金融專業(yè)外文翻譯------資本結(jié)構(gòu)和債務(wù)結(jié)構(gòu)

1、<p>　　本科畢業(yè)論文（設(shè)計(jì)）</p><p>　　外 文 翻 譯</p><p><b>　　原文：</b></p><p>　　Capital Structure and Debt Structure</p><p>　　In this study, we provide a number of n

2、ew insights into capital structure decisions by recognizing that firms simultaneously use different types, sources, and priorities of debt. These insights are based on a novel data set that records the type, source, and

3、priority of every balance sheet debt instrument for a large sample of rated public firms. The data are collected directly from financial footnotes in firms’ annual 10-K filings and supplemented with information on pricin

4、g and covenants from </p><p>　　We begin by showing the importance of recognizing debt heterogeneity in capital structure studies. We classify debt into bank debt, straight bond debt, convertible bond debt, p

5、rogram debt (such as commercial paper), mortgage debt, and all other debt. For almost 70% of firm-year observations in our sample, balance sheet debt comprises significant amounts of at least two of these types. Even mor

6、e striking is the fact that 25% of the observations in our sample experience no significant one-year cha</p><p>　　In this section, we motivate our empirical analysis of the relation between debt structure an

7、d credit quality by examining hypotheses from the theoretical literature on debt composition and priority.</p><p>　　The first group of theories hypothesizes that firms should move from bank debt to non-bank

8、debt as credit quality improves (Diamond, 1991; Chemmamur and Fulghieri, 1994; Boot and Thakor, 1997;Bolton and Freixas, 2000). The seminal article is Diamond’s (1991b) model of reputation acquisition. In his model, firm

9、s graduate from bank debt to arm’s length debt by establishing a reputation for high earnings. More specifically, the main variable that generates cross-sectional predictions is the ex-ante</p><p>　　The mode

10、l by Bolton and Freixas (2000) explores the optimal mix of bonds, bank debt, and equity. The key distinction between bonds and bank debt is the monitoring ability of banks. If current returns are low and default is pendi

11、ng, banks can investigate the borrower’s future profitability, whereas bond holders always liquidate the borrower. In their model, high quality firms do not value the ability of banks to investigate, and therefore rely p

12、rimarily on arm’s length debt. Lower quality borrowe</p><p>　　Two main hypotheses emerge from this kind of model. First, the lender with monitoring duties (the bank) should be the most senior in the capital

13、structure. The intuition is as follows: a bank’s incentive to monitor is maximized when the bank appropriates the full return from its monitoring effort. In the presence of senior or pari passu non-monitoring lenders, th

14、e bank is forced to share the return to monitoring with other creditors, which reduces the bank’s incentive to monitor.Second, the pres</p><p>　　The intuition of this latter result is evident if one consider

15、s a bank creditor with a claim that represents a very large fraction of the borrower’s capital structure. In such a situation, the bank has less of an incentive to liquidate a risky borrower, given that the bank’s large

16、claim benefits relatively more from risk-taking than a smaller claim. In other words, a large bank claim is more “equity-like” than a small bank claim given its upside potential. As a result, reducing the size of the s&l

17、t;/p><p>　　junior debt improves the banks’ incentive to detect risk-shifting. Alternatively, by holding a small stake in the firm, bank lenders are able to credibly threaten borrowers with liquidation, which ma

18、kes their monitoring more powerful in reducing managerial value-decreasing behavior.</p><p>　　There are at least two ways, however, in which the existing theories do not map into our empirical design. First,

19、 theories such as Diamond (1993), Besanko and Kanatas (1993), and Park (2000) derive a priority structure as the optimal contract under incentive conflicts, but they do not explicitly derive the comparative static of how

20、 optimal priority structure should vary across a continuum of incentive conflict severity. A thought experiment close to this is provided by DeMarzo and Fishman (2007)</p><p>　　Second, with the exception of

21、DeMarzo and Fishman (2007) and some other recent dynamic contracting work, these theories are static in nature, and therefore do not predict how debt structure should change with respect to the evolution of stochastic ca

