reduces the probability that outside banks bid on loans, which allows inside banks to hold up borrowers (Rajan, 1992). This study provides international evidence of these hold-up effects. First, we find that hold-up effects are not confined to the U.S. markets.
However, hold-up effects, measured by the difference in loan spreads between bank-dependent and nonbank-bank-dependent borrowers, are more than twice as high for the subsample of U.S. firms, compared to the hold-up effects for the subsample of non-U.S.
firms. Second, differences in bank regulations can explain the cross-country variation in hold-up effects. Banks in countries with more stringent regulations are more likely to exploit their monopoly power over borrowers and transfer the regulatory burden to borrowers. Accordingly, we find a positive relation between the stringency of bank regulations and hold-up effects. After controlling the firm- and loan-specific characteristics and taking into account any problems related to endogeneity, our results remain robust.
Similar to Santos and Winton (2008), we find significant hold-up effects during the 2007–2008 recession. This finding is in line with Rajan’s (1992) argument that inside banks have higher hold-up power when the probability of borrowers to success is lower and outside banks are less likely to bid on loans. However, we find no
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
significant difference in loan spreads between bank-dependent firms and nonbank-dependent firms during banking crises and the 2007–2008 financial crisis. A liquidity shock to the banking industry reduces the hold-up power of inside banks. We suggest two possible explanations for the insignificant hold-up effects during the recent financial crisis. First, Santos and Winton show that hold-up effect exists only when the information embedded in public debt regarding the creditworthiness of borrowers is favorable. During the financial crisis, more publicly issued bonds are not rated or have a below-investment grade. Second, the value of information conveyed by issuing public bonds may diminish during the financial crisis due to the loss of confidence in the rating by credit rating agencies. As the value of private information decreases, firms with publicly issued bonds do not have an informational advantage and pay similar loan spreads as bank-dependent firms do.
‧
Acharya, V.V., Wachtel, P., Walter, I., 2009. International alignment of financial sector regulation. In: V.V. Acharya and M. Richardson (Eds.), Restoring Financial Stability: How to Repair a Failed System. Wiley, Hoboken, NJ.
Barth, J.R., Caprio, G., Levine, R., 2004. Bank regulation and supervision: What works best? Journal of Financial Intermediation 13, 205–248.
Barth, J.R., Caprio, G., Levine, R., 2006. Rethinking Bank Regulation: Till Angels Govern. Cambridge University Press, Cambridge, UK.
Barth, J.R., Caprio, G., Levine, R., 2008. Bank regulations are changing: For better or worse? World Bank Policy Research Working Paper 4646.
Barth, J.R., Caprio, G., Levine, R., 2013. Bank regulation and supervision in 180 countries from 1999 to 2011. NBER working paper no. 18733.
Bedendo, M., Cathcart, L., El-Jahel, L., Evans, L., 2013. The credit rating crisis and the informational content of corproate credit ratings. Working paper, Universita’
Bocconi.
Beltratti, A., Stulz, R., 2012. The Credit crisis around the globe: Why did some banks perform better? Journal of Financial Economics 105, 1–17.
Braun, M., Larrain, B., 2005. Finance and the business cycle: International, inter-industry evidence. Journal of Finance 60, 1097–1128.
‧
Carey, M., Nini, G., 2007. Is the corporate loan market globally integrated? A pricing puzzle. Journal of Finance 62, 2969–3007.
Chava, S., Roberts, M.R., 2008. How does financing impact investment? The role of debt covenants. Journal of Finance 63, 2085–2121.
Chava, S., Purnanandam, A., 2011. The effect of banking crisis on bank-dependent borrowers. Journal of Financial Economics 99, 116–135.
Chodorow-Reich, G., 2014. The employment effects of credit market disruptions: Firm-level evidence from the 2008–9 financial crisis. Quarterly Journal of
Economics 129, 1–59.
De Jonghe, O., Ozekin, O., 2015. Bank capital management: International evidence.
Journal of Financial Intermediation 24, 154–177.
Ederington, L.H., Yawitz, J.B., Roberts, B.E., 1987. The informational content of bond ratings. Journal of Financial Research 10, 211–226.
Farinha, L.A., Santos, J.A C., 2002. Switching from single to multiple bank lending relationships: Determinants and implications. Journal of Financial
Intermediation 11, 124–151.
Ferreira, M.A., Matos, P., 2012. Universal banks and corproate control: Evidence from the global syndicated loan market. Review of Financial Studies 25, 2703–2744.
Hale, G., Santos, J.A.C., 2009. Do banks price their informational monopoly? Journal
‧
of Financial Economics 93, 185–206.
Hand, J.R.M., Holthausen, R.W., Leftwich, R.W., 1992. The effect of bond rating agency announcements on bond and stock-prices. Journal of Finance 47, 733–
752.
Houston, J., James, C., 1996. Bank information monopolies and the mix of private and public debt claims. Journal of Finance 51, 1863–1889.
Houston, J.F., Lin, C., Ma, Y., 2012. Regulatory arbitrage and international bank flows.
