Payout Policy Tax Clienteles,Ex‐dividend Day Stock Prices and Trading Behavior in Germany: The Case of the 2001 Tax Reform

This paper examines the impact of the German 2001 tax reform, where Germany switched from a full imputation system to a classical system. Theory suggests that both price drop ratios and trading volume decrease following the reform. We document a significant reduction in the valuation of net dividends–in particular for high dividend yield stocks–and weakening payout policy tax clienteles. Ex‐dividend day returns are likely to be driven by short‐term traders. Though the reform removed incentives for cross‐border dividend stripping and reduced tax heterogeneity among investors, we show that the high trading volume around ex‐dividend days persists.     

Dividend commitment in firm bylaws and capital structure change

Dividend policies can predict changes in capital structure. We focus on a unique setting, namely, dividend commitment emerging from a new dividend policy in China, and explore its relation to leverage. We find a commitment to increase dividends is associated with a subsequent reduction in leverage, and this negative relation is enhanced in firms without preliminary conditions specified for their commitments or with greater dividend smoothing in previous periods. Robustness tests support the main findings. Further analysis addresses four internal mechanisms that play essential roles in the above link, and we provide further details about how leverage is reduced.     

数字经济、人力资本红利与产业结构高级化

基于省际面板数据,利用广义矩估计(GMM)、面板门槛回归(PTR)等计量模型考察数字经济、人力资本红利与产业结构高级化之间的动态关系.研究发现:在数字经济发展下,人力资本红利有助于推动产业结构高级化进程.从不同地区来看,东部地区的人力资本红利和西部地区的数据要素对于本地的产业结构高级化呈现积极影响.进一步研究发现,当数据要素积累到一定阶段将提升我国人力资本红利对于产业结构高级化的积极影响.     

Diversification and Capital Structure: Some International Evidence

This study examines the effects of international and product diversification on capital structure with 232 firms from 30 countries. Results for the full sample show that international diversification is negatively related to financial leverage, but further analyses indicate that this is mainly attributable to US firms. For non-US firms, we fail to find a significant relationship. Results also show that product diversification is positively related to financial leverage, indicating that such diversification allows firms to reduce their risks, thereby enabling firms to carry higher debt levels.     

Local Trends in Price‐to‐Dividend Ratios—Assessment,Predictive Value,and Determinants

Persistent variations of the log price‐to‐dividend ratio (PD) and their economic determinants have attracted a lively discussion in the literature. We suggest a gradually time‐varying state process to govern the persistence of the PD. The adopted state‐space approach offers favorable model diagnostics and finds particular support in out‐of‐sample stock return prediction. We show that this slowly evolving mean process is jointly shaped by the consumption risk, the demographic structure, and the proportion of firms with traditional dividend payout policy during the past 60 years. In particular, the volatility of consumption growth plays the dominant role.     

Corporate Stock and Bond Return Correlations and Dynamic Adjustments of Capital Structure

This paper analyses the effects of dynamic correlations between stock and bond returns issued by the same firm on the speed of adjustment towards target leverage. The results show that the estimated correlations are time varying, show persistence and differ among firms. Analysis of the potential explanatory variables reveals that the correlations decrease with negative expectations about future aggregate risks, but only for firms with a low default probability. In contrast, correlations are positively associated with specific risk measures, especially idiosyncratic stock risk and financial leverage. The positive relationship between the correlations and the leverage ratio suggests that target leverage can be achieved faster when the stock–bond correlation is high. Our results show that this is the case.     

无形资产对公司资本结构的影响研究

针对无形资产是否可以起到有效的债务支持替代作用进而影响企业资本结构这一当前少有文献实证探讨的问题,结合我国实际融资环境实证分析无形资产对企业负债水平及资本结构的影响程度和机制.研究发现,企业无形资产投入与负债支持能力及资产负债率显著正相关,实际上发挥出了对有形资产债务支持的替代作用.     

Institutional Ownership and Return Reversals Following Short‐Term Return Consistency

Securities with consistently strong positive (negative) returns during the previous two weeks have future returns that are higher (lower) than those that do not. The results hold for various robustness checks, including those involving firm size, share turnover, past return levels, and bid‐ask bounce. The returns to short horizon consistency trading strategies are reliable through time and are both economically and statistically significant. There is also some evidence that longer periods of consistency lead to greater risk‐adjusted profits. Most surprising is that this effect holds only for those firms with high institutional ownership.     

The Risk‐Return Relation in International Stock Markets

We investigate the risk‐return relation in international stock markets using realized variance constructed from MSCI (Morgan Stanley Capital International) daily stock price indices. In contrast with the capital asset pricing model, realized variance by itself provides negligible information about future excess stock market returns; however, we uncover a positive and significant risk‐return tradeoff in many countries after controlling for the (U.S.) consumption‐wealth ratio. U.S. realized variance is also significantly related to future international stock market returns; more importantly, it always subsumes the information content of its local counterparts. Our results indicate that stock market variance is an important determinant of the equity premium.     

