資本結(jié)構(gòu)難題【外文翻譯】

1、<p><b>　　外文翻譯</b></p><p><b>　　原文</b></p><p>　　The Capital Structure Puzzle</p><p>　　Material Source: Paper Resources Author: Stewart C. My

2、ers</p><p>　　THISPAPER'S TITLE IS INTENDED to remind you of Fischer Black's well-known note on "The Dividend Puzzle," which he closed by saying, "What should the corporation do about d

3、ividend policy? We don't know." I will start by asking, "How do firms choose their capital structures?" Again, the answer is, "We don't know." </p><p>　　The capital structur

4、e puzzle is tougher than the dividend one. We know quite a bit about dividend policy. John Lintner's model of how firms set dividends 1201 dates back to 1956, and it still seems to work. We know stock prices respond

5、to unanticipated dividend changes, so it is clear that dividends have information content-this observation dates back at least to Miller and Modigliani (MM) in 1961. We do not know whether high dividend yield increases t

6、he expected rate of return demanded by inves</p><p>　　By contrast, we know very little about capital structure. We do not know how firms choose the debt, equity or hybrid securities they issue. We have only

7、recently discovered that capital structure changes convey information to investors. There has been little if any research testing whether the relationship between financial leverage and investors' required return is

8、as the pure MM theory predicts. In general, we have inadequate understanding of corporate financing behavior, and of how that behav</p><p>　　I do not want to sound too pessimistic or discouraged. We have acc

9、umulated many helpful insights into capital structure choice, starting with the most important one, MM's No Magic in Leverage Theorem (Proposition 1) 1311. We have thought long and hard about what these insights impl

10、y for optimal capital structure. Many of us have translated these theories, or stories, of optimal capital structure into more or less definite advice to managers. But our theories don't seem to explain actual financ

11、in</p><p>　　I will contrast two ways of thinking about capital structure: </p><p>　　1. A static tradeoff framework, in which the firm is viewed as setting a target debt-to-value ratio and gra

12、dually moving towards it, in much the same way that a firm adjusts dividends to move towards a target payout ratio. </p><p>　　2. An old-fashioned pecking order framework, in which the firm prefers internal t

13、o external financing, and debt to equity if it issues securities. In the pure pecking order theory, the firm has no well-defined target debt-to-value ratio. Recent theoretical work has breathed new life into the pecking

14、 order frame- work. I will argue that this theory performs at least as well as the static tradeoff theory in explaining what we know about actual financing choices and their average impacts on stock </p><p>

15、　　Managerial and Neutral Mutation Hypotheses </p><p>　　I have arbitrarily, and probably unfairly, excluded "managerial" theories which might explain firms' capital structure choices.' I hav

16、e chosen not to consider models which cut the umbilical cord that ties managers' acts to stockholders' interests. </p><p>　　I am also sidestepping Miller's idea of "neutral mutation." H

17、e suggests that firms fall into some financing patterns or habits which have no material effect on firm value. The habits may make managers feel better, and since they do no harm, no one cares to stop or change them. Thu

18、s someone who identifies these habits and uses them to predict financing behavior would not be explaining anything important.</p><p>　　The neutral mutations idea is important as a warning. Given time and ima

19、gination, economists can usually invent some model that assigns apparent economic rationality to any random event. But taking neutral mutation as a strict null hypothesis makes the game of research too tough to play. If

20、an economist identifies costs of various financing strategies, obtains independent evidence that he costs are really there, and then builds a model based on these costs which explains firms' financing behavio</p&g

21、t;<p>　　There is another reason for not immediately embracing neutral mutations: we know investors are interested in the firm's financing choices, because stock prices change when the choices are announced. Th

22、e change might be explained as an information effect" having nothing to do with financing per se-but again, it is bit too easy to wait until the results of an event study are in, and then to think of an information

23、story to explain them. On the other hand, if one starts by assuming that managers ha</p><p>　　So this paper is designed as a one-on-one competition of the static tradeoff and pecking-order stories. If neithe

24、r story explains actual behavior, the neutral mutations story will be there faithfully waiting. </p><p>　　The Static Tradeoff Hypothesis </p><p>　　A firm's optimal debt ratio is usually view

25、ed as determined by a tradeoff of the costs and benefits of borrowing, holding the firm's assets and investment plans constant. The firm is portrayed as balancing the value of interest tax shields against various cos

26、ts of bankruptcy or financial embarassment. Of course, there is controversy about how valuable the tax shields are, and which, if any, of the costs of financial embarassment are material, but these disagreements give onl

