Determinantes da Estrutura de Capital das Empresas Brasileiras: uma abordagem em regress˜ao quantílica
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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Roger Koenker & Kevin F. Hallock, 2001. "Quantile Regression," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 143-156, Fall.
- Fattouh, Bassam & Pasquale Scaramozzino & Laurence Hariss, 2002.
"Capital structure in South Korea: A Quantile Regression Approach,"
Royal Economic Society Annual Conference 2002
70, Royal Economic Society.
- Fattouh, Bassam & Scaramozzino, Pasquale & Harris, Laurence, 2005. "Capital structure in South Korea: a quantile regression approach," Journal of Development Economics, Elsevier, vol. 76(1), pages 231-250, February.
- Bassam Fattouh & Laurence Harris & Pasquale Scaramozzino, 2003. "Capital Structure in South Korea: A Quantile Regression Approach," CEIS Research Paper 40, Tor Vergata University, CEIS.
- Koenker, Roger, 2004. "Quantile regression for longitudinal data," Journal of Multivariate Analysis, Elsevier, vol. 91(1), pages 74-89, October.
- repec:fgv:epgrbe:v:59:n:2:