Journal of Finance 67, 1845–1895.
Jaballah J., 2015. Impact of the subrpime crisi on the reputation of rating agencies.
Finance, the Academic Journal of French Finance Assoication 36, 53–83.
Kane, E., 1997. Good intentions and unintended evil. The case against selective credit allocation. Journal of Money, Credit, and Banking 9, 55–69.
Karolyi, G.A., Taboada, A.G., 2015. Regulatory arbitrage and cross-border bank acquisitions. Journal of Finance 70, 2395–2340.
Krantz, M., 2013. 2008 crisis still hanging over credit-rating agencies, USA Today, September, 13. Available at
http://www.usatoday.com/story/money/business/
2013/09/13/credit-rating-agencies-2008-financial-crisis-lehman/2759025/
Kwan, S.H., 2010. Financial crisis and bank lending. Federal Reserve Bank of San Francisco working paper 2010-11.
‧
Laeven, L., Valencia, F., 2013. Systemic banking crises database. Imf Economic Review
61, 225–270.
Lahinsky, A., 2008. Credit crisis 101: Blame the creidt rating agencies, Fortune, April 20. Avaialable at http://fortune.com/2008/04/29/credit-crisis-101-blame-the-credit-rating-agencies/
Liu, P., Thakor, A.V., 1984. Interest yields, credit ratings, and economic characteristics of state bonds: An empirical-analysis. Journal of Money Credit and Banking 16, 344–351.
Mattes, J.A., Sascba, S., Wahrenburg, M., 2014. Do information rents in loan spreads
persist over the business cycles? Journal of Financial Services Research 43,
175–195.
Ongena, S., Popov, A., Udell, G.F., 2013. “When the cat's away the mice will play”:
Does regulation at home affect bank risk-taking abroad? Journal of Financial
Economics 108, 727–750.
Ongena, S., Smith, D.C., 2000. What determines the number of bank relationships?
Cross-country evidence. Journal of Financial Intermediation 9, 26–56.
Pagano, M., Panetta, F., Zingales, L., 1998. Why do companies go public? An empirical analysis, Journal of Finance 53, 27–64.
Rajan, R.G., 1992., Insiders and outsiders: The choice between informed and
arms-‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
length debt. Journal of Finance 47, 1367–1400.
Santos, J.A.C., 2011. Bank corporate loan pricing following the subprime crisis. Review
of Financial Studies 24, 1916–1943.
Santos, J.A.C., Winton, A., 2008. Bank loans, bonds, and information monopolies across the business cycle. Journal of Finance 63, 1315–1359.
Saunders, A., Steffen, S., 2011. The costs of being private: Evidence from the loan market. Review of Financial Studies 24, 4091–4122.
Schenone, C., 2010. Lending relationships and information rents: Do banks exploit their information advantages? Review of Financial Studies 23, 1149–1199.
Sufi, A., 2007. Information asymmetry and financing arrangements: Evidence from syndicated loans. Journal of Finance 62, 629–668.
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
Figure 1. Mean spreads of US firms by comparing the pricing of loans for
bank-dependent borrowers with the pricing of loans for borrowers with access to publicdebt markets.
Figure 2. Mean spreads of Non-US firms by comparing the pricing of loans for
bank-dependent borrowers with the pricing of loans for borrowers with access topublic debt markets
‧
Table I Variable Definitions
Variable DefinitionKey Variables
LOANSPREAD All-in-spread-drawn, which is the spread plus annualized upfront fees above LIBOR.
MRPBOND Dummy variable equal to one for firms whose most recent bond prior to the loan was a public bond.
Lead Banks and Borrowers’ Recession of the Countries
RECESSION Dummy variable equal to one during recessions in the country of the borrowing firms. Recession periods are as defined by Braun and Larrain (2005) but not during the lead banks’
recession as defined by Laeven and Valencia (2013).
BANK_CRISIS Dummy variable equal to one for loans borrowed during the lead banks’ recession as defined by Laeven and Valencia (2013).
2007-2008_CRISIS Dummy variable equal to one for the period from the third quarter of 2007 to the fourth quarter of 2008, this represents the period of the 2007-2008 financial crisis
Regulatory Variables
ACT_RESTRICT The extent to which banks may engage in (1) underwriting, brokering, and dealing in securities, and all aspects of the mutual fund industry; (2) insurance underwriting and selling;
and (3) real estate investment and development. Unrestricted
= 1: a bank can conduct the full range of activities directly;
‧
Permitted = 2: full range of activities can be conducted, but some or all must be conducted in bank subsidiaries; Restricted
= 3: part of the activities can be conducted; and Prohibited = 4: neither the bank nor subsidiaries can conduct the activities.
Higher values indicate greater restrictiveness.
