Earticle

초록

영어

This study investigates whether the firms lower their debt ratios after they experience negative stock return shocks. The relation between stock returns and firms’ leverage is one of the most interesting research topics for a long time. Welch (2004) report that a mechanistic effect of stock returns on leverage mainly caused by market capitalization changes and he also concludes that there are few counteracts to adjust leverage against the stock returns. The mechanistic effect predicts that reduced amounts of equity make firms’ debt ratios higher when negative stock returns occur. In addition to the mechanistic effect, market timing theory also predicts the negative relation between stock prices and debt ratios that firms prefer to issue equity when their stock prices are high. However, we can easily observe that managers try to cut down their liability when they are in crisis and stock returns poorly perform. This study finds indirect channels that negative stock returns make firms’ leverage decreased. We report that managers decrease firms’ leverage because of diminished amounts of financial deficits and increased financial distress costs by negative stock return shocks.

목차

Abstract
 Introduction
 I. Data
  A. Daily Stock Return Data and Annual Accounting Data
  B. Implied Volatility Data
 II. Variables and Methodology
  A. Variables
  B. Methods
 III. Book and Market Leverage Changes after Adverse Stock Return Shocks
  A. Summary Statistics of Adverse Stock Return Shocks
  B. Correlations between jump related measure and the other variables
  C. Statistical Tests Using Simultaneous Regression Equations.
  D. The Further Analysis for the Effect of Financial Distress on the Leverage
 IV. Summary and Conclusion
 Appendix
 Reference
 Table
 Figure

저자

• Hae Jin Chung [ KAIST Business School ]
• Sung Won Seo [ KAIST Business School ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330