Investment frictions and leverage dynamics

• 成果类型: Article
• 署名作者: Tsyplakov, Sergey
• 署名单位: University of South Carolina System; University of South Carolina Columbia
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2007.09.004
• 发表日期: 2008
• 页码: 423-443
• 关键词: dynamic capital structure; time-to-build; Lumpy investments; Market timing

摘要

The paper examines the effect of investment frictions on leverage dynamics, using a model of a firm whose investment projects are (1) indivisible and lumpy, and (2) subject to time-to-build. Regressions on the model-simulated data demonstrate that investment frictions can provide alternative interpretations of the observed leverages shown in the empirical literature. Cross-sectional analysis of firms in the oil and gas extraction industries, as well as analysis across all industries, reveals the evidence that small firms have more volatile investments and longer time-to-build, which may explain the observed differences in leverage dynamics across small and large firms. (C) 2008 Elsevier B.V. All rights reserved.