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1、Capital Structure and Firm Performance1. IntroductionAgency costs represent important problems in corporate governance in both financial and nonfinancial industries. The separation of ownership and control in a professionally managed firm may result in managers exerting insufficient work effort, ind
2、ulging in perquisites, choosing inputs or outputs that suit their own preferences, or otherwise failing to maximize firm value. In effect, the agency costs of outside ownership equal the lost value from professional managers maximizing their own utility, rather than the value of the firm. Theory sug
3、gests that the choice of capital structure may help mitigate these agency costs. Under the agency costs hypothesis, high leverage or a low equity/asset ratio reduces the agency costs of outside equity and increases firm value by constraining or encouraging managers to act more in the interests of sh
4、areholders. Since the seminal paper by Jensen and Meckling (1976), a vast literature on such agency-theoretic explanations of capital structure has developed (see Harris and Raviv 1991 and Myers 2001 for reviews). Greater financial leverage may affect managers and reduce agency costs through the thr
5、eat of liquidation, which causes personal losses to managers of salaries, reputation, perquisites, etc. (e.g., Grossman and Hart 1982, Williams 1987), and through pressure to generate cash flow to pay interest expenses (e.g., Jensen 1986). Higher leverage can mitigate conflicts between shareholders
6、and managers concerning the choice of investment (e.g., Myers 1977), the amount of risk to undertake (e.g., Jensen and Meckling 1976, Williams 1987), the conditions under which the firm is liquidated (e.g., Harris and Raviv 1990), and dividend policy (e.g., Stulz 1990).A testable prediction of this
7、class of models is that increasing the leverage ratio should result in lower agency costs of outside equity and improved firm performance, all else held equal. However, when leverage becomes relatively high, further increases generate significant agency costs of outside debt including higher expecte
8、d costs of bankruptcy or financial distress arising from conflicts between bondholders and shareholders.1 Because it is difficult to distinguish empirically between the two sources of agency costs, we follow the literature and allow the relationship between total agency costs and leverage to be nonm
9、onotonic.Despite the importance of this theory, there is at best mixed empirical evidence in the extant literature (see Harris and Raviv 1991, Titman 2000, and Myers 2001 for reviews). Tests of the agency costs hypothesis typically regress measures of firm performance on the equity capital ratio or
10、other indicator of leverage plus some control variables. At least three problems appear in the prior studies that we address in our application. In the case of the banking industry studied here, there are also regulatory costs associated with very high leverage.First, the measures of firm performanc
11、e are usually ratios fashioned from financial statements or stock market prices, such as industry-adjusted operating margins or stock market returns. These measures do not net out the effects of differences in exogenous market factors that affect firm value, but are beyond managements control and th
12、erefore cannot reflect agency costs. Thus, the tests may be confounded by factors that are unrelated to agency costs. As well, these studies generally do not set a separate benchmark for each firms performance that would be realized if agency costs were minimized.We address the measurement problem b
