流動性、市場選時與債期結構

Abstract

過去Baker, Greenwood, and Wurgler (2003)的研究發現，期間利差(Term Spread)與未來債券額外報酬息息相關，公司因而進行債券期限結構(Debt Maturity Structure)調整，即為債券的市場選時(Market Timing)行為。He and Xiong (2012)的研究則指出，短債容易在市場流動性(Market Liquidity)差時，必須承擔巨大的展期風險(Rollover Risk)。本研究將期間利差作為發行長債時相對於短債的額外成本，同時考量市場資金流動性差時，短債必須頻繁再融資而付出大量展期成本，故長、短債的發行將形成債期結構的權衡關係(Trade-off)，公司因此能夠決定一個最佳債期結構。根據實證結果，可知期間利差、市場流動性將與公司短債比例呈現正向關係。此外，在上述基礎下，再考量公司資本結構中的股權，利用股票報酬(Stock Return)對代理問題及違約風險的影響，探討債期結構與股權融資的關係，實證結果發現股權報酬將與公司短債比例呈現負向關係。

Baker, Greenwood, and Wurgler (2003) found that they can use term spread to predict future excess bond returns, and the maturity of new debt issues of firms is connected to the excess bond returns. This is an action of debt market timing. Moreover, He and Xiong (2012) demonstrated that when the market’s liquidity deteriorates, firms financing with more short-term debts will suffer more losses in rolling over their maturing debts. In this paper, I consider term spread as the long-term debt’s additional issuance cost and rollover losses as the short-term debt’s one. Hence, we can form a trade-off between the issuance of long-term debt and short-term debt and determine an optimal debt maturity structure. Furthermore, we examine the stock return’s impact on firm’s debt maturity structure through default risk and agency problem between bondholders and stockholders, and try to figure out their complex relationship.