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Determinantes da Estrutura de Capital das Empresas Brasileiras: uma abordagem em regress˜ao quantílica

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  • Guilherme Resende Oliveira
  • Benjamin Miranda Tabak
  • José Guilherme de Lara Resende
  • Daniel Oliveira Cajueiro

Abstract

This work examines the determinants of the capital structure of Brazilian companies between the years 2000 and 2009. Based on quantile regression model and on the comparison with conventional models (least squares and fixed effects), the work provides better understanding of capital structure to reveal the available information on quantiles. This was not observed in Brazilian previous studies that analyzed only the general trend of the determinant's parameters. According to the results, we conclude that there exists a significant statistical influence of the quantile on the estimated coefficients, i.e., the effects of the determinants change depending on the quantile. This can be theoretically justified by bankruptcy and agency costs relative to the leverage of firms, hence, relative to each quantile. Therefore, the predicted effects of main theories of capital structure, pecking order and trade-off, apply, depending on the determinant, type of debt and quantile analyzed. Nevertheless the results of the variables size and profitability show that the pecking order becomes stronger as the quantile increases.

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Bibliographic Info

Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 272.

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Date of creation: Mar 2012
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Handle: RePEc:bcb:wpaper:272

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Web page: http://www.bcb.gov.br/?english

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  1. Ricardo D. Brito & Mônica R. Lima, 2004. "A Escolha da Estrutura de Capital sob Fraca Garantia Legal: o caso do Brasil," Finance Lab Working Papers flwp_66, Finance Lab, Insper Instituto de Ensino e Pesquisa.
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  18. Barclay, Michael J & Smith, Clifford W, Jr, 1995. " The Maturity Structure of Corporate Debt," Journal of Finance, American Finance Association, vol. 50(2), pages 609-31, June.
  19. Harding, Matthew & Lamarche, Carlos, 2009. "A quantile regression approach for estimating panel data models using instrumental variables," Economics Letters, Elsevier, vol. 104(3), pages 133-135, September.
  20. Andrews, Donald W. K. & Buchinsky, Moshe, 2001. "Evaluation of a three-step method for choosing the number of bootstrap repetitions," Journal of Econometrics, Elsevier, vol. 103(1-2), pages 345-386, July.
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