13、y using profit efficiency as our indicator of firm performance.The link between productive efficiency and agency costs was first suggested by Stigler (1976), and profit efficiency represents a refinement of the efficiency concept developed since that time.2 Profit efficiency evaluates how close a fi
14、rm is to earning the profit that a best-practice firm would earn facing the same exogenous conditions. This has the benefit of controlling for factors outside the control of management that are not part of agency costs. In contrast, comparisons of standard financial ratios, stock market returns, and
15、 similar measures typically do not control for these exogenous factors. Even when the measures used in the literature are industry adjusted, they may not account for important differences across firms within an industry such as local market conditions as we are able to do with profit efficiency. In
16、addition, the performance of a best-practice firm under the same exogenous conditions is a reasonable benchmark for how the firm would be expected to perform if agency costs were minimized.Second, the prior research generally does not take into account the possibility of reverse causation from perfo
17、rmance to capital structure. If firm performance affects the choice of capital structure, then failure to take this reverse causality into account may result in simultaneous-equations bias. That is, regressions of firm performance on a measure of leverage may confound the effects of capital structur
18、e on performance with the effects of performance on capital structure.We address this problem by allowing for reverse causality from performance to capital structure. We discuss below two hypotheses for why firm performance may affect the choice of capital structure, the efficiency-risk hypothesis a
19、nd the franchise-value hypothesis. We construct a two-equation structural model and estimate it using two-stage least squares (2SLS). An equation specifying profit efficiency as a function of the 2 Stiglers argument was part of a broader exchange over whether productive efficiency (or X-efficiency)
20、primarily reflects difficulties in reconciling the preferences of multiple optimizing agents what is today called agency costs versus “true” inefficiency, or failure to optimize (e.g., Stigler 1976, Leibenstein 1978). firms equity capital ratio and other variables is used to test the agency costs hy
21、pothesis, and an equation specifying the equity capital ratio as a function of the firms profit efficiency and other variables is used to test the net effects of the efficiency-risk and franchise-value hypotheses. Both equations are econometrically identified through exclusion restrictions that are
22、consistent with the theories.Third, some, but not all of the prior studies did not take ownership structure into account. Under virtually any theory of agency costs, ownership structure is important, since it is the separation of ownership and control that creates agency costs (e.g., Barnea, Haugen,
23、 and Senbet 1985). Greater insider shares may reduce agency costs, although the effect may be reversed at very high levels of insider holdings (e.g., Morck, Shleifer, and Vishny 1988). As well, outside block ownership or institutional holdings tend to mitigate agency costs by creating a relatively e
24、fficient monitor of the managers (e.g., Shleifer and Vishny 1986). Exclusion of the ownership variables may bias the test results because the ownership variables may be correlated with the dependent variable in the agency cost equation (performance) and with the key exogenous variable (leverage) thr
25、ough the reverse causality hypotheses noted aboveTo address this third problem, we include ownership structure variables in the agency cost equation explaining profit efficiency. We include insider ownership, outside block holdings, and institutional holdings.Our application to data from the banking
