Sovereign Debt Crises in Latin America: A Market Pressure Approach

ABSTRACT

We construct a continuous sovereign debt crisis index for four large Latin American countries for the period 1870?2012. To obtain the optimal set of indicators and the optimal value of the threshold for dating crises we apply the receiver operating characteristic (ROC) curve. Our sovereign debt crisis index is a weighted average of three indicators: the debt-to-GDP ratio, the external interest rate spread, and the exports-to-imports ratio. The continuous index allows a more advanced analysis of sovereign debt crises as illustrated with an investigation of the relationship between sovereign debt crises and business cycles in Latin America.     

Investment opportunities,free cash flow,and stock valuation effects of secured debt offerings

This paper examines the role of investment opportunities and free cash flow in explaining the source of the stock valuation effects of secured debt offerings. We find a significantly positive relation between a firm's investment opportunities and its stock price response to announcements of secured debt issues. This evidence supports the investment opportunities hypothesis that secured debt financing is more valuable for issuing firms with high growth opportunities. In contrast, we find a lack of support for the free cash flow hypothesis. These findings hold even after controlling for other potentially influential variables. Our study provides a better understanding of the relative importance of various potential determinants in explaining the variation in the valuation impact of secured debt issues.

运营时滞、债务协商和可转债融资企业投资决策研究

在运营时滞的背景下,将债务协商机制引入到利用股权和可转债融资的上市企业,建立动态模型分析企业的投资问题。数值分析表明：在相同的运营时滞下,如果股东谈判能力较弱（强）,相比于破产清算,债务协商会加速（推迟）投资;项目首次投资成本和股东谈判能力会同时影响运营时滞与企业投资水平之间的关系。当首次投资成本低时,随着运营时滞增加,较强（弱）的股东谈判能力会推迟（加速）投资;当首次投资成本较高时,运营时滞增加会推迟投资,但股东谈判能力越强,推迟程度越小;债务协商可以提高实物期权价值,并且实物期权价值和股东谈判能力成正比,和运营时滞成反比。     

Debt Maturity Structure and Accounting Conservatism

This study examines the association between debt maturity structure and accounting conservatism. Short‐maturity debt can mitigate agency costs of debt arising from information asymmetry and suboptimal investment problems inherent in debt financing. As such, debt‐contracting demand for accounting conservatism is expected to be lower in the presence of more short‐maturity debt. We find that short‐maturity debt is negatively associated with accounting conservatism. As firms could commit to more accounting conservatism to gain access to long‐maturity debt, we conduct lead‐lag tests of the direction of causality, and the results suggest that more short‐maturity debt leads to less conservative reporting, rather than the reverse. We also find the negative relation between short‐maturity debt and accounting conservatism is more pronounced among financially distressed firms, where ex ante severity of agency costs of debt are higher. Collectively, our results contribute to our understanding of the role of accounting conservatism in debt contracting and show how debt maturity, a key and pervasive feature of creditor protection in debt contracting, affects accounting conservatism.     

Government Weakness and Local Public Debt Development in Flemish Municipalities

The Weak Government Hypothesis states that government fragmentation leads to higher public deficits and debt. This relation can be explained by government inaction, common pool problems or the strategic use of debt that arise in coalition governments. Importantly, whereas government inaction models concentrate on the short-term effects of government fragmentation on indebtedness, common pool and strategic debt models imply that such effects will persist in the long term. We test these hypotheses using a large panel of data on municipal debt in 298 Flemish municipalities (1977–2000). We find that there is no long-run effect from weak governments. However, there is general support for the fact that the number of parties in a coalition has a positive effect on the municipality’s short-term debt levels–in line with government inaction models.JEL Code: E62, H72, H74     

Determinants of corporate debt securities in the Euro area

Abstract

This study examines the macroeconomic determinants of corporate debt securities in the euro area. The financing costs, as approximated by the cost of debt securities vis-à-vis other sources of corporate finance, and financing needs, as captured by mergers and acquisitions and gross domestic product, are found to be significant determinants in the short and long run. The empirical results are also supportive of substitution between debt security and internal financing unrelated to cost of differentials in the short run and of differences in the determination of long- and short-term debt securities. These findings are robust across different samples and specifications.     