22、sh flows. In this sense, the theory is more relevant for our random sample cross-sectional results more than our panel results on fallen angels.</p><p>　　Indeed, Diamond (1993), Besanko and Kanatas (1993), a

23、nd Park (2000) are ex-ante models in which moral hazard explains the existence of priority structure; however, they do not consider dynamic deterioration in the firm’s credit quality. In DeMarzo and Fishman (2007), agent

24、s draw down on credit lines when cash flows are insufficient to pay debt coupons. However, there are no dynamic models to our knowledge that derive both an increase in secured and subordinated debt as a percentage of tot

25、al debt</p><p>　　Figure 1 presents our first main result on the relation between credit quality and debt structure:firms lower in the credit quality distribution spread the priority structure of their debt o

26、bligations. While investment grade firms rely uniquely on senior unsecured debt and equity, speculative grade firms rely on a combination of secured bank debt, senior unsecured debt, subordinated convertibles and bonds,

27、and equity.</p><p>　　Table 4 presents estimates of these patterns in a regression context. In Panel A, the left hand side variables are the debt priority class amounts scaled by total debt. The omitted credi

28、t quality group is firms rated A or better. As the coefficients show, speculative grade firms have a much higher fraction of their debt in secured and subordinated obligations. The magnitude is economically significant:

29、secured and subordinated debt as a fraction of total debt is more than 50% higher for firms wi</p><p>　　In Panel B, the left hand side variable for each regression is the debt priority class amount scaled by

30、 total capitalization.: lower credit quality firms use a substantially higher fraction of secured and subordinated debt in their capital structure. Once again, the magnitudes are striking: the combination of secured and

31、subordinated debt as a fraction of total capital structure is higher by more than 40% for B-rated firms compared to firms rated A or higher. Meanwhile, senior unsecured debt act</p><p>　　Using a novel data s

32、et on the debt structure of a large sample of rated public firms, we show that debt heterogeneity is a first order aspect of firm capital structure. The majority of firms in our sample simultaneously use bank and non-ban

33、k debt, and we show that a unique focus on leverage ratios misses important variation in security issuance decisions. Furthermore, cross-sectional correlations between traditional determinants of capital structure (such

34、as profitability) and different debt typ</p><p>　　We then examine debt structure across the credit quality distribution. We show that firms of lower credit quality have substantially more spreading in their

35、priority structure, using a multi-tiered debt structure often consisting of both secured and subordinated debt issues. We corroborate these results in a separately collected dataset for firms that experience a drop in cr

36、edit quality from investment grade to speculative grade. Here too, firms spread their priority structure as they worsen in </p><p>　　The spreading of the capital structure as credit quality deteriorates is b

37、roadly consistent with models such as Park (2000) that view the existence of priority structure as the optimal solution to manager-creditor incentive problems. However, to our knowledge, the existing models do not exactl

38、y deliver the dynamics that we find. For example, they do not derive differential priority structures as a function of a continuum of either moral hazard severity or creditor quality types. Further, these m</p>&l

39、t;p>　　We close by highlighting two other avenues for future research. First, our findings suggest that recognition of debt heterogeneity might prove useful in examining the effect of financing on invest mentor the imp

40、ortance of adjustment costs in capital structure studies. Indeed, we have shown that firms frequently adjust their debt structure even when total debt remains relatively stable. This latter fact suggests that adjustment

41、costs are not as large as an examination of total debt implies. An im</p><p>　　Second, we hypothesize that our findings with regard to fallen angels may help explain the difference between bank and non-bank

42、debt recovery rates in bankruptcy (Hamilton and Carty, 1999;Carey and Gordy, 2007). According to Standard & Poor’s, bank debt recovery rates are 75% whereas senior unsecured bonds recover only 37%. Our findings sugge

43、st that one can perhaps trace the bank debt recovery premium to the moment when firms move from investment grade to speculative grade debt ratings. It is at</p><p>　　Source: Joshua D. Rauh，Amir Sufi，2010，“Ca

