（工商管理专业论文）巴基斯坦非金融上市公司的资本结构实证探析.pdf

华 中 科 技 大 学 博 士 学 位 论 文 i 摘 要 资本结构管理活动是指使企业价值最大化的债务和权益性证券（equity securities）的选择。在他们的论文中，modigliani 和 miller (1958)提出，在完美的资 本市场下，债务和权益间的选择不会对公司价值产生实质性的影响。尽管他们的“ 债 务不相关理论” （debt irrelevance theorem）是基于现实世界中并不存在的假设建立 的，但当考虑到现实情况时，资本结构的选择就成为了价值最大化的重要因素。大 多数关于资本结构的研究，通常是以发达国家的相关数据为基础而展开的。对于发 展中国家企业的融资行为的研究则关注较少，特别是对于巴基斯坦企业的财务行为 的定量研究则显得尤为缺乏。因此，本文试图通过调查一些和资本结构相关的重要 因素来完善现有关于巴基斯坦的公司资本结构的研究。首先，本文研究了公司特有 因素对资本结构的影响；其次，本文研究了公司治理因素对公司资本结构的影响； 最后，本文研究了公司资本结构对公司绩效的影响。 为了本文找出最能影响巴基斯坦公司资本结构选择的特有因素，本文采用了。 巴基斯坦卡拉奇证券交易所（karachi stock exchange，kse）260 家非金融上市公 司 2000 年至 2009 年的数据来分析公司资本结构的影响因素，并由此对公司绩效产 生的影响。研究结果显示，盈利能力和非债务税盾（non- debt tax shields）间关系是 负相关，而企业规模同总债务比例以及长期债务比例成正相关。特别需要指出的 是，有形资产和流动性同总资产比例是负相关关系，公司的增长机会同总债务比例 及长期债务比例负相关，其中，公司的增长机会同前者的相关性是显著的。盈利波 动率与总债务比例是负相关关系，而和长期债务比率正相关，其中，盈利波动率与 和长期债务比率相关性是显著的。在能源，造纸，制糖，以及纺织产业，总债务比 率明显偏高。而水泥、化工、制造业，及纺织产业的长期债务比率明显偏高。这些 研究发现揭示出我们的公司资本结构模型具有预测功能。巴基斯坦公司的债务比例 和发达国家的公司一样，受到了一些变量的影响。然而，一些变量的符号，如流动 性比例、有形资产比例、盈利波动性符号与我们期望的相反。这可能是由于巴基斯 坦公司比较侧重于短期融资。 华 中 科 技 大 学 博 士 学 位 论 文 ii 关于公司治理内部属性和资本结构的研究，我们运用 kse中 155家非金融上市 企业 2004- 2008 年的数据，进行实证分析。结果显示，董事会规模，独立董事，以 及所有权集中度都会和总债务比率和长期债务比率负相关，而董事会报酬则和总债 务比率以及长期债务比率正相关。经理持股与公司长期债务比例负相关，ceo 两职 合一在所有回归中几乎没有显著性。控制变量中，盈利能力和流动性与总债务比 率、长期债务比率负相关；而公司规模同总债务比率、长期债务比率正相关。需要 指出的是，有形资产同长期债务比率正相关，而同总债务比率负相关。总之，实证 结果证实公司治理因素能够影响资本结构的选择。 本文运用 kse 的 240 家上市非金融公司 2004- 2009 年的数据对资本结构和企业 绩效的相关性进行了研究。实证结果表明，衡量公司资本结构的主要指标，例如总 债务比例、长期债务比例、短期债务比例和公司绩效指标，如 roa 和市值面值比 附相关。公司资本结构和绩效的负相关说明代理冲突导致公司过度的使用负债。这 种过度的使用负债会使得公司债权人有能力限制公司经理做出关键性的决策，影响 公司绩效。重要的是，这一结论和 modigliani and miller (1958)关于资本结构对公司 绩效无影响的结论相反。对于控制变量来说，公司规模、增长机会是正的显著相 关，有形资产比例则是负的显著相关。这些发现说明，除了资本结构，其他因素也 会对公司绩效产生影响。 关键词：资本结构，公司治理，公司绩效，非金融公司，卡拉奇股票市场，巴基斯坦 华 中 科 技 大 学 博 士 学 位 论 文 iii abstract capital structure management involves the selection of debt and equity securities in a way that will maximize the value of the firm. in a seminal study, modigliani and miller (1958) proved that in perfect capital markets the choice between debt and equity has no material effects on the value of the firm. their irrelevance proposition is based on restrictive assumptions which do not hold in the real world, when these assumptions are removed then choice of capital structure becomes an important value determining factor. majority of empirical research on capital structure has been derived from data from developed countries that have many institutional similarities. alternatively, research to understand the financing behavior of firms in developing countries has received much less attention. in particular, little is empirically known about the financing behavior of firms in pakistan. therefore, this dissertation attempts to fill a gap in the literature by exploring three key issues relevant to capital structure using the data of pakistani firms. firstly, this study investigates the most significant firm- specific factors that affect the capital structure. secondly, this study explores the effect of internal attributes of corporate governance on capital structure. finally, this study analyzes the effect of capital structure on firm performance. investigation relevant to most significant firm- specific factors that affect the capital structure is performed using the data of 260 non- financial firms listed on the karachi stock exchange (kse) pakistan during 2000- 2009. empirical results indicate that profitability and non- debt tax shields are negatively, whereas firm size is positively related to the total debt ratio and the long- term debt ratio. notably, asset tangibility and liquidity are negatively related to the total debt ratio, and positively related to the long- term debt ratio. although growth is negatively related to the total debt ratio and the long- term debt ratio but the relationship is found significant only with the total debt ratio. earnings volatility is negatively related to the total debt ratio but the relationship is insignificant. alternatively, earnings volatility is significantly and positively related to the long- term debt ratio. as far as the impact of industry classification on capital structure is concerned, energy whereas, director remuneration is negatively related to the total debt ratio and the long- term debt ratio. managerial ownership is negatively related to the long- term debt ratio. ceo duality is negatively related to the total debt ratio and the long- term debt