27、y variations on a the</p><p>　　Costs of adjustment. If there were no costs of adjustment, and the static tradeoff theory is correct, then each firm's observed debt-to-value ratio should be its optimal ra

28、tio. However, there must be costs, and therefore lags, in adjusting to the optimum. Firms can not immediately offset the random events that bump them away from the optimum, so there should be some cross-sectional dispers

29、ion of actual debt ratios across a sample of firms having the same target ratio.</p><p>　　Large adjustment costs could possibly explain the observed wide variation in actual debt ratios, since firms would be

30、 forced into long excursions away from their optimal ratios. But there is nothing in the usual static tradeoff stories suggesting that adjustment costs are a first-order concern-in fact, they are rarely mentioned. Invoki

31、ng them without modelling them is a cop-out. </p><p>　　Any cross-sectional test of financing behavior should specify whether firms' debt ratios differ because they have different optimal ratios or becaus

32、e their actual ratios diverge from optimal ones. It is easy to get the two cases mixed up. For example, think of the early cross-sectional studies which attempted to test MM's Proposition I. These studies tried to fi

33、nd out whether differences in leverage affected the market value of the firm (or the market capitalization rate for its operating income</p><p>　　Of course, one way to make sense of these tests is to assume

34、that adjustment costs are small, but managers don't know, or don't care, what the optimal debt ratio is, and thus do not stay close to it. The researcher then assumes some (usually unspecified) "managerial&q

35、uot; theory of capital structure choice. This may be a convenient assumption for a cross-sectional test of MM's Proposition I, but not very helpful if the object is to understand financing behavior. </p><p

36、>　　But suppose we don't take this "managerial" fork. Then if adjustment costs are small, and firms stay near their target debt ratios, I find it hard to understand the observed diversity of capital struc

37、tures across firms that seem similar in a static tradeoff framework. If adjustment costs are large, so that some firms take extended excursions away from their targets, then we ought to give less attention to refining ou

38、r static tradeoff stories and relatively more to understanding what the adjustme</p><p>　　But I am getting ahead of my story. On to debt and taxes. </p><p>　　Debt and taxes. Miller's famous

39、"Debt and Taxes" paper cut us loose from the extreme implications of the original MM theory, which made interest tax shields so valuable that we could not explain why all firms were not awash in debt. Miller de

40、scribed an equilibrium of aggregate supply and demand for corporate debt, in which personal income taxes paid by the marginal investor in corporate debt just offset the corporate tax saving. However, since the equilibri

41、um only determines aggregates, debt po</p><p>　　Trouble is, this explanation works only if we assume that all firms face approximately the same marginal tax rate, and that is an assumption we can immediately

42、 reject. The extensive trading of depreciation tax shields and investment tax credits, through financial leases and other devices, proves that plenty of firms face low marginal rates. </p><p>　　Given signifi

43、cant differences in effective marginal tax rates, and given that the static tradeoff theory works, we would expect to find a strong tax effect in any cross-sectional test, regardless of whose theory of debt and taxes you

44、 believe. </p><p>　　Figure 2 plots the net tax gain from corporate borrowing against the expected realizable tax shield from a future deduction of one dollar of interest paid. For some firms this number is 4

45、6 cents, or close to it. At the other extreme, there are firms with large unused loss carry forwards which pay no immediate taxes. An extra dollar of interest paid by these firms would create only a potential future dedu

46、ction, usable when and if the firm earns enough to work off prior carry for- wards. The expec</p><p><b>　　譯文</b></p><p><b>　　資本結(jié)構(gòu)之謎</b></p><p>　　資料來源:論文資源庫

47、 作者：斯圖爾特?C?邁爾斯</p><p>　　本文的標(biāo)題是意在提醒費希爾布萊克的著名理論“股利之謎”本文的標(biāo)題是意在提醒大家費希爾布萊克的著名理論“股利之謎”，他最后說，“公司應(yīng)該做些什么與股息政策相關(guān)的內(nèi)容？我們不知道?！笔紫任視螅肮救绾芜x擇自己的資本結(jié)構(gòu)？”同樣，答案是，“我們不知道?！?lt;/p><p>　　讓人不解的是資本結(jié)構(gòu)比股息