44、pital Structure and Debt Structure”. </p><p>　　Review of Financial Studies,vol.23,no.12, December.PP.4242-4280</p><p><b>　　譯文：</b></p><p><b>　　資本結(jié)構(gòu)和債務(wù)結(jié)構(gòu)</b>&

45、lt;/p><p>　　在這個(gè)研究中，我們提供大量的資本結(jié)構(gòu)決策的新見解,認(rèn)識到公司同時(shí)使用不同的債務(wù)類型、來源和優(yōu)先債務(wù)。這些觀點(diǎn)基于一個(gè)數(shù)據(jù)集，數(shù)據(jù)集中的債券來源于每一個(gè)大樣本的公共公司。收集數(shù)據(jù)直接從公司10年文檔中的金融腳注和來源定價(jià)和契約基礎(chǔ)的信息：路透社LPC分析的固定收益?zhèn)瘮?shù)據(jù)庫。據(jù)我們所知該數(shù)據(jù)集是其中一有個(gè)最全面的信息來源的債務(wù)融資結(jié)構(gòu)的公共公司，在資產(chǎn)負(fù)債表中它包含詳細(xì)的組成公司債務(wù)的股票，遠(yuǎn)遠(yuǎn)

46、超過了基礎(chǔ)數(shù)據(jù)單獨(dú)提高的信息。</p><p>　　首先,我們認(rèn)識到債務(wù)資本結(jié)構(gòu)中的異質(zhì)性研究的重要性表現(xiàn)。我們的債務(wù)包括銀行債務(wù)、直債券債務(wù)、可轉(zhuǎn)換債券債務(wù)、程序債務(wù)(如商業(yè)票據(jù))、抵押債務(wù)和所有其它債務(wù)。我們的樣本中有近70%公司年度報(bào)表，至少大量包含資產(chǎn)債務(wù)表和債務(wù)法。更令人驚訝的事實(shí)是，觀察中有25%的樣品沒有一年改變他們的全部債務(wù)而是明顯調(diào)整基本組成的欠債。研究表明，治理公司債務(wù)忽略了這個(gè)異質(zhì)性，想必在

47、建設(shè)更適合的理論模型或由于對以前的數(shù)據(jù)缺乏興趣。</p><p>　　在本節(jié)中，們鼓勵(lì)通過檢查從債務(wù)構(gòu)成和優(yōu)先的理論文獻(xiàn)假設(shè)我們之間的債務(wù)結(jié)構(gòu)和信貸質(zhì)量關(guān)系的實(shí)證分析。</p><p>　　第一組理論推測，企業(yè)應(yīng)該從銀行債務(wù)的非銀行債務(wù)的信用質(zhì)量得到改善（黛蒙德，1990；謝姆努爾和法拉，1994；布特和撒克，1997；博爾頓和弗雷克薩斯，2000）。黛蒙德（1991）寫的文章具有開創(chuàng)性，

48、他的模型中，企業(yè)從銀行債務(wù)的公平債務(wù)畢一直獲得高收入而建立了聲譽(yù)。更確切的說，主要變量是公司可能有一個(gè)壞的項(xiàng)目的可能性。這個(gè)事前概率出現(xiàn)，改變了以盈利為基礎(chǔ)的評級而改用信用評級。壞的公司有一個(gè)較低的歷史收益，更有可能在未來選擇一個(gè)壞的項(xiàng)目。高質(zhì)量的公司直接從公平債權(quán)人那獲得借款避免支付與監(jiān)測有關(guān)的額外債務(wù)費(fèi)用；中等質(zhì)量的公司從銀行獲得借款，最低質(zhì)量的公司則是被配給。</p><p>　　由博爾頓和弗雷克薩斯（20

49、00）提供的模型探討了債券、銀行債務(wù)和股權(quán)的最佳組合。債券和銀行之間的債務(wù)主要區(qū)別在于銀行的監(jiān)控能力。如果當(dāng)前的回報(bào)很低默認(rèn)等待，銀行可以調(diào)查借款人的未來盈利能力，但是債券持有者總是清算借款人資產(chǎn)。在他們的模型中高質(zhì)量公司不需要值銀行調(diào)查盈利能力，因此主要依靠長期債務(wù)。質(zhì)量差的借款人注重銀行調(diào)查，從而在很大程度上依靠銀行貸款。</p><p>　　兩個(gè)主要假設(shè)擺脫這種模式。首先，擁有監(jiān)測貸款人的職責(zé)（銀行）的債務(wù)