ratio but relationship is found insignificant in all regressions. the control variables such as profitability and liquidity are negatively, whereas firm size is positively related to the total debt ratio and the long- term debt ratio. notably, asset tangibility is positively related to the long- term debt ratio and negatively related to the total debt ratio. in sum, empirical findings indicate that internal measures of corporate governance have material effects on capital structure. investigation concerning the impact of capital structure on firm performance is made using the data of 240 non- financial firms listed on kse during 2004- 2009. the empirical results indicate that all measures of capital structure (i.e., the total debt ratio, the long- term debt ratio, and the short- term debt ratio) are negatively related to the firm performance (i.e., the return on assets and the market- to- book ratio). the negative relationship between capital structure and performance indicates that the agency issues may lead the firms to use higher than appropriate levels of debt in their capital structure. this overleveraging may increase the lenders influence which in turn limits the strategic choice of managers, thus affecting their ability to carry out critical strategic decisions. as far as control variables are concerned, firm size and growth are positively, whereas tangibility is negatively related to the return on assets and the market- to- book ratio. this finding indicates that variables other than capital structure also influence the firm performance. finally, empirical results of this dissertation have some policy implications for professional managers, lenders, investors, and market analysts. for instance, empirical 华 中 科 技 大 学 博 士 学 位 论 文 v results indicate that financial managers should consider various costs and benefits combined with debt and equity capital before establishing an optimal capital structure. lenders should tenderly inflict debt covenants considering their affect on firm performance because in the event of poor performance they will have to bear the consequences due to limited liability of the shareholders. investors and market analysts should consider the debt levels before investing their resources in the firms. keywords: capital structure, corporate governance, firm performance, non- financial firms, karachi stock exchange, pakistan 华 中 科 技 大 学 博 士 学 位 论 文 x list of tables table 2.1: synopsis of theories of capital structure. table 2.2: summary of theories affecting corporate governance development. table 4.1: averages of selected items from balance sheets (n=260). table 4.2: proportion of selected items from balance sheets (n=260). table 4.3: averages of selected items from income statements (n=260). table 4.4: definition of variables. table 4.5: definition of variables. table 4.6: definition of variables. table 5.1: descriptive statistics. table 5.2: correlation matrix. table 5.3: the effect of explanatory variables on the total debt ratio ( it tdr ) under the pooled ols model. table 5.4: the effect of explanatory variables on the total debt ratio ( it tdr ) under the fixed effects model. table 5.5: the effect of explanatory variables on the total debt ratio ( it tdr ) under the random effects model. table 5.6: hausman specification test (random effects test comparison). table 5.7: the effect of explanatory variables on the long- term debt ratio ( it ldr ) under the pooled ols model. table 5.8: the effect of explanatory variables on the long- term debt ratio ( it ldr ) under the fixed effects model. table 5.9: the effect of explanatory variables on the long- term debt ratio ( it ldr ) under the random effects model. table 5.10: hausman specification test (random effects test comparison). table 5.11: descriptive statistics. table 5.12: correlation matrix. table 5.13: the effect of explanatory variables on the total debt ratio ( it tdr ) under the pooled ols model. 