What Do Credit Markets Tell Us About the Speed of Leverage Adjustment?

被引:4
作者
Elkamhi, Redouane [1 ]
Pungaliya, Raunaq S. [2 ]
Vijh, Anand M. [3 ]
机构
[1] Univ Toronto, Rotman Sch Management, Toronto, ON M5S 3E6, Canada
[2] Sungkyunkwan Univ, Grad Sch Business, Seoul 110745, South Korea
[3] Univ Iowa, Tippie Coll Business, Iowa City, IA 52242 USA
关键词
capital structure; speed of adjustment; bond spread; CDS spread; predicted leverage; CAPITAL STRUCTURE; EQUITY VOLATILITY; TERM STRUCTURE; YIELD SPREADS; DEFAULT; FIRMS; RISK; DETERMINANTS; PUZZLE; STOCK;
D O I
10.1287/mnsc.2013.1871
中图分类号
C93 [管理学];
学科分类号
12 ; 1201 ; 1202 ; 120202 ;
摘要
This paper proposes a new methodology to infer investors' expectations about the speed of leverage adjustment implicit in the prices of credit instruments. On average, the credit markets imply a fairly rapid annual speed of adjustment of 26% toward a firm's predicted leverage. The speed varies considerably across partitions formed by the differential implications of the pecking order, market timing, and trade-off theories of capital structure. This finding suggests that investors' expectations are formed in accordance with all three theories. We also show that the addition of firm fixed effects in the predicted leverage model gives noisier estimates of investors' expectations of future leverage, and that a firm's initial leverage is a poor estimate of its future leverage.
引用
收藏
页码:2269 / 2290
页数:22
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