50、人的資本是資本結(jié)構(gòu)最多的。直覺是：當(dāng)銀行激勵(lì)監(jiān)控最大時(shí)，銀行使用了所有監(jiān)測的努力?，F(xiàn)存的高級或同等地位的非監(jiān)控貸款，銀行被迫分享監(jiān)測權(quán)給其他債權(quán)人，從而降低了銀行激勵(lì)監(jiān)控監(jiān)測的回報(bào)。第二，初級非銀行債權(quán)人的存在提高了銀行高級的激勵(lì)監(jiān)視。當(dāng)銀行回報(bào)少時(shí)有強(qiáng)烈的動(dòng)力去監(jiān)督這一結(jié)果有點(diǎn)違反常理。帕克（2000）描述這他的研究成果：如果該項(xiàng)目繼續(xù)，受損的高級貸款人獲得將比只有公司只有一個(gè)債權(quán)人的少，因?yàn)樗乃魅?quán)小了。在另一方面，如果項(xiàng)目被清算

51、，受損的高級貸款人將作為唯一的貸款人得到同樣數(shù)額清償價(jià)值。鑒于其較低的持續(xù)經(jīng)營價(jià)值，銀行有較強(qiáng)的激勵(lì)來監(jiān)測公司清算。該次級債務(wù)的存在降低了銀行的要求，還增加了社會(huì)的有益監(jiān)測。</p><p>　　后者的直觀效果明顯，如果資本結(jié)構(gòu)中銀行貸款占了很大比率。在這種情況下，銀行對對有風(fēng)險(xiǎn)的借款人不會(huì)選擇清算，考慮到銀行更趨向于獲得大利益冒險(xiǎn)超過小利益。換言之，大銀行要的是“股票”，像小銀行則選擇其升值潛力。結(jié)果，減少了銀

52、行的高級索賠額，次級債務(wù)提高銀行風(fēng)險(xiǎn)激勵(lì)的轉(zhuǎn)移。另外，通過在公司持有少量股份，銀行貸款能真正威脅與清算，這使得大額貸款的借款人的監(jiān)控減少管理價(jià)值。</p><p>　　至少存在兩個(gè)方面，現(xiàn)有理論不符合實(shí)驗(yàn)設(shè)計(jì)結(jié)果。首先，如黛蒙德（1990）、貝贊可和卡娜塔（1993）和帕克（2000）研究結(jié)果是在沖突激勵(lì)下獲得最優(yōu)的資本結(jié)構(gòu)。但是他們沒有得到比較靜態(tài)資本結(jié)構(gòu)，不管如何確定資本結(jié)構(gòu)都會(huì)產(chǎn)生不同程度的沖擊。有一個(gè)由德

53、馬佐和菲什曼（2007）提出想法接近這個(gè)實(shí)驗(yàn)，他們做債務(wù)融資結(jié)構(gòu)研究方面的清算價(jià)值、管理耐心和管理私人收益的比較靜態(tài)分析的研究。然而，他們研究是長期債務(wù)和信貸額度，而不是債務(wù)優(yōu)先組合結(jié)構(gòu)的本身。</p><p>　　其次，除了德馬佐和菲什曼（2007）以及其它的一些動(dòng)態(tài)研究外，這些理論在本質(zhì)上是靜態(tài)的，因此不能預(yù)測隨機(jī)現(xiàn)金流的演變而如何改變債務(wù)結(jié)構(gòu)。在這個(gè)意義上說，這個(gè)理論是隨機(jī)抽樣調(diào)查結(jié)果相對于我們高價(jià)股突然下

