Leverage dynamics over the business cycle

• 成果类型: Article
• 署名作者: Halling, Michael; Yu, Jin; Zechner, Josef
• 署名单位: Stockholm School of Economics; Swedish House of Finance; Shanghai University of Finance & Economics
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2016.07.001
• 发表日期: 2016
• 页码: 21-41
• 关键词: Empirical corporate finance; Capital structure dynamics; Business cycle variation

摘要

Surprisingly little is known about the business cycle dynamics of leverage. The existing evidence documents that target leverage evolves pro-cyclically either for all firms or financially constrained ones. In contrast, we show that, on average, target leverage ratios evolve counter-cyclically once cyclicality is measured comprehensively, accounting for variation in explanatory variables and model parameters. These counter-cyclical dynamics are robust to different subsamples of firms, data samples, empirical models of leverage, and definitions of leverage. There is a fraction of 10-25% of firms with pro-cyclical dynamics whose characteristics are consistent with counter-cyclical dynamics for loss-given-default and probability of default. (C) 2016 Elsevier B.V. All rights reserved.