48、更強硬。我們知道不少有關(guān)股利政策的內(nèi)容，約翰林特納的模式如何設(shè)置分紅公司的歷史可以追溯到1201至1956年，似乎仍在使用。我們知道，股票價格應(yīng)對意外的股利變動，所以很明顯，股息有資料內(nèi)容這個觀察至少可以追溯到1961年米勒和莫迪利亞尼。我們不知道是否會增加要求高股息收益率的預(yù)期回報率的投資者，作為增加稅收的建議的MM股利無關(guān)的證明，但至少金融經(jīng)濟學(xué)家在這個問題上罵個不停。</p><p>　　相比之下，我們對資

49、本結(jié)構(gòu)了解很少。我們不知道公司如何選擇債券，股票或混合型證券的問題。我們最近才發(fā)現(xiàn)，資本結(jié)構(gòu)的變化信息是傳遞給投資者的。目前幾乎已經(jīng)沒有財務(wù)杠桿之間是否和投資者的要求回報率的關(guān)系研究的純MM理論預(yù)測了。在一般情況下，我們的企業(yè)對融資行為認(rèn)識不足，以及如何影響安全行為的回報。</p><p>　　我不想聽起來太悲觀或沮喪。我們已經(jīng)積累到很多關(guān)于資本結(jié)構(gòu)選擇的有益見解，首先是最重要的一點是，MM的無杠桿定理（命題一）

50、。我們對最優(yōu)資本結(jié)構(gòu)的想法漫長而艱辛。我們很多人都翻譯這些理論，給管理人員或多或少最佳的資本結(jié)構(gòu)的意見。但是，我們的理論似乎不能解釋實際的融資行為，當(dāng)我們遠(yuǎn)離實際決定的解釋，指導(dǎo)企業(yè)優(yōu)化資本結(jié)構(gòu)看似狂妄。我做的已經(jīng)多于寫的最優(yōu)資本結(jié)構(gòu)的份額，所以我借此機會做出修訂，并努力推動一些新的研究方向。</p><p>　　我會對比兩個對資本結(jié)構(gòu)的思考方式：</p><p>　　1、靜態(tài)權(quán)衡的框架內(nèi)

51、，該公司被視為設(shè)定一個目標(biāo)負(fù)債比率并逐步走向之，在大致相同的方式，一個公司調(diào)整股息邁向目標(biāo)。</p><p>　　2、老式啄食理論的框架，該公司寧愿內(nèi)部融資好于外部融資，和如果發(fā)行債券的債務(wù)和權(quán)益。在純啄食理論，該企業(yè)沒有明確界定的目標(biāo)債務(wù)價值的比例。最近的理論工作注入了最后的名次框架工作的新生命。我將證明，這一理論至少執(zhí)行以及在解釋我們所知道的實際融資選擇與股票價格的平均影響靜態(tài)權(quán)衡理論。</p>

52、<p><b>　　管理和中性突變假說</b></p><p>　　我隨意，可能不公平，排除“管理”理論這或許可以解釋公司的資本結(jié)構(gòu)的選擇。我選擇不考慮剪斷經(jīng)理人的行為對股東的利益關(guān)系的模型。</p><p>　　我也回避米勒的想法“中性突變”。他認(rèn)為，企業(yè)到一些融資模式或習(xí)慣對公司價值下降沒有重大影響。這種習(xí)慣可能會讓管理者感覺更好，由于他們沒有壞處，沒

53、人關(guān)心停止或更改。因此，誰確定這些習(xí)慣并使用它們來預(yù)測融資行為就不會被解釋的有多重要。</p><p>　　這個中性突變的想法是一個重要的警告。由于時間和想象力，經(jīng)濟學(xué)家通?？梢园l(fā)明一些明顯的經(jīng)濟模式，合理分配到任何偶發(fā)事件。但是，嚴(yán)格的零假設(shè)中性突變使得研究太難進(jìn)行。如果一個經(jīng)濟學(xué)家指出了各種融資戰(zhàn)略成本，獲得獨立的證據(jù)證明他確實有成本，然后在這些成本的基礎(chǔ)上解釋了企業(yè)的融資行為為基礎(chǔ)的模型，當(dāng)時已經(jīng)取得了一些

54、進(jìn)展，即使這個說明很難證明，也就是說，一個A型融資策略提出了比B型策略更高的價值。（事實上，如果所有的公司按照價值最大化的策略我們再也看不到B型策略。）</p><p>　　還有一個中性突變不會立即擁抱的理由：我們知道投資者對該公司的融資選擇感興趣，因為股票選擇公布時，價格會變化。這種變化可能被解釋為一個信息效應(yīng)“無關(guān)與融資本身，等待的事件的研究結(jié)果太容易，然后想到一個信息的故事來解釋。另一方面，如果一開始假設(shè)經(jīng)