54、跌下得出的結(jié)果更準(zhǔn)確。</p><p>　　事實(shí)上，黛蒙德（1993）、貝贊可和卡娜塔（1993）和帕克（2000）的重點(diǎn)闡述了道德風(fēng)險(xiǎn)模型的優(yōu)先級結(jié)構(gòu)的存在，但是，他們并沒有考慮在該公司的信用質(zhì)量動(dòng)態(tài)惡化。在德馬佐和菲什曼（2007）的研究中，代理信貸額度下降時(shí)，流動(dòng)現(xiàn)金不足以支付有息債券的利息。然而，在我們的知識中沒有一個(gè)動(dòng)態(tài)模型:債務(wù)結(jié)構(gòu)中擔(dān)保債務(wù)和次級債務(wù)在總債務(wù)的比例增加發(fā)現(xiàn)信貸質(zhì)量惡化。</p&

55、gt;<p>　　圖1介紹了關(guān)于信貸質(zhì)量和債務(wù)之間的結(jié)構(gòu)關(guān)系，我們得出的第一個(gè)主要結(jié)果是：企業(yè)的信貸質(zhì)量降低時(shí)選擇使用債務(wù)優(yōu)先結(jié)構(gòu)。投資公司依靠高級無擔(dān)保債務(wù)和股權(quán)的獨(dú)特性，投機(jī)公司依靠銀行擔(dān)保債務(wù)、高級無擔(dān)保債券、可轉(zhuǎn)換債券和股票的組合。</p><p>　　表四列出的是這些模式的回歸估計(jì)。在A組，左邊的的變量是優(yōu)先級債務(wù)規(guī)模與總負(fù)債金額。省略信貸質(zhì)量的那一組被評為A或者更好。由數(shù)據(jù)顯示，投機(jī)級的

56、公司其債務(wù)比例高得多，因?yàn)樗鼈冇幸粋€(gè)安全和服從的義務(wù)。重要的經(jīng)濟(jì)意義是：抵押和次級債務(wù)在總債務(wù)超過50%的公司是B級相對于A級或更好的評級公司。</p><p>　　在B組，左邊為每個(gè)是優(yōu)先級債務(wù)金額總市值規(guī)?；貧w變量。定性結(jié)果與A組結(jié)果相似：信用質(zhì)量較低的企業(yè)的資本結(jié)構(gòu)中擔(dān)保和次級債務(wù)比例較高。再次，結(jié)果驚人：B組中有擔(dān)保和次級債務(wù)占資本的40%遠(yuǎn)超過A組或者更好的公司。與此同時(shí)，資本結(jié)構(gòu)中的高級無擔(dān)保債務(wù)雖然

57、減少但實(shí)際上債務(wù)總額增加了。當(dāng)然，高級無抵押債務(wù)減少的速度是小于總市值和總債務(wù)的比值的規(guī)模。這反映一個(gè)事實(shí)，隨著企業(yè)信貸質(zhì)量的降低，債務(wù)總額和權(quán)益減少的更多。換句話說，隨著企業(yè)信貸質(zhì)量下降他們選擇使用銀行抵押債務(wù)和次級債務(wù)來替換無抵押債務(wù)和股票。這一發(fā)現(xiàn)在A圖也明顯看到。</p><p>　　使用一個(gè)新的有關(guān)大量公眾公司的債務(wù)結(jié)構(gòu)的數(shù)據(jù)集，我們表明，債務(wù)的異質(zhì)性是影響企業(yè)債務(wù)結(jié)構(gòu)變化的一個(gè)方面。我們樣本中大部分公

58、司都同時(shí)使用銀行和非銀行債務(wù)，同時(shí)我們得出結(jié)果，證券發(fā)行決策的失誤的會(huì)發(fā)生的杠桿變化。再者，傳統(tǒng)資本結(jié)構(gòu)的決定因素（如利潤）和不同種類的債務(wù)是異質(zhì)的相關(guān)。這些結(jié)果表明，對一個(gè)企業(yè)資本結(jié)構(gòu)的認(rèn)識就必須了解企業(yè)如何以及為什么使用多種類型、來源、優(yōu)先性的債務(wù)結(jié)構(gòu)。</p><p>　　然后，我們在審查債務(wù)的信用質(zhì)量分布結(jié)構(gòu).我們研究結(jié)果表明：信用質(zhì)量低的企業(yè)更大的依賴債務(wù)優(yōu)先級結(jié)構(gòu)，使用多層次的債務(wù)往往有抵押和次級債務(wù)