Debt Structure Adjustments and Long-Run Stock Price Performance

We examine the long-run implications of debt structure adjustments using a sample of U.S. bond IPOs from 1971 to 1994. Bond IPOs result in simultaneous and pronounced changes in both debt maturity and debt ownership structures. We document that firms engaging in debt IPOs substantially underperform their size-and-book-to-market-matched benchmarks by 33.39 and 55.99% over the 3- and 5-year post-offer periods. Our results are strikingly similar to those reported for equity offers but contrast the evidence for seasoned debt offers. We find evidence that debt IPOs are timed to coincide with the market having the highest expectations concerning firms' prospects. A negative relation is documented between debt maturity and future growth opportunities. In part, the underperformance can be attributed to significantly reduced growth opportunities following the offering. Post-offer underperformance is more pronounced for (a) longer maturity issues and (b) firms that do not experience an increase in bank monitoring. Journal of Economic Literature Classification Numbers: G12, G24, G30, D82.     

An Analysis of Joint Effects of Investment Opportunity Set,Free Cash Flows and Size on Corporate Debt Policy

This study, based on a sample of 1869 observations from 1989 to 1993 for non-regulated U.S. firms, examines the association between investment opportunity set (IOS), free cash flows (FCF) and debt, and also tests whether firm size acts as a moderating variable on this association. The results show that there is a significantly positive association between FCF and debt for low IOS firms, which provide support to Jensen's (1986) control hypothesis. The results also show that the positive association between debt and high FCF for low IOS firms is more pronounced for large firms, suggesting that the firm size serves as a moderating variable on the association.     

Capital structure of multinational and domestic corporations – a cross‐country comparison

This study investigates whether the determinants of capital structure between multinational corporations (MCs) and domestic corporations (DCs) vary across Australia, U.S., Japan, U.K. and Malaysia. Results show (i) the debt holding capacity and majority of the explanatory factors vary between DCs and MCs and also across countries; (ii) Australia, Japan, U.K. and Malaysian MCs hold significantly less long‐term debt relative to U.S. firms; (iii) DCs and MCs that operate under an imputation tax system hold significantly less short‐ and long‐term debt; and (iv) DCs and MCs operating under common law have significantly less short‐term debt and significantly higher long‐term debt.     

中国高额持有美国国债的风险与对策

美国国债曾是公认的最安全的投资品。2001年以来,中国持有的美国国债随外汇储备的快速增长而增加;美国国债规模也随美国"双赤字"的扩大而膨胀。美国的政治生态及美元的霸权特性使得美国的"双赤字"难于控制,美国国债的潜在风险日益显现。中国主要面临退出困难及债权资产实际价值可能大幅缩水的困扰。建议中国利用最大债主的地位制约美国以维护自身权益;同时控制外汇储备增量优化外汇储备结构以掌握风险控制的主动权。     

CEO inside debt and investment‐cash flow sensitivity

This paper provides a new explanation for investment‐cash flow sensitivity from the perspective of CEO inside debt holdings. We examine the effect of CEO pensions and deferred compensation (inside debt) on investment‐cash flow sensitivity for a sample of U.S. manufacturing firms from 2006 to 2012. We find that the firms with higher relative CEO leverage ratios (CEO's debt/equity ratio scaled by the firm's debt/equity ratio) generate higher investment‐cash flow sensitivity. Moreover, one standard deviation increase in the logarithm of the relative CEO leverage ratio enlarges investment‐cash flow sensitivity by 50 per cent. This positive relationship still holds even after we take account of endogeneity and financial constraints.     

推进城镇化:我国国债投资思路的新选择

随着政府积极财政政策的淡出,曾经为拉动经济增长发挥巨大作用的建设国债发行处于尴尬境地。因此,必须开拓新的国债投资领域,而推进小城镇向城市化转变将是国债投资的新领地。     

The Determinants of Debt Maturity at Issuance: A System-Based Model

We examine the determinants of corporate debt maturity while taking into account the interdependent relation between maturity and leverage. We do this by estimating a simultaneous-equations model on debt maturity and leverage for a sample of bond-issuing firms. To compare with previous studies, we also estimate a single-equation model on debt maturity using OLS. We define debt maturity as either the maturity of bonds at issuance (incremental approach), or the percentage of a firm's total debt that matures in more than three years (balance-sheet approach). Corroborating the findings of many previous studies, our single-equation OLS results support the underinvestment hypothesis purporting that firms with greater growth opportunities have shorter-term debt. However, under the simultaneous-equations model, the negative relation between a firm's debt maturity and its growth opportunities ceases to hold. Instead, it is the leverage decision that is influenced by growth opportunities. This suggests that existing models may overestimate the effect of growth opportunities on debt maturity.     