55、理人有特殊信息，建立這些如何改變?nèi)谫Y模式選擇的信息，并預(yù)測這對投資者的選擇是好還是壞，當(dāng)時已經(jīng)取得了一些進(jìn)展。</p><p>　　因此，本文是根據(jù)靜態(tài)權(quán)衡和啄食順序故事的一對一的競爭而設(shè)計的。如果沒有故事解釋實際行為，那么中性突變的故事將在那里認(rèn)真等待。</p><p><b>　　靜態(tài)權(quán)衡假說</b></p><p>　　一個公司的最優(yōu)負(fù)債

56、比例通常被視為由借貸的成本和收益的權(quán)衡所決定，控股公司的資產(chǎn)和投資計劃不變。該公司被描繪成平衡利息稅盾對破產(chǎn)或經(jīng)濟困難的各種成本的價值。當(dāng)然，還有爭議有關(guān)的稅盾多么寶貴的，其中，如果有的話，對經(jīng)濟困難的成本材料，但這些分歧只給出一個主題的變化。該公司是應(yīng)該代替?zhèn)鶆?wù)債務(wù)股本或股本，直至公司價值的最大化。</p><p>　　費用的調(diào)整。在沒有調(diào)整成本的條件下如果靜態(tài)權(quán)衡理論是正確的，那么每家公司的觀察債務(wù)價值的比例

57、應(yīng)是其最佳比例。但是，必須有成本的，因此必須調(diào)整到最佳。公司不能立即彌補隨機的事件，使他們遠(yuǎn)離最佳，因此應(yīng)在一個具有相同的目標(biāo)比例公司的抽樣調(diào)查的一些實際負(fù)債率橫斷面分散。</p><p>　　大的調(diào)整成本可能可以用來解釋所觀察到的實際負(fù)債率差異很大的現(xiàn)象，因為公司將被納入長期被迫離開他們游覽的最佳比例。但是，在通常的靜態(tài)權(quán)衡這表明調(diào)整成本是一階的關(guān)注，實際上，他們與很少被提及的理論無關(guān)。他們沒有調(diào)用造型是一個虎

58、頭蛇尾的舉動。</p><p>　　任何融資行為的橫截面試驗應(yīng)指定是否與公司的負(fù)債率有所不同，因為他們有不同的最佳比例，或者因為他們的實際比例偏離最優(yōu)的。這是很容易得到兩個混合個案。例如，認(rèn)為早期的橫斷面研究，嘗試從測試MM的命題一，這些研究試圖找出杠桿率的差異是否影響了企業(yè)（或經(jīng)營收入的市值率）的市場價值。事后看來，我們可以很快看到了問題所在：如果調(diào)整的代價很小，每個樣本中的公司正處于或接近其最佳，負(fù)債比率則在

59、樣本必須反映在分散風(fēng)險或其他因素的不同影響最佳資本結(jié)構(gòu)。但后來MM的命題表明，除非對公司價值的風(fēng)險和其他因素的影響，測試可以調(diào)整。現(xiàn)在我們已經(jīng)學(xué)會從經(jīng)驗有多難舉辦的“其他條件不變”的橫截面回歸。</p><p>　　當(dāng)然，選擇一種方法使這些測試的感覺是假設(shè)調(diào)整成本雖小，但是管理人員不知道或不關(guān)心，什么是最佳的負(fù)債比率，因此不貼近它。一些研究者則假設(shè)（通常是未指定）“管理”資本結(jié)構(gòu)的選擇理論。這可能是一個MM的命題

60、我截測試方便的假設(shè)，但不是很有益的，如果對象是了解融資行為。</p><p>　　但是，假如我們不采取這種“管理”交叉。然后，如果調(diào)整的成本很小，他們的目標(biāo)和企業(yè)負(fù)債率很接近，將會發(fā)現(xiàn)很難解整個公司的資本結(jié)構(gòu)，似乎在觀察類似的靜態(tài)權(quán)衡框架的多樣性。因為調(diào)整的代價是巨大的，所以有些公司采取遠(yuǎn)離自己的目標(biāo)延長旅行，那么，我們應(yīng)該給不太注意改進(jìn)我們的靜態(tài)權(quán)衡的理論和更多地了解什么是相對的調(diào)整成本，為什么他們是如此的重要