华 中 科 技 大 学 博 士 学 位 论 文 xi table 5.14: the effect of effect of explanatory variables on the long- term debt ratio ( it ldr ) under the pooled ols model. table 5.15: descriptive statistics. table 5.16: correlation matrix. table 5.17: the effect of the total debt ratio on the return on assets ( it roa ). table 5.18: the effect of the total debt ratio on the market- to- book ratio ( it mbr ). table 5.19: the effect of the long- term debt ratio on the return on assets ( it roa ). table 5.20: the effect of the long- term debt ratio on the market- to- book ratio ( it mbr ). table 5.21: the effect of the short- term debt ratio on the return on assets ( it roa ). table 5.22: the effect of the short- term debt ratio on the market- to- book ratio ( it mbr ). table 6.1: debt ratios in developed and developing countries. table 6.2: division of industries into high, medium, and low leverage groups. table 6.3: comparison of empirical findings with earlier studies in developed and developing countries. table 6.4: yearly mean value of shareholdings pattern (n=155). table: 6.5: comparison of empirical findings with earlier studies in developed and developing countries. table 6.6: comparison of empirical findings with earlier studies in developed and developing countries. 华 中 科 技 大 学 博 士 学 位 论 文 xii list of figures figure 1.1: organization of dissertation. figure 3.1: structure of financial markets in pakistan. figure 6.1: proportion of capital used by firms included in the sample. figure 6.2: average long- term debt ratio. figure 6.3: average total debt ratio. figure 6.4: average total debt ratio of different industries. figure 6.5: average long- term debt ratio of different industries. figure 6.6: average shareholdings pattern of firms included in the sample. 独创性声明 本人声明所呈交的学位论文是我个人在导师指导下进行的研究工作及取得的研 究成果。尽我所知，除文中已经标明引用的内容外，本轮文不包含任何其他个人或 集体已经发表或撰写过的研究成果。对本文的研究做出贡献的个人和集体，均已在 文中以明确方式表明。本人完全意识到本声明的法律结果由本人承担。 学位论文作者签名： 日期： 年 月 日 学位论文版权使用授权书 本学位论文作者完全了解学校有关保留、使用学位论文的规定，即：学校有 权保留并向国家有关部门或机构送交论文的复印件和电子版，允许论文被查阅和借 阅。本人授权华中科技大学可以将本学位论文的全部或部分内容编入有关数据库进 行检索，可以采用影印、缩印或扫描等复制手段保存和汇编本学位论文。 本论文属于：保密在 年解密后适用本授权书。 不保密。 （请在以上方框内打“”） 学位论文作者签名： 指导教师签名： 日期： 年 月 日 日期： 年 月 日 华 中 科 技 大 学 博 士 学 位 论 文 1 1 introduction capital structure represents the mix of various securities issued by a firm. although a firm can issue a number of distinct securities in countless combinations but it attempts to find an optimal combination that maximizes its overall market value (brealey and myers, 1996). therefore decisions concerning capital structure are critical for every business organization. more specifically, in corporate form of business it is the job of the management to make capital structure decisions in a way that the firm value is maximized. however, maximization of firm value is not an easy task because it involves the selection of debt and equity securities in a balanced proportion keeping in view of different costs and benefits combined with these securities. a wrong decision in the selection process of securities may lead the firm to financial distress and eventually to bankruptcy. the relationship between capital structure and firm value has been extensively investigated in the past few decades. despite the theoretical appeal of capital structure, no specific methodology has been realized so far which managers can use to determine an optimal capital structure. this may be because of the fact that theories of capital structure differ in their relative emphasis (myers, 2001). for instance, the trade- off theory emphasizes on taxes; the pecking order theory emphasizes on differences in information, the agency theory emphasizes on the conflict of interests between agent and principal, and the emphasis of free cash flow theory is on agency costs. despite theories of capital structure differ in their relative emphasis; however, these theories provide some support to explain the financing behavior of firms. 1.1 motivation of the study there are three important reasons that have evoked the need for this empirical investigation. firstly, a great deal of empirical research on capital structure has been derived mainly from data from developed economies that have many institutional similarities (see e.g., bradley et al., 1984; fama and french, 2002; frank and goyal, 2009; margaritis and psillaki, 2010; marsh, 1982; myers, 1977; rajan and zingales, 1995; 华 中 科 技 大 学 博 士 学 位 论 文 2 titman and wessels, 1988; and wald, 1999). alternatively, limited attempts have been made to investigate the financing behavior of firms in developing countries that have different institutional structures (see e.g., bauer, 2004; booth et al., 2001; cespedes et al., 2010; chen, 2004; huang and song, 2006; mazur, 2007; and wiwattanakantang, 1999). in particular, little is empirically known about the financing behavior of firms