26、 industry is advantageous because of the abundance of quality data available on firms in this industry. In particular, we have detailed financial data for a large number of firms producing comparable products with similar technologies, and information on market prices and other exogenous conditions
27、in the local markets in which they operate. In addition, some studies in this literature find evidence of the link between the efficiency of firms and variables that are recognized to affect agency costs, including leverage and ownership structure (see Berger and Mester 1997 for a review).Although b
28、anking is a regulated industry, banks are subject to the same type of agency costs and other influences on behavior as other industries. The banks in the sample are subject to essentially equal regulatory constraints, and we focus on differences across banks, not between banks and other firms. Most
29、banks are well above the regulatory capital minimums, and our results are based primarily on differences at the mar2. Theories of reverse causality from performance to capital structureAs noted, prior research on agency costs generally does not take into account the possibility of reverse causation
30、from performance to capital structure, which may result in simultaneous-equations bias. We offer two hypotheses of reverse causation based on violations of the Modigliani-Miller perfect-markets assumption. It is assumed that various market imperfections (e.g., taxes, bankruptcy costs, asymmetric inf
31、ormation) result in a balance between those favoring more versus less equity capital, and that differences in profit efficiency move the optimal equity capital ratio marginally up or down.Under the efficiency-risk hypothesis, more efficient firms choose lower equity ratios than other firms, all else
32、 equal, because higher efficiency reduces the expected costs of bankruptcy and financial distress. Under this hypothesis, higher profit efficiency generates a higher expected return for a given capital structure, and the higher efficiency substitutes to some degree for equity capital in protecting t
33、he firm against future crises. This is a joint hypothesis that i) profit efficiency is strongly positively associated with expected returns, and ii) the higher expected returns from high efficiency are substituted for equity capital to manage risks.The evidence is consistent with the first part of t
34、he hypothesis, i.e., that profit efficiency is strongly positively associated with expected returns in banking. Profit efficiency has been found to be significantly positively correlated with returns on equity and returns on assets (e.g., Berger and Mester 1997) and other evidence suggests that prof
35、it efficiency is relatively stable over time (e.g., DeYoung 1997), so that a finding of high current profit efficiency tends to yield high future expected returns.The second part of the hypothesis that higher expected returns for more efficient banks are substituted for equity capital follows from a
36、 standard Altman z-score analysis of firm insolvency (Altman 1968). High expected returns and high equity capital ratio can each serve as a buffer against portfolio risks to reduce the probabilities of incurring the costs of financial distress bankruptcy, so firms with high expected returns owing to
37、 high profit efficiency can hold lower equity ratios. The z-score is the number of standard deviations below the expected return that the actual return can go before equity is depleted and the firm is insolvent, zi = (i + ECAPi)/i, where i and i are the mean and standard deviation, respectively, of