‘Hot’ Debt Markets and Capital Structure

This paper examines the motives of debt issuance during hot‐debt market periods and its impact on capital structure over the period 1970–2006. We find that perceived capital market conditions as favourable, an indication of market timing, and adverse selection costs of equity (i.e., information asymmetry) are important frictions that lead certain firms to issue more debt in hot‐ than cold‐debt market periods. Using alternative hot‐debt market issuance measures and controlling for other effects, such as structural shifts in the debt market, industry, book‐to‐market, price‐to‐earnings, size, tax rates, debt market conditions and adjustment costs based on debt credit ratings, we find that firms with high adverse selection costs issue substantially more (less) debt when market conditions are perceived as hot (cold). Moreover, the results indicate that there is a persistent hot‐debt market effect on the capital structure of debt issuers; hot‐debt market issuing firms do not actively rebalance their leverage to stay within an optimal capital structure range.     

The Persistent Puzzle of Corporate Capital Structure: Current Challenges and New Directions

This paper is the keynote address from the Eastern Finance Association's 2012 meeting in Boston. I assert that, despite a substantial amount of work and much progress in the capital structure field, traditional models do a remarkably poor job of explaining the dynamics of observed capital structures. New approaches that focus on the firm's intertemporal access to capital appear to represent the most promising avenues for yielding fresh insights.     

Political Patronage and Capital Structure in China

In this paper, we empirically examine the determinants of capital structure in China, using 1,006,395 firm-year observations spanning 1998-2007. Consistent with the general findings in developed markets, we find that the long-term debt ratio is positively related to firm size and asset tangibility while negatively related to profitability and growth opportunities. We also conclude that the long-term debt ratio is positively related to state ownership and legal-person institutional ownership, consistent with the political patronage hypothesis that firms in which the government has more of a stake are more likely to incur long-term debts. These results are robust to a battery of validity checks.     

Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability

The conventional dividend–price ratio is highly persistent, and the literature reports mixed evidence on its role in predicting stock returns. We argue that the decreasing number of firms with a traditional dividend‐payout policy is responsible for these results, and develop a model in which the long‐run relationship between the dividends and stock price is time varying. An adjusted dividend–price ratio that accounts for the time‐varying long‐run relationship is considerably less persistent. Furthermore, the predictive regression model that employs the adjusted dividend–price ratio as a regressor outperforms the random‐walk model. These results are robust with respect to the firm size.     

Short‐Horizon Return Predictability in International Equity Markets

This study measures the degree of short‐horizon return predictability of 50 international equity markets and examines how its variation is related to the indicators of equity market development. Two multiple‐horizon variance ratio tests are employed to measure the degree of return predictability. We find evidence that return predictability is negatively correlated with publicly available indicators of equity market development. Our cross‐sectional regression analysis shows that the per capita gross domestic product, market turnover, investor protection, and absence of short‐selling restrictions are correlated with cross‐market variations in return predictability.     

Dividend preference of tradable‐share and non‐tradable‐share holders in Mainland China

Comprehensive data on corporate announcements of Chinese firms allows us to examine the preference for, and determinants of, cash and stock dividends. The results indicate that Chinese public investors prefer stock dividends over cash dividends, which are preferred by large state and legal person shareholders generally. Stock dividends, which do not require an explicit cash outflow from a firm, are found to be positively related to higher earnings, supporting the signalling hypothesis of dividend policy. In an imperfect market, these results have some implications for government regulation of financial markets.     

Risk Shifting through Nonfinancial Contracts: Effects on Loan Spreads and Capital Structure of Project Finance Deals

We study capital structure negotiation and cost of debt financing between sponsors and lenders using a sample of more than 1,000 project finance loans worth around US$195 billion closed between 1998 and 2003. We find that lenders: (i) rely on the network of nonfinancial contracts as a mechanism to control agency costs and project risks, (ii) are reluctant to price credit more cheaply if sponsors are involved as project counterparties in the relevant contracts, and finally (iii) do not appreciate sponsor involvement as a contractual counterparty of the special purpose vehicle when determining the level of leverage.     

Regime Shifts in Price‐Dividend Ratios and Expected Stock Returns: A Present‐Value Approach

We incorporate regime shifts in the mean of price‐dividend ratios into the present value model of van Binsbergen and Koijen (2010) who propose a latent variable approach to modeling expected returns and dividend growth rates. We find that accounting for regime shifts results in much lower persistence of expected returns and higher volatility of expected returns, and thus higher in‐sample predictability, when compared to the results from the van Binsbergen and Koijen (2010) model. We also show that the main source of the increase in the mean of price‐dividend ratios in the mid‐1990s is a decrease in the mean of expected returns.     

Risk‐based explanation for the book‐to‐market effect

This paper proposes a risk‐based explanation for the book‐to‐market (B/M) effect. I decompose B/M into net operating asset‐to‐market (NOA/M) and net financing asset‐to‐market (NFA/M) components. Portfolio analysis shows that (i) positive B/M, NOA/M and NFA/M are positively related to future returns and (ii) negative B/M, NOA/M and NFA/M are negatively related to future returns. To the extent that positive B/M, NOA/M and NFA/M act as measures of asset risk and negative B/M, NOA/M and NFA/M act as inverse measures of borrowing risk, the nonlinear relations between B/M, NOA/M and NFA/M and future returns provide some evidence to support the risk‐based explanation for the book‐to‐market effect in stock returns.