59、問題出現(xiàn)。我們從經(jīng)歷了信用質(zhì)量下降至投機(jī)級的企業(yè)收集的數(shù)據(jù)證實(shí)了結(jié)果。那些企業(yè)之所以推廣債務(wù)優(yōu)先級是因?yàn)樾刨J質(zhì)量的惡化。信貸質(zhì)量的惡化影響到了資本結(jié)構(gòu)，這是具有代表性的公司內(nèi)部的現(xiàn)象。低質(zhì)量的企業(yè)增加的擔(dān)保債務(wù)一般是銀行擔(dān)保債務(wù)，而增加的次級債券是可轉(zhuǎn)換債券。信貸質(zhì)量惡化會(huì)影響公司資本結(jié)構(gòu)的觀點(diǎn)基本與模型一致，就像帕克的觀點(diǎn)（2000），債務(wù)優(yōu)先級結(jié)構(gòu)式解決經(jīng)理人和債權(quán)人之間矛盾最佳方法。然而，據(jù)我們所知，現(xiàn)在還不能準(zhǔn)確提供動(dòng)態(tài)模型。例

60、如，他們不介意獲得債務(wù)優(yōu)先償還權(quán)，一個(gè)有關(guān)道德風(fēng)險(xiǎn)和債權(quán)人品質(zhì)類型的連續(xù)函數(shù)。此外，這些模型沒有解釋為什么公司降級后非銀行問題必須服從現(xiàn)有的非銀行債務(wù)或可轉(zhuǎn)換債券。理論研究表明，使用可轉(zhuǎn)換債券可以降低風(fēng)險(xiǎn)，通過使用對證券價(jià)值不敏感的現(xiàn)金流量（布倫南和施瓦茲，1988），發(fā)行股票時(shí)克服信息不對稱問題（斯坦因，1922）。未來的研究可以整合這些想法可轉(zhuǎn)換債券成為連接債務(wù)結(jié)構(gòu)和資本結(jié)構(gòu)的橋梁。</p><p>　　為了

61、今后的研究，我了解了其他兩個(gè)重要途徑。首先，我們研究結(jié)果表明債務(wù)的異質(zhì)性可能是有益的，在審查融資中投資顧減少問在資本結(jié)構(gòu)研究中調(diào)整成本的重要性。事實(shí)上，我們已然表明公司經(jīng)常調(diào)整其債務(wù)，使債務(wù)總額依然相對穩(wěn)定。這個(gè)事實(shí)表明，調(diào)整后的成本小于事前所有債務(wù)的預(yù)算。一個(gè)重要的問題，涉及到調(diào)整成本的文獻(xiàn)研究企業(yè)是否有債務(wù)構(gòu)成的目標(biāo)規(guī)劃，如果有的話，這些文獻(xiàn)研究是怎樣影響目標(biāo)的調(diào)整速度。為了解決這個(gè)問題，我們樣本中需要一個(gè)大量的面板數(shù)據(jù)。</

62、p><p>　　第二，我們推測高價(jià)股突然下跌可以解釋銀行和非銀行債務(wù)在破產(chǎn)時(shí)回收率的差別原因（漢密爾頓和卡蒂，1999；凱里和戈迪，2007）。根據(jù)標(biāo)準(zhǔn)·普爾指數(shù)，銀行債務(wù)回收率為75％，而高級無抵押債券只是收回37％。我們的研究結(jié)果表明,或許當(dāng)公司的債券評級從投資下降到投機(jī)是，可以跟蹤銀行債務(wù)的追討。正是這一點(diǎn)銀行能成為擔(dān)保和增加契約控制力的原因，這兩者都可能會(huì)增加破產(chǎn)時(shí)債務(wù)回收率。</p>