OWN_FIRM The extent to which banks may own and control nonfinancial firms (a higher value means more restrictive). Unrestricted = 1: a bank may own 100% shares of any nonfinancial firm;
Permitted = 2: a bank may own 100% shares of a nonfinancial firm, depending on its equity capital; Restricted = 3: a bank can only own less than 100% shares in a nonfinancial firm;
and Prohibited = 4: a bank cannot make any equity investment in a nonfinancial firm.
SUP_POWER An index aggregating supervisory power. Specifically, it indicates whether the supervisory agency has the legal right to meet directly with external auditors to discuss their report without getting approval from the bank; receive direct report from the external auditor on any presumed involvement of bank management in various types of misconducts; take actions against.
PRMPT_POWER Whether a law establishes predetermined levels of bank solvency deterioration that force automatic actions, such as intervention. Higher values indicate more promptness in responding to problems.
‧
SUP_IND_BANK The degree to which the supervisory authority is protected by the legal system from the banking industry. The indicator is constructed based on the following question. Can individual supervisory staff be held personally liable for damages to a bank caused by their actions or omissions committed in the good faith exercise of their duties? Higher values indicate greater independence.
DEP_POWER Whether the deposit insurance authority has the authority to make the decision to intervene in a bank, take legal action against bank directors or officials, and has ever taken any legal action against bank directors or officers. Higher values indicate more power.
BANK_ACCOUNT Whether the income statement includes accrued or unpaid interest or principal on nonperforming loans and whether banks are required to produce consolidated financial statements. The indicator is constructed based on the following three questions. (1) Does accrued, though unpaid, interest/principal enter the income statement while the loan is still performing? (2) Does accrued, though unpaid, interest/principal enter the income statement while the loan is non-performing? (3) Are banks required to prepare consolidated accounts for accounting purposes? (4) Are bank directors legally liable if information disclosed is erroneous or misleading? Higher values indicate more informative bank
‧
SALES Sales in hundreds of millions of dollars
MKTBOOK Ratio of market assets to book assets (Tobin’s q).
TANGIBLES Property, plant, and equipment plus inventories over assets.
INTCOVERAGE Earnings before taxes and depreciation over interest expenses.
LEVERAGE Total debt over assets.
ZSCORE The original Z-score formula was as follows:
Z = 1.2X1 + 1.4X2 + 3.3X3 + 0.6X4 + 0.99X5
X1= Working Capital / Total Assets.
X2= Retained Earnings / Total Assets.
X3= Earnings Before Interest and Taxes / Total Assets.
X4= Market Value of Equity / Book Value of Total Liabilities.
X5= Sales/ Total Assets.
STOCKVOL Standard deviation of stock return over the year leading up to the loan date.
Loan Control Variables
LOANAMT Loan amount in hundreds of millions of dollars.
MATURITY Maturity of the loan in years.
DIVERESTRICT Dummy variable equal to one when borrower is subject to dividend restrictions.
SENIOR Dummy variable equal to one when loan is senior.
RENEWAL Dummy variable equal to one when loan is a renewal.
LENDERS Number of lenders in the loan syndicate.
‧
RELATIONSHIP Dummy variable equal to one when borrowers that had two or more loan facilities with the same lead bank before the new loan.
CORPURPOSES Dummy variable equal to one when loan is for corporate purposes.
REFINCACE Dummy variable equal to one when loan is to repay existing debt.
TAKEOVER Dummy variable equal to one when loan is for takeover purposes.
WORKCAPITAL Dummy variable equal to one when loan is for working capital purposes.
CREDITLINE Dummy variable equal to one for lines of credit.
TERMLOAN Dummy variable equal to one for term loans.
BRIDGELOAN Dummy variable equal to one for bridge loans.
Instrumental Variable
INDACESS Percentage of the firms in the same industry (as defined by the two-digit SIC code) and country that have access to the bond market as defined by MRPBOND.
OLDERFIRM A dummy that equals one if the firm is at least 23 years old, which is the median age of firms that have publicly issued bonds.
‧
Table II Summary Statistics
This table shows the summary statistics of the variables that we use in this paper. Sample consists of 67,787 facility over the period 1987–2014. See Table I for variable definitions.
Variables Mean Median Std. Dev. Min Max Obs.
