公司股票流動性的暫時性變動、發債或發股的選擇與債務契約的研究

Abstract

This dissertation includes three empirical researches on the issues of financial economics: stock liquidity, capital structure, and debt covenants. The first paper focuses on transitory liquidity and examines it as well-performing market-timing indicator on cost of capital and debt-equity choices. The second paper discusses the possible effects of the information spillover from equity market to debt market through stock liquidity on firms’ debt-equity choices. The third paper analyzes external effect from debt covenant of leveraged buyout (LBO) borrowers on industry incumbents. Chapter 1 Transitory Liquidity, Market Timing, and Debt-Equity Choices We find strong evidence that firms can realize the time of lower cost of equity capital from temporary liquidity changes. Unlike Bali, Peng, Shen, and Tang’s (2014) liquidity shock, a firm’s transitory liquidity computed as the negative difference of log Amihud’s (2002) illiquidity measure and its long-run mean is informative about its time-varying cost of equity capital and its debt-equity choice. Further, even in the presence of the previously identified firm-condition market-timing indicators, our findings show that transitory liquidity also is a well-performing market-timing indicator. Thus, a simple market-timing debt-equity choice depicted by transitory liquidity can have substantial explanatory power. Chapter 2 Stock Liquidity, Debt Capacity, and Debt-Equity Choices We emphasize that debt capacity concerns as the information spillover from equity market to debt market through stock liquidity. By showing that liquidity of S&P 500 firms, also called as leaders, in the same industry has a significant negative effect on net debt issuance, we find that leaders’ liquidity can be used as a measure of the cost of issuing debt and that information spillover is the reason which makes stock liquidity also relevant to net debt issuance. Further, preserving debt capacity makes liquid firms prefer equity financing and get better performance by taking leaders’ unused debt capacity as benchmark. Chapter 3 The Externality of Debt Covenants: LBO loans We discuss whether and how LBO borrowers’ technical default and tight financial covenants can be the opportunities for industry incumbents to raise their debt capital. Incumbents, especially for those with more LBO bank loan lenders, are found to issue more debt and have higher book leverage either when LBO borrowers are in technical violation of financial covenants or when LBO borrowers have increasing covenant pressure in one year after the loan agreements. Further, because of moral hazard problem between creditors and incumbents, those incumbents with high risk can otherwise take the opportunity to issue debt and have greater market share.