I$(*.7 6*22%.$Q76 347 .79%3$:'64$& =73H77' '73
8/21/2019 Qiu Smith December 2007
32/32
Appendix: Measurement of Variables
Variable Compustat Code
V%64