in pakistan (see e.g., qureshi, 2009; sheikh and wang, 2011). only a few international studies such as booth et al. (2001), demirguc- kunt (1992), and jong et al. (2008) included some pakistani firms in their samples to determine the factors that affect the capital structure choice. moreover, firms included in these studies are limited, which may not fully represent all non- financial firms listed on the karachi stock exchange (kse) pakistan. moreover, a great deal of empirical research concerning the effects of corporate governance on capital structure has been derived from data from developed economies (see e.g., anderson et al., 2004; berger et al., 1997; fosberg, 2004; friend and lang, 1988; and mehran, 1992); whereas, little is empirically known about the firms in developing countries (see e.g., abor, 2006; bokpin and arko, 2009; kyereboah- coleman and biekpe, 2006; and wen et al., 2002). more specifically, very limited attempts have been made to estimate the relationship between internal attributes of corporate governance and capital structure of pakistani firms. notably, no significant study that is based on the data of pakistani firms is published so far that has explored the effect of internal attributes of corporate governance on capital structure. thus this study attempts to fill a gap in the literature by illuminating the significant links between internal measures of corporate governance and capital structure. finally, no study has yet explored the affect of capital structure on performance of pakistani firms, at least to the extent of this author s knowledge. thus, a diminutive research based on data from pakistan is an important reason that has necessitated the need for this empirical investigation. secondly, rajan and zingales (1995, p. 1421) in a study on firms from g- 7 countries stated that: “ although, empirical work has unearthed some stylized facts on capital structure choice, but this evidence is largely based on firms in the united 华 中 科 技 大 学 博 士 学 位 论 文 3 states, and is not at all clear how these facts related to different theoretical models. without testing the robustness of these findings outside the environment in which they were uncovered it is hard to determine whether these empirical regularities are merely spurious correlations, let alone whether they support one theory or another.” in addition, booth et al. (2001, p. 119) in a study on firms from 10 developing countries suggested that: “ there is much that needs to be done both in terms of empirical research as the quality of international databases increases, and in developing theoretical models that provide a more direct link between profitability and capital structure choice.” in view of these suggestions, this study attempts to investigate whether the stylized facts learned from studies in developed countries apply only to these markets or they have more general applicability. thirdly, despite empirical literature on capital structure choice is vast and mainly referring to industrialized countries but empirical findings do not lead to consensus with regard to the variables that affect the financing decisions. thus, lack of consensus among researchers regarding the variables that affect the capital structure choice is the next important reason that has evoked the need for this investigation. 1.2 objectives of the study this dissertation aims to explore three critical issues relevant to capital structure. firstly, this study investigates the most significant firm- specific factors that affect the capital structure. secondly, the study explores the effect of internal attributes of corporate governance on capital structure. finally, the study analyzes the effect of capital structure on firm performance. these objectives can be explained into the following six research questions. 1) what are the most significant firm- specific factors that affect the capital structure of non- financial firms in pakistan? by firm- specific i mean the variables that are most apt to be determined by the unique characteristics of the firms, for example, a 华 中 科 技 大 学 博 士 学 位 论 文 4 firm s profitability, size, non- debt tax shields, liquidity, asset tangibility, earnings volatility, and growth etc. 2) whether capital structure of pakistani firms is influenced by the similar variables as identified for firms in developed countries? 3) whether capital st