The q-factors and expected bond returns

This study provides new insight into the recent debate on profitability and investment patterns in the cross-section of expected returns. Relying on implied risk premia of U.S. corporate bonds, we document a strong negative relation between exposure to the profitability factor and cost of debt. We do not observe a robust relation between exposure to the investment factor and cost of debt. Our findings are consistent with profitability being a risk factor, but suggest that high profitability implies lower (and not higher) risk. Because the market portfolio consists of all risky assets including corporate bonds, our findings challenge a risk-based explanation for the profitability and investment patterns in stock returns.     

CEO inside debt and corporate debt maturity structure

This paper examines the relation between chief executive officer (CEO) inside debt holdings and corporate debt maturity. We provide robust evidence that inside debt has a positive effect on short-maturity debt and that this effect is concentrated in financially unconstrained firms that face lower refinancing risk. Our analysis further shows that CEO inside debt helps reduce the cost of debt financing. Overall, our results indicate that managerial holdings of inside debt facilitate access to external debt financing and reduce refinancing risk, thus incentivizing managers to use less costly shorter term debt.     

Determinants of Bank Debt in a Continental Financial System: Evidence from Spanish Companies

We test hypotheses about the structure of corporate debt ownership and the use of bank debt by firms in a civil‐law country, Spain. We focus on bank debt effects in the presence of information asymmetries and agency costs, and on efficient versus inefficient firm liquidation. We find that the relation between growth opportunities and bank financing is not as strong as the one found in common‐law countries, that there is a positive relation between firm size and the proportion of bank debt used, and that firms closer to bankruptcy and highly leveraged are more likely to use bank debt.     

Debt, Death and Taxes

Does the level of government debt affect living standards and if so, to what extent? We quantify the impact of the U.S. federal debt using an open economy overlapping generations model in which consumers have long but finite lifetimes. A demographic structure allows fiscal policy changes to have different effects on different agents, and reveals the linkages between public debt, output and international trade. We find that reducing the debt has relatively modest impacts on aggregates, while reducing government spending substantially raises U.S. incomes and welfare. Therefore, this paper contributes to the current debate regarding whether U.S. federal government budget surpluses should be used to retire government debt.     

企业负债率、研发投资强度与企业价值

选取2003—2010年沪深A股上市公司R＆D数据,研究R＆D投入与上市公司债务融资的相关性和R＆D投入与上市公司市场价值关联性。实证研究发现：企业的负债率越高,其研发投入越少,非国有控股上市公司所面临的债务融资约束更大;企业的研发投入对公司价值具有正向影响,并且这种影响会因企业负债水平的高低而不同。在模型中进一步加入RDI＊D负债水平交叉项后发现,相对于负债水平较低的企业,负债水平较高企业的研发投入对公司价值的正向影响是减弱的,对于非国有控股上市公司,这种减弱效应更为显著。     

美国家庭负债对净资产积累的影响

本文尝试从宏观和微观两个层面,对美国家庭的负债现状和变化轨迹、各类负债群体的财富特征、负债深度和债务用途等进行细致探索,以期发现家庭负债对家庭财富积累和投资意识等的影响方式与深度。本项研究对于揭示美国家庭负债的结构特征,深入研究家庭负债与家庭经济之间的数量化关系以及未来在我国建立科学和可行的家庭资产统计制度、准确识别我国居民家庭债务和变化趋势等具有理论和现实意义。     

Short-Term External Debt and Foreign Exchange Rate Volatility in Emerging Economies: Evidence from the Korea Market

Abstract:

We empirically analyze the main determinants of foreign exchange rate (FX) volatility in emerging market economies using the data of Korea corporations and financial institutions. We find that short-term external debt is more important than trading volume of foreign investors in explaining FX volatility. Our results suggest that short-term debt-controlling measures, such as a tax levy on short-term borrowing, can be more effective in moderating FX volatility than can the measures affecting the trading volume, such as a Tobin tax.