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’ 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.