Panel A: Key Variables
LOANSPREAD 217.241 200.000 0.603 0.300 2000.000 67,787
MRPBOND 0.156 0.000 0.001 0.000 1.000 67,787
Panel B: Lead Banks and Borrowers’ Recession of the Countries
RECESSION 0.171 0.000 0.001 0.000 1.000 67,787 BANK_CRISIS 0.088 0.000 0.001 0.000 1.000 67,787 2007_2008_CRISIS 0.053 0.000 0.001 0.000 1.000 67,787 Panel C: Regulatory Variables
ACT_RESTRICT 8.267 9.000 0.005 3.000 12.000 66,243
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
ZSCORE 4.329 2.150 1.059 -7151.190 35975.740 48,833 STOCKVOL 1.578 0.294 0.106 0.000 2262.740 45,852 Panel E: Loan Control Variables
LOANAMT 332.803 100.000 3.293 0.000 49000.000 67,750 MATURITY 48.826 55.000 0.113 0.000 725.000 65,257 DIVERESTRICT 0.347 0.000 0.002 0.000 1.000 67,787
SENIOR 0.996 1.000 0.000 0.000 1.000 67,787
RENEWAL 0.008 0.000 0.000 0.000 1.000 67,787
LENDERS 7.503 5.000 0.033 1.000 290.000 67,674 RELATIONSHIP 0.441 0.000 0.002 0.000 1.000 65,023 CORPURPOSES 0.326 0.000 0.002 0.000 1.000 67,787 REFINCACE 0.186 0.000 0.001 0.000 1.000 67,787 TAKEOVER 0.101 0.000 0.001 0.000 1.000 67,787 WORKCAPITAL 0.145 0.000 0.001 0.000 1.000 67,787 CREDITLINE 0.544 1.000 0.002 0.000 1.000 67,787 TERMLOAN 0.316 0.000 0.002 0.000 1.000 67,787 BRIDGELOAN 0.021 0.000 0.001 0.000 1.000 67,787
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
Table III Comparing the Hold-Up Cost between the US and Non-US Sample
This table show that the mean of loan spread difference (hold-up cost) by comparing the pricing of loans for bank-dependent borrowers with the pricing of loans for borrowers with access to public debt markets.*, **, *** indicate significance at the 10%, 5%, and 1% level, respectively.
MRPBOND=0 MRPBOND=1 Difference t-Statistics Panel A: All Countries
All countries 230.7 144.5 86.2 52.94***
Panel B: Compare US with Non-US
US 242.9 150.5 92.4 48.53***
Non-US 173.4 130.5 42.9 13.88***
Difference 69.5 20.0 49.5
t-Statistics 40.84*** 6.97***
‧
This table show that the mean of loan spread difference (hold-up cost) by comparing the pricing of loans for bank-dependent borrowers with the pricing of loans for borrowers with access to public debt markets.*, **, *** indicate significance at the 10%, 5%, and 1% level, respectively.
Country N MRPBOND=0 MRPBOND=1 Diff. t-Statistics
‧
‧
Table V Loan Spreads for Bank-Dependent and Nondependent Borrowers:
Multivariate Analysis
The dependent variable is LOANSPREAD, which is the spread plus annualized upfront fees above LIBOR. MRPBOND is the dummy variable equal to one for firms whose most recent bond prior to the loan was a public bond. See Table I for variable definitions. Year-fixed effects, industry-fixed effects and country-fixed effect are included in the regressions but not reported.Heteroskedasticity robust t-statistics are reported in parentheses. *, **, *** indicate significance at the 10%, 5%, and 1% level, respectively.
All countries U.S. Non-U.S.
INTCOVERAGE -0.00353* -0.00307 -0.00240
(-1.86) (-0.90) (-0.86)
‧
DIVERESTRICT 36.86*** 31.13*** 54.31***
(21.51) (16.59) (8.78)
RELATIONSHIP -19.57*** -20.71*** -14.06***
(-14.16) (-12.84) (-5.30)
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
(34.44) (31.57) (7.76)
BRIDGELOAN 88.49*** 112.2*** 15.32
(12.37) (13.01) (1.34)
YEAR FIXED NO YES NO YES NO YES
INDUSTRY FIXED NO YES NO YES NO YES
COUNTRY FIXED NO YES NO NO NO YES
CONSTANT 230.7*** 541.9*** 242.9*** 588.2*** 173.4*** 547.1***
(351.56) (14.50) (342.26) (17.48) (110.28) (9.83) Number of Obs. 67,787 36,253 54,552 27,495 13,235 8,758
Adjusted-R2 0.040 0.348 0.041 0.347 0.014 0.378
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
Table VI Comparing bank regulation indices between the US and Non-US Sample
Variables US
(1)
Non-US (2)
Diff.
(1)-(2)
t-Statistics
ACT_RESTRICT 8.682 6.327 2.355 217.81 ***
OWN_FIRM 3.166 2.277 0.889 161.34 ***
SUP_POWER 13.271 10.142 3.129 270.02 ***
PRMPT_POWER 5.030 2.262 2.768 225.09 ***
SUP_IND_BANK 1.863 1.792 0.071 14.33 ***
DEP_POWER 4.000 2.217 1.783 264.38 ***
BANK_ACCOUNT 4.000 3.536 0.464 202.97 ***
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
Table VII Loan Spreads on the Dummy Variables for Bond Market Access and for Regulatory: Univariate Analysis
The dependent variable is LOANSPREAD, which is the spread plus annualized upfront fees above LIBOR. MRPBOND is the dummy variable equal to one for firms whose most recent bond prior to the loan was a public bond. Bank regulatory variables include ACT_RESTRICT, OWN_FIRM, SUP_POWER, PRMPT_POWER, SUP_IND_BANK, DEP_POWER, BANK_ACCOUNT. See Table I for variable definitions. Heteroskedasticity robust t-statistics are reported in parentheses. *, **, *** indicate significance at the 10%, 5%, and 1% level, respectively.
(1) (2) (3) (4) (5) (6) (7)
MRPBOND -54.03*** -22.99*** -9.434 -44.42*** -72.16*** -26.07*** 5.439
(-6.35) (-3.28) (-0.88) (-11.79) (-12.45) (-3.97) (0.31)
ACT_RESTRICT 8.471***
(17.41)
OWN_FIRM 38.51***
(33.12)
SUP_POWER 9.849***
(22.54)
PRMPT_POWER 15.83***
(36.88)
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
SUP_IND_BANK 15.45***
(9.77)
DEP_POWER 15.90***
(15.38)
BANK_ACCOUNT 48.03***
(20.46)
MRPBOND* ACT_RESTRICT -3.717***
(-3.61)
MRPBOND* OWN_FIRM -20.19***
(-8.62)
MRPBOND* SUP_POWER -5.977***
(-7.14)
MRPBOND* PRMPT_POWER -8.608***
(-10.58)
MRPBOND* SUP_IND_BANK -8.712***
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
(-2.81)
MRPBOND* DEP_POWER -15.97***
(-9.15)
MRPBOND* BANK_ACCOUNT -23.17***
(-5.16)
CONSTANT 160.9*** 114.7*** 105.4*** 157.7*** 204.5*** 164.4*** 42.78***
(39.07) (32.61) (18.69) (77.16) (67.90) (40.95) (4.63)
Number of Obs. 66,243 66,247 65,063 65,581 64,063 53,959 66,374
Adjusted-R2 0.044 0.059 0.047 0.060 0.042 0.048 0.045
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
Table VIII Loan Spreads on the Dummy Variables for Bond Market Access and for Regulatory: Multivariate Analysis
The dependent variable is LOANSPREAD, which is the spread plus annualized upfront fees above LIBOR. MRPBOND is the dummy variable equal to one for firms whose most recent bond prior to the loan was a public bond. Regulatory variables include ACT_RESTRICT, OWN_FIRM, SUP_POWER, PRMPT_POWER, SUP_IND_BANK, DEP_POWER, BANK_ACCOUNT. See Table I for variable definitions. Firm control variables, loan control variables, year-fixed effects, industry-fixed effects and country-fixed effects are included in the regressions but not reported.Heteroskedasticity robust t-statistics are reported in parentheses. *, **, *** indicate significance at the 10%, 5%, and 1% level, respectively.
(1) (2) (3) (4) (5) (6) (7)
MRPBOND 14.26* -10.81 32.37*** -13.17*** -33.06*** -6.626 79.10***
(1.78) (-1.64) (3.05) (-3.39) (-6.02) (-1.00) (4.74)
ACT_RESTRICT 9.188***
(6.81)
OWN_FIRM -17.53***
(-6.07)
SUP_POWER -0.526
(-0.57)
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
PRMPT_POWER 4.592***
(3.74)
SUP_IND_BANK 11.76***
(3.61)
DEP_POWER -26.70***
(-10.69)
BANK_ACCOUNT -1.382
(-0.39)
MRPBOND* ACT_RESTRICT -5.862***
(-6.01)
MRPBOND* OWN_FIRM -7.492***
(-3.39)
MRPBOND* SUP_POWER -5.212***
(-6.27)
MRPBOND* PRMPT_POWER -4.652***
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
(-5.66)
MRPBOND* SUP_IND_BANK -0.576
(-0.20)
MRPBOND* DEP_POWER -7.768***
(-4.39)
MRPBOND* BANK_ACCOUNT -28.83***
(-6.71)
SALES -0.00377 -0.00473 -0.0227 -0.00668 -0.0000327 -0.00780 -0.00553
(-0.93) (-1.17) (-1.14) (-1.61) (-0.01) (-0.73) (-1.35)
MKTBOOK -4.909* -4.965* -4.848* -4.832* 4.302*** -3.455 -4.942*
(-1.86) (-1.88) (-1.85) (-1.84) (2.64) (-1.32) (-1.87)
TANGIBLES -33.30*** -32.75*** -31.55*** -31.57*** -23.67*** -33.69*** -32.23***
(-9.41) (-9.27) (-8.81) (-8.87) (-6.45) (-8.70) (-9.12)
INTCOVERAGE -0.00261 -0.00255 -0.00261 -0.00259 -0.00353* -0.00250 -0.00257
(-1.41) (-1.38) (-1.42) (-1.41) (-1.87) (-1.29) (-1.40)
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
LEVERAGE 99.69*** 99.87*** 100.7*** 100.2*** 97.57*** 96.60*** 100.1***
(9.65) (9.69) (9.67) (9.67) (8.96) (8.54) (9.69)
ZSCORE -4.475*** -4.449*** -4.389*** -4.417*** -4.593*** -4.042** -4.464***
(-2.64) (-2.63) (-2.60) (-2.62) (-2.64) (-2.34) (-2.63)
