Asset Liquidity and Debt Structure

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姓名

黃冠瑛(Guan-Ying Huang) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

(Asset Liquidity and Debt Structure)

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摘要(中)

當公司的債務為未擔保時，資產流動性過高將造成經理人與債權人的代理衝突。本
文從資本結構的運用，探討公司是否能透過使用短債有效地降低此代理問題。在變數及模型設計方面，本文使用5 個衡量資產流動性的變數及使用主成分分析法估計取得的資產流動性變數進行分析。由於公司的短債與負債能力為同時決定，因此本文使用聯立方程式(Simultaneous-System-of-Equations models) 同時決定財務槓桿與債務長短的影響，改善過去僅使用OLS 迴歸分析(Ordinary Least Squares regression)，未考慮債務長短的影響而造成估計上的偏誤。實證結果發現，在同時考慮債務長短和財務槓桿後，資產流動性和財務槓桿之間仍為正相關，然而資產流動性和債務長短的顯著性消失。在探討短債是否能有效地降低代理衝突方面，結果發現資產流動性與財務槓桿迴歸係數顯著為負，此部分和Morellec (2001) 提出的結果一致:在債務未擔保之下，資產流動性過高會降低公司的負債能力。其次，短債與資產流動性的交乘項迴歸係數顯著為正，顯示公司可以透過短債，有效地降低資產流動性過高在未擔保債務下所衍生的代理問題。最後，本文分別檢驗金融危機前後以及比較財務表現優劣的公司短債降低代理問題的效果。結果發現短債於金融危機後與表現較差的公司能顯著地降低代理衝突，顯示公司在財務狀況不穩定時，短債的使用能幫助債權人有效地監督經理人的行為，降低代理衝突。

摘要(英)

To investigate the agency problem between manager and debtholder resulted from overhigh asset liquidity under unsecured debt, this study uses five alternative measures of asset liquidity and one composite factor to examine the role of short-term debt. Addressing the joint determination of leverage and debt maturity, we use simultaneous-system-of-equations models instead of ordinary-least-squares regression. The evidence shows that the relation between asset liquidity and leverage is positive, but the significances on debt maturity disappear. Next, the asset liquidity negatively affects leverage under unsecure debt, but the negative effect is mitigated by short-term debt, which indicates that the firm could reduce the agency problem by short-term debt. Finally, this mitigating role of short-term debt is further shown to be more effective during financial crisis and for firms with poor performance because the short-term debt could help debtholder flexibly monitor manager’s behavior, which adding new evidence that short-term debt help resolve the agency conflicts facing unsecured debtholders.

關鍵字(中)

★ 資產流動性
★ 財務槓桿
★ 債務結構

關鍵字(英)

★ Asset Liquidity
★ Leverage
★ Debt Maturity

論文目次

Abstract in Chinese .i
Abstract .ii
Acknowledgement .iii
Contents .iv
List of Tables.vi
1 Introduction 1
2 Literature Review and Hypotheses .5
2.1 Agency Problem of High Asset Liquidity and the Mitigation Role of Short-Term Debt .5
2.2 The Effect of Short-Term Debt during Financial Crisis .6
2.3 The Effect of Short-Term Debt on Firm’s performance .7
3 Data and Methodology .8
3.1 Data .8
3.2 Asset Liquidity Measures .9
3.3 Methodology .12
4 Empirical Results .16
4.1 Summary Statistics .17
4.2 Results from the Simultaneous System of Equations .18
4.3 Hump-Shaped Relationship between Asset Liquidity and Leverage for Unsecured Debt .20
4.4 High Asset Liquidity, Leverage, and Short-Term Debt for Unsecured Debt .21
4.5 Additional Robustness Tests of Short-Term Debt Mitigating the Effect of the Agency Conflict .24
4.5.1 Pre- and Post-Subprime Financial Crisis .25
4.5.2 Firm Performance Subsample Results .26
5 Conclusions and Discussion .27
Appendix A Principal Component Analysis of Asset Liquidity Measures .29
Appendix B Definition of Variables .30
Appendix B Definition of Variables (Continue) .31
Reference .32

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指導教授

黃泓人、周賓凰

審核日期

2017-1-19

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