How costly is external financing? Evidence from a structural estimation

• 成果类型: Article
• 署名作者: Hennessy, Christopher A.; Whited, Toni M.
• 署名单位: University of California System; University of California Berkeley; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2007.01255.x
• 发表日期: 2007
• 页码: 1705-1745
• 关键词: cash flow; INVESTMENT; FIRMS; constraints; CONTRACTS; MARKETS

摘要

We apply simulated method of moments to a dynamic model to infer the magnitude of financing costs. The model features endogenous investment, distributions, leverage, and default. The corporation faces taxation, costly bankruptcy, and linear-quadratic equity flotation costs. For large (small) firms, estimated marginal equity flotation costs start at 5.0% (10.7%) and bankruptcy costs equal to 8.4% (15.1%) of capital. Estimated financing frictions are higher for low-dividend firms and those identified as constrained by the Cleary and Whited-Wu indexes. In simulated data, many common proxies for financing constraints actually decrease when we increase financing cost parameters.