STOCKVOL 0.264 0.270 0.266 0.265 0.120 0.213 0.264
(0.83) (0.83) (0.82) (0.83) (1.43) (0.74) (0.83)
LOANAMT -0.0120*** -0.0118*** -0.0115*** -0.0115*** -0.0112*** -0.0143*** -0.0116***
(-9.25) (-9.16) (-9.11) (-9.17) (-8.91) (-9.16) (-9.29)
MATURITY -0.395*** -0.391*** -0.405*** -0.397*** -0.414*** -0.454*** -0.396***
(-11.42) (-11.29) (-11.44) (-11.36) (-11.51) (-12.09) (-11.45)
DIVERESTRICT 35.46*** 35.07*** 34.67*** 34.78*** 36.09*** 37.33*** 35.10***
(20.59) (20.37) (19.97) (20.17) (20.64) (19.58) (20.43)
SENIOR -288.4*** -288.5*** -286.5*** -285.3*** -248.3*** -260.1*** -287.9***
(-9.45) (-9.43) (-8.95) (-8.98) (-7.92) (-8.13) (-9.42)
RENEWAL 1.997 2.179 2.072 1.879 1.818 1.030 2.452
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
(0.29) (0.32) (0.30) (0.27) (0.26) (0.15) (0.36)
LENDERS -2.944*** -2.960*** -2.947*** -2.945*** -2.999*** -2.857*** -2.949***
(-20.24) (-20.36) (-20.04) (-20.20) (-19.76) (-16.87) (-20.39)
RELATIONSHIP -19.90*** -20.14*** -20.01*** -19.89*** -20.18*** -21.76*** -19.80***
(-14.20) (-14.35) (-14.11) (-14.12) (-14.04) (-14.37) (-14.16)
CORPURPOSES -16.10*** -15.98*** -15.31*** -15.62*** -14.90*** -9.098*** -16.25***
(-7.54) (-7.49) (-7.13) (-7.32) (-6.83) (-4.00) (-7.62)
REFINCACE -1.856 -0.862 0.0960 -0.0190 1.904 3.091 -1.408
(-0.83) (-0.39) (0.04) (-0.01) (0.84) (1.32) (-0.63)
TAKEOVER -9.115*** -8.600*** -7.557*** -7.288*** -3.203 -5.693** -9.406***
(-3.71) (-3.49) (-3.05) (-2.95) (-1.28) (-2.17) (-3.84)
WORKCAPITAL -4.840* -4.915* -4.313* -4.407* -4.074 1.890 -5.359**
(-1.91) (-1.94) (-1.69) (-1.73) (-1.56) (0.70) (-2.11)
CREDITLINE 31.51*** 31.34*** 32.50*** 32.15*** 34.42*** 37.69*** 31.19***
(12.88) (12.81) (13.13) (13.13) (13.80) (14.31) (12.82)
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
TERMLOAN 102.1*** 101.7*** 103.1*** 102.5*** 105.8*** 108.0*** 101.5***
(34.26) (34.10) (34.18) (34.33) (34.43) (33.48) (34.24)
BRIDGELOAN 89.83*** 89.12*** 90.10*** 89.64*** 95.18*** 95.67*** 89.24***
(12.34) (12.21) (12.19) (12.23) (12.62) (12.10) (12.28)
CONSTANT 512.6*** 598.0*** 574.4*** 555.8*** 511.2*** 806.2*** 589.1***
(12.83) (14.38) (13.15) (13.20) (12.63) (12.64) (13.95)
YEAR FIXED YES YES YES YES YES YES YES
INDUSTRY FIXED YES YES YES YES YES YES YES
COUNTRY FIXED YES YES YES YES YES YES YES
Number of Obs. 35,172 35,173 34,403 34,757 33,887 28,837 35,247
Adjusted-R2 0.355 0.355 0.354 0.355 0.347 0.339 0.355
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
Table IX Loan Spreads, Recessions, Banking Crises, and the 2007-2008 Financial Crisis
The dependent variable is LOANSPREAD, which is the spread plus annualized upfront fees above LIBOR. MRPBOND is the dummy variable equal to one for firms whose most recent bond prior to the loan was a public bond. RECESSION, BANK_CRISIS, 2007-2008_CRISIS are the dummy variables for recession periods in the country of the borrowing firms, banking crisis in the country of the lead banks, and the 2007-2008 financial crisis, respectively. See Table I for variable definitions. Firm control variables, loan control variables, industry-fixed effects and country-fixed effects are included in the regressions but not reported. Heteroskedasticity robust t-statistics are reported in parentheses. *, **, *** indicate significance at the 10%, 5%, and 1% level, respectively.
(1) (2) (3) (4) (5) (6)
MRPBOND -84.38*** -34.07*** -89.13*** -38.42*** -86.93*** -37.14***
(-51.68) (-17.56) (-57.08) (-20.29) (-57.32) (-20.13)
RECESSION 1.222 9.693***
(0.72) (4.98)
BANK_CRISIS 26.77*** 43.67***
(10.59) (16.13)
2007-2008_CRISIS -8.924** -17.77***
(-2.49) (-5.27)
MRPBOND* RECESSION -11.20*** -14.44***
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
(-2.92) (-3.71)
MRPBOND* BANK_CRISIS 11.49** 6.521
(2.40) (1.38)
MRPBOND* 2007-2008_CRISIS 12.46* 7.505
(1.84) (1.21)
SALES 0.00176 0.00243 0.00122
(0.37) (0.51) (0.25)
MKTBOOK 4.701*** 4.660*** 4.690***
(2.81) (2.81) (2.80)
TANGIBLES -38.25*** -33.33*** -38.29***
(-10.62) (-9.27) (-10.59)
INTCOVERAGE -0.00319* -0.00328* -0.00320*
(-1.68) (-1.72) (-1.69)
LEVERAGE 92.56*** 92.95*** 93.01***
(8.79) (8.88) (8.82)
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
ZSCORE -5.026*** -4.976*** -5.016***
(-2.81) (-2.80) (-2.80)
STOCKVOL 0.138* 0.145* 0.136*
(1.79) (1.82) (1.77)
LOANAMT -0.0105*** -0.0121*** -0.0103***
(-9.01) (-9.05) (-8.96)
MATURITY -0.411*** -0.442*** -0.414***
(-11.50) (-12.23) (-11.63)
DIVERESTRICT 27.83*** 26.98*** 27.32***
(17.24) (16.92) (17.04)
SENIOR -258.3*** -258.4*** -258.2***
(-9.35) (-9.42) (-9.37)
RENEWAL -8.145 -6.849 -10.70
(-1.24) (-1.05) (-1.63)
LENDERS -2.877*** -2.920*** -2.912***
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
(-20.73) (-20.40) (-20.79)
RELATIONSHIP -14.10*** -17.18*** -14.14***
(-10.14) (-12.42) (-10.18)
CORPURPOSES -1.548 -4.693** -2.199
(-0.72) (-2.21) (-1.03)
REFINCACE -8.482*** -5.081** -9.269***
(-3.78) (-2.28) (-4.13)
TAKEOVER -15.86*** -16.02*** -15.95***
(-6.25) (-6.35) (-6.28)
WORKCAPITAL 3.974 4.460* 4.031
(1.54) (1.74) (1.56)
CREDITLINE 37.01*** 34.11*** 37.05***
(15.21) (14.11) (15.25)
TERMLOAN 110.5*** 107.2*** 110.8***
(36.91) (35.92) (37.00)
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
BRIDGELOAN 99.36*** 94.71*** 99.72***
(13.58) (12.87) (13.63)
CONSTANT 230.5*** 523.9*** 228.6*** 531.1*** 231.1*** 525.0***
(317.28) (13.24) (335.93) (13.54) (347.38) (13.30)
YEAR FIXED NO NO NO NO NO NO
INDUSTRY FIXED NO YES NO YES NO YES
COUNTRY FIXED NO YES NO YES NO YES
Number of Obs. 67,787 36,253 67,787 36,253 67,787 36,253
Adjusted-R2 0.040 0.284 0.043 0.291 0.040 0.284
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
Table X Results of the 2SLS estimations (test for H1)
First stage Second stage
(1) (2) (3) (4) (5) (6) (7)
INDACESS 3.7758***
(48.02)
OLDERFIRM 0.8435***
(42.94)
MRPBOND̂ 74.69*** -20.82 180.6*** -68.94*** -142.0*** 29.69*** 380.7***
(4.49) (-1.59) (6.76) (-8.63) (-11.23) (2.59) (6.10)
ACT_RESTRICT 15.55***
(10.09)
OWN_FIRM -14.55***
(-4.25)
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
SUP_POWER 3.858***
(3.21)
PRMPT_POWER 9.492***
(7.92)
SUP_IND_BANK 17.28***
(4.38)
DEP_POWER -14.19***
(-4.35)
BANK_ACCOUNT -0.828
(-0.15)
MRPBOND̂ * ACT_RESTRICT -30.55***
(-14.70)
MRPBOND̂ * OWN_FIRM -50.51***
(-11.36)
MRPBOND̂ * SUP_POWER -28.54***
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
(-13.41)
MRPBOND̂ * PRMPT_POWER -25.94***
(-14.72)
MRPBOND̂ * SUP_IND_BANK -14.53**
(-2.29)
MRPBOND̂ * DEP_POWER -66.91***
(-20.03)
MRPBOND̂ * BANK_ACCOUNT -139.4***
(-8.74)
