Introduction: Capital structure is divided into debt capital and equity capital according to sources; Divided into short-term capital and long-term capital according to the term. In the analysis of capital structure, traditional financial analysis focuses on the analysis of capital source structure through indicators such as asset-liability ratio, while ignoring the analysis of capital term structure. The following is the capital structure analysis I brought to you, hoping to help you.
High leverage means high risk. Since the US subprime mortgage crisis in 2007, deleveraging? It has quickly become a familiar vocabulary in global industry and academia. At the same time, Chinese-style deleveraging, especially the debt ratio of the enterprise sector, has increasingly become a pain for China (Yao Yudong, 20 15). The relevant research report of Morgan Stanley on May 27th, 20 15 shows that as of May 27th, 20 14, China's debt ratio has reached 224%, and corporate debt has also reached 178%. At this time, how to adjust and optimize the capital structure of enterprises is related to the sustainable development and even survival of enterprises. This paper recommended in this issue does not directly propose the adjustment or optimization scheme of capital structure, but considers the company's financial policy from a more fundamental aspect. This is because if the company's capital structure is stable across time and space, it will be meaningful to clarify the long-term determinants of capital structure; If the instability of capital structure exists widely, time-varying determinants, such as investment timing, will be an essential part of financial policy. The research of scholars DeAngelo and Roll(20 15) shows that the company's capital structure is unstable for a long time.
Research background
Regarding the stability of capital structure, there are two contradictory voices in the existing research: negative and positive.
Among the negative voices, Fama and French(2002), Hovakimian and Li (20 1 1) think that the process of corporate leverage regression is long, and Chang and Dasgupta(2009) analyzed the process of corporate leverage regression and found that the mean regression may reflect random financing behavior, rather than planned leverage rebalancing. This leads to a financial policy strategy: keeping the leverage ratio close to the target ratio is not the focus of management.
In the affirmative voice, scholars Frank and Goyal(2008) reviewed the existing research results of capital structure and pointed out that? A satisfactory theory must explain why the company's leverage ratio remains stable. . At present, the relevant explanations can be summarized into two aspects, one is the target (or optimal) capital structure, and the other is the decisive factor of capital structure. In recent years, the research on the former has emerged day by day, mainly focusing on analyzing whether the company has a target capital structure, if so, under what conditions the company will adjust the capital structure to the target level, and what are the influencing factors of the adjustment speed, such as Huang and Ritter(2009), Oztekin and Flannery(20 12). Among the latter, Frank and Goyal(2009) extracted six core factors (median industry debt ratio, tangible assets ratio, profitability, company size, P/B ratio and expected inflation rate) that affect the capital determination structure. The above research does not directly show the stable characteristics of capital structure, but scholars such as Lemmon (2008) analyze the stability of corporate capital structure by examining whether there is a significant fixed effect in the panel regression of leverage. Their research shows that the fixed effect of the company is significant in regression, and the factors that do not change with time will help the company's capital structure to remain stable for 20 years or longer.
Research process and content
(1) Based on the statistical data of 1950-2008 in the United States 15096, the author first investigates the distribution of changes in the capital structure of industrial companies, and draws the conclusion that the time series instability of the company's capital structure is widespread in the medium and long term, and it is also common in the short term. Among them, the company's capital structure is mainly analyzed by the following three indicators: the book value of corporate debt/total assets (this paper is called book leverage ratio), the book value of corporate debt/(book value of debt+market value of common stock) (this paper is called market leverage ratio) and (debt-cash)/total assets (net debt ratio).
(2) Taking industrial companies that have been listed for more than 20 years (including 20 years) as samples, this paper investigates the fluctuation degree of the company's capital structure (expressed by book leverage ratio, the same below) from the first year to the following 19 years. For example, after five years, the leverage ratio of 8 1.5% companies will go out of the fluctuation range of 5% from the initial value, and the leverage ratio of 6 1. 1% companies will exceed the range of 10%; After 19, 9 1.4% companies will exceed the fluctuation range of 10%.
(3) Divide the sample time series into two parts, and use two testing methods to test whether there are structural differences before and after the capital structure time series. These two test methods are T test and hotelling T2 test respectively. The former assumes that the variance is fixed, while the latter assumes that the variance is unconstrained. The test results show that the stable original hypothesis is rejected.
(4) Build a panel regression model, and compare the fixed effect of the company with the regression when it changes with F statistics, so as to judge the stability of the capital structure, mainly by setting the virtual variables of the company to remain unchanged and adjusting them once every ten years. F-statistic rejects the assumption that the fixed effect of companies remains unchanged, which seems to be in contrast with the analysis of Lemmon et al. (2008), but the author's further analysis shows that the whole sample of Lemmon et al. (2008) contains more company data with shorter series than the selection of source samples. The specific regression model can be read in the original text.
(5) Using variance decomposition, the importance of company fixed effect, time fixed effect and company time multiplication term in the model is explained. The contribution of the company's time multiplier is higher. If this multiplication term is not considered, the contribution rate of the company's fixed increase effect will be greatly overestimated, that is to say, we need to pay attention to the company's unique time series change factors in the leverage ratio analysis.
(6) If the company is divided into four equal groups according to the leverage ratio, how will each group evolve? Looking at the companies that have been listed for more than 20 years, from the whole sample, only 7.2% companies still maintain the original group category after 19, and 69.5% companies already belong to more than three categories. Team members with the lowest leverage ratio and the highest leverage ratio are more persistent. After 19, 16.3% and 1 1.7% companies maintained their original group categories respectively.
(7) If the stable range is defined as 5% bandwidth fluctuation range, how many stable ranges will the leverage ratio of the company maintain in 10 and 20 years? In the sample of companies listed for more than 20 years, 2 1.3% companies remained in the stable range within 10 years, while only 4.2% companies listed for 20 years. For companies listed for more than 40 years, 2.6% remained in a stable range for 30 consecutive years. These ratios show that the long-term stability of leverage ratio is relatively rare.
(8) What are the characteristics of the leverage ratio of companies that maintain a stable range? Is it high or low? Among the companies that have remained in a stable range for 20 consecutive years, 100% comes from companies with leverage ratio below 0. 1; 10 years in the stable range of companies, 88.8% are companies with leverage ratio below 0. 1. Therefore, companies with low leverage are more stable.
(9) What factors are related to companies that deviate from the stable range? Will it return or move to another stable interval after deviating from the original stable interval? The deviation of leverage ratio from the stable range is related to the expansion of total assets and the external financing environment at that time, but has nothing to do with the traditional determinants of leverage ratio (such as profitability, depreciation of tax and interest, and scale of fixed assets). After deviating from the stable range, the company's leverage did not return to the original stable range, nor did it move towards new stability.
Therefore, in the long run, the stability of the company's capital structure is an exception, not a rule.
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