38、the rate of return on assets, and ratios for those that were fully owned by a single owner-manager. This may be an improvement in the analysis of agency costs for small firms, but it does not address our main issues of controlling for differences in exogenous conditions and in setting up individuali
39、zed firm benchmarks for performance.ECAPi is the ratio of equity to assets. Based on the first part of the efficiency-risk hypothesis, firms with higher efficiency will have higher i. Based on the second part of the hypothesis, a higher i allows the firm to have a lower ECAPi for a ven z-score, so t
40、hat more efficient firms may choose lower equity capital ratios. 文章出处：Raposo Clara C. Capital Structure and Firm Performance . Journal of Finance. Blackwell publishing. 2005, (6): 2701-2727.资本结构与企业绩效1.概述代理费用不管在金融还是在非金融行业，都是非常重要的企业治理问题。在专业管理公司中所有权和控制的分离可能导致的开工不足，努力发挥管理人员，选择输入或输出适合他们自己的特长，否则不能实现公司价值的最
41、大化。实际上，外部所有权的代理成本等于职业经理人使自己的效用最大化的价值，而不是等于公司价值。理论表明，资本结构的选择可以帮助减轻这些代理成本。根据代理成本假说，高杠杆或低股本/资产比率降低外部股权的代理成本和通过限制或鼓励管理人员采取行动，增加股东的利益。自从由詹森和麦克林的论文（1976年），资本结构理论的解释，开发了大量文献，指出更大的财务杠杆可能会影响管理人员的薪酬，而且通过减少清算，将导致个人损失的薪金，声誉，特权经理等（格罗斯曼和哈特1982年，威廉姆斯1987年）的代理成本，并通过压力产生的现金流量支付利息费用（詹森1986年）。较高的杠杆可以减轻股东和经理之间关于投资的选择（例
42、如，迈尔斯1977年），承担的风险金额（，詹森和梅克林1976年，威廉姆斯1987年）的条件下，企业破产清算（哈里斯和拉维夫1990年）和股息政策（斯图尔兹1990年）。这方面的一个模型的可检验的预测是增加杠杆比率能够降低外部股权的代理成本，提高公司绩效，所有其他持有相同。然而，当杠杆变得相对较高，进一步提高将会产生较高的外部债务代理成本：包括破产或财务困境较高的预期成本，债券持有人和股东之间由此产生冲突，我们按照文学，并能计算机构之间的总成本，并且充分利用非单调的关系也很难区分两种来源的经验成本，不管这一理论的重要性，最好是有实证证据，（哈里斯和拉维夫1991年，特曼2000年，迈尔斯和评价
43、2001年）。代理成本假说的检验通常用回归分析的方法，再加上一些控制变量，其他指标性能的措施得出股本比例。至少有三个问题出现在我们的应用程序，我们在以前的研究结果中已报告。银行业案件在这里学习，也有非常高的与杠杆相关的管理费用。首先，公司业绩的措施通常是从财务报表或股票市场的价格，如行业调整后营业利润或股票的市场回报中取得。这些措施不排除外部市场因素对企业价值差异的影响，但排除了管理层的控制范围，因此不能反映代理成本。因此，这些测试可能会混淆的因素，这些因素无关的代理成本。另外，这些研究一般都没有为每家公司的业绩将实现成本最小化的机构作为一个单独的基准。我们解决企业之间的生产效率和业绩之间的联
44、系代理成本利润指标的测量效率问题的建议最早是由斯蒂格勒（1976年）提出，利润效率代表了利润，因为这开发效益的改进效益评估如何关闭企业，是赚取利润最好的做法，在公司面临同样的外部条件。这有控制的管理控制之外的不属于代理成本的一部分因素受益。相比之下，标准财务比率的比较，股市的回报，一般不会采取类似措施控制这些外部因素。即使在文献中使用的措施是产业调整，他们可能不占各公司行业内重大的分歧, 例如当地的市场情况,我们能够做的利润效率。此外，一个最佳实践公司在相同的外部条件下，在代理成本最低的情况下，如何合理的预计该公司的代理成本使很重要的。其次，以前的研究一般不考虑从性能反向因果关系的可能性。如果
45、公司业绩能够影响资本结构的选择，那么没有考虑到这一点可能在同步反向因果关系方程的结果存在偏差。也就是说，企业绩效回归上的杠杆措施可能会混淆与资本结构对性能的影响。由于采用了我们解决我们的牢固的生产效率和业绩之间的联系代理成本利润指标的测量效率问题的建议最早是由斯蒂格勒（1976年），和利润效率代表了效率的概念细化。第二，以前的研究通常是没有考虑到从性能反向因果关系的可能性资本结构。如果公司业绩影响资本结构的选择，那么没有考虑到这一点可能在同步反向因果关系，方程的结果偏差。也就是说，企业绩效回归上的杠杆措施可能会混淆与资本结构对性能的影响表现在资本结构的影响。我们解决了从性能反向因果关系资本结构
46、使这个问题。我们下面讨论两个假设为什么公司业绩可能会影响资本结构，效率风险假说和专营权价值假说的选择。我们建构一个两方程模型，并估计它的结构采用两阶段最小二乘法（2SLS）。一个公式指定作为2斯蒂格勒的说法函数利润效率是一个更广泛的交流超过部分是否生产效率（或X -效率），主要反映在协调多个优化剂喜好 - 什么是今天所谓的代理成本 - 与困难“真正的“低效或失败的优化（例如，斯蒂格勒1976年，莱宾斯坦1978年）。公司的自有资本比率和其他变量是用来测试的代理成本假说，并一式指定作为公司的利润效率和其他变量的函数自有资本比率是用来测试的效率，风险和净效果专营权价值假设。这两个方程计量经济学通过
47、鉴定排除限制与该理论是一致的。第三，一些，但不是以前的研究都没有考虑到所有制结构。在几乎所有的代理成本理论，所有制结构是重要的，因为它是所有权和控制权，创建代理成本（例如，巴尔内亚，豪根，1985年和Senbet分离）。大股东股票可能降低代理成本，但效果可能在内幕控股。另外，体制外块所有权或控股往往以减轻创造的经理（代理成本相对高效率的监管，Shleifer和Vishny 1986）。所有制变量可以排除偏见的测试结果，因为所有权相关变量可能会在代理成本方程式（性能），并与主要外生变量（杠杆）与因变量通过反向因果关系假设如上所述.为了解决这个第三个问题，我们包括代理成本方程所有制结构变量解释利润
48、效率和内幕外块持有所有权，以及机构持有。我们的应用程序来自银行业的数据是因为数据的质量对企业在这个行业提供充足的优势。特别是，我们有详细的生产技术，与同类产品相比大量企业财务数据，以及市场价格和他们在经营本地市场的其他外部条件的资料。此外，在一些研究发现，这种文学的企业之间的效率，这是公认的影响代理成本，包括利用和所有制结构变量联系的证据（伯杰和梅斯特1997年）。虽然银行是一个管制的行业，银行受代理成本和其他行业行为的其他影响同一类型。在样品中的银行基本上都受到平等的监管限制，我们集中在银行与银行之间的分歧不是其他公司，大部分银行都远高于最低监管资本。2.从因果关系的理论改变资本结构 如前所
49、述，在以前的研究代理成本一般不考虑从性能反向因果关系的可能性，这可能会导致资本结构方程的结果偏差。我们提供两种反向因果关系对莫迪利亚尼-米勒完善，以市场行为的假设为基础的假说。据推测，不同的市场缺陷（税收，破产成本，不对称信息）在一个有利于股权资本的减少，而且在利润效率差异的最佳移动自有资本比率轻微上升或下降的平衡效果。根据效率风险假说，更有效的公司比其他公司选择股权比例较低，一切平等的，因为高效率降低破产和财务困难的预期成本。根据这一假说，效率更高的利润产生了一个给定的资本结构，较高的预期回报，高效率的替代品和保护对公司未来的危机在一定程度上为股本。这是一个共同的假设，我）利润效率强烈正相关，预期回报，和ii）从高效率更高的预期回报为股本代替管理风险。 证据是与该假说，即第一部分的利润效率一致，坚持与相关银行的预期收益一致。利润效率已被认为是显著正相关，股本收益率和资产收益（伯杰和梅斯特1997年）和其他证据表明，利润效率是相对稳定的指标（例如，德扬1997年），这有利于找到一个目前高利润往往产生高效率的未来预期收益。该假说的第二部分即以实现更高效的更高的预期