SALES -0.006 -1.009 -1.377* -0.508 -1.506** -5.107*** -0.117 -0.559
(-1.31) (-1.36) (-1.95) (-0.58) (-2.15) (-3.10) (-0.15) (-0.53)
MKTBOOK 0.038*** -4.926*** -4.798*** -4.964*** -4.651*** -4.871*** -3.210*** -5.262***
(4.65) (-6.67) (-6.80) (-6.07) (-6.62) (-6.67) (-4.33) (-5.02)
TANGIBLES -0.1172*** -28.81*** -28.38*** -25.17*** -27.86*** -27.87*** -22.45*** -25.82***
(-2.63) (-8.13) (-8.37) (-6.33) (-8.21) (-7.83) (-5.86) (-5.12)
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
INTCOVERAGE -0.00003 -0.00250* -0.00244* -0.00261* -0.00250* -0.00214 -0.00296** -0.00254
(-1.36) (-1.77) (-1.81) (-1.67) (-1.86) (-1.55) (-2.11) (-1.27)
LEVERAGE 0.401*** 126.4*** 126.1*** 127.0*** 125.8*** 125.4*** 124.7*** 127.9***
(9.73) (36.78) (38.38) (33.23) (38.35) (36.74) (34.91) (26.24)
ZSCORE 0.0044 -4.805*** -4.812*** -4.739*** -4.823*** -4.819*** -4.365*** -4.722***
(1.29) (-17.93) (-18.79) (-15.97) (-18.91) (-18.19) (-16.22) (-12.43)
STOCKVOL -0.001*** 0.244*** 0.238*** 0.258*** 0.227*** 0.309*** 0.201*** 0.260***
(-3.58) (5.98) (6.11) (5.58) (5.85) (6.89) (4.98) (4.47)
CONSTANT -1.5625*** 246.8*** 365.8*** 308.2*** 304.8*** 368.0*** 570.8*** 394.4***
(-5.86) (8.98) (13.94) (10.46) (12.37) (15.28) (10.61) (9.37)
YEAR FIXED YES YES YES YES YES YES YES YES
INDUSTRY FIXED YES YES YES YES YES YES YES YES
COUNTRY FIXED YES YES YES YES YES YES YES YES
Number of Obs. 38,700 37,794 37,794 36,980 37,338 36,195 31,014 37,880
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
Table XI Results of the 2SLS estimation (test for H2&H3)
First stage Second stage
(1) (2) (3)
INDACESS 3.7968***
(48.5)
OLDERFIRM 0.8385***
(43.55)
MRPBOND -146.8*** -166.5*** -161.5***
(-28.41) (-32.71) (-32.07)
RECESSION 11.68***
(4.69)
BANK_CRISIS 28.42***
(8.31)
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
2007-2008_CRISIS -20.89***
(-5.14)
MRPBOND* RECESSION -37.66***
(-4.22)
MRPBOND* BANK_CRISIS 49.83***
(4.85)
MRPBOND* 2007-2008_CRISIS 77.22***
(6.13)
SALES -0.0079* -0.743** -0.893*** -0.800**
(-1.78) (-2.23) (-2.65) (-2.38)
MKTBOOK 0.0438*** -6.201*** -5.821*** -6.276***
(5.40) (-8.30) (-7.72) (-8.33)
TANGIBLES -0.2382*** -43.83*** -38.60*** -43.38***
(-5.50) (-12.55) (-10.92) (-12.31)
INTCOVERAGE -0.000028 -0.00191 -0.00202 -0.00192
‧ 國
立 政 治 大 學
‧
N a
tio na
l C h engchi U ni ve rs it y
(-1.25) (-1.33) (-1.39) (-1.33)
LEVERAGE 0.324*** 117.1*** 117.2*** 117.0***
(7.99) (33.93) (33.68) (33.62)
ZSCORE 0.001 -5.248*** -5.240*** -5.266***
(0.32) (-19.33) (-19.14) (-19.23)
STOCKVOL -0.0018*** 0.213*** 0.222*** 0.215***
(-3.59) (5.57) (5.75) (5.57)
CONSTANT -1.356*** 384.1*** 392.3*** 390.4***
(-5.95) (16.78) (16.97) (16.89)
YEAR FIXED NO NO NO NO
INDUSTRY FIXED YES YES YES YES
COUNTRY FIXED YES YES YES YES
Number of Obs. 38,700 38,700 38,700 38,700
‧ 國
立 政 治 大 學
‧
N a tio na
l C h engchi U ni ve rs it y
Chapter III
探究美國公司無負債經營的迷思：供給面因素的影響
摘要
本文利用 1987 年至 2012 年的美國上市公司做為樣本，研究市場利率是否會影響 公司以零負債經營的可能性。實證結果顯示，市場利率與公司零負債經營是呈現 顯著的負向關係，亦即當市場利率越低時，則公司以零負債經營的機率越高。本 論文更進一步發現，只有當公司過去與銀行借貸關係程度越高時，市場利率與公 司零負債機率是呈現顯著的正向關係。以上結果，當控制需求面因子、財務限制 及潛在的內生性後都得到一致性的結果。
關鍵字：市場利率；資本結構；零負債公司；借貸關係。
這個研究能夠順利完成，作者要感謝科技部補助勵人文與社會科學領域博士候選人撰寫博士論
文獎，「探究美國公司無負債經營的迷思：財務彈性與銀行往來關係的影響 」，申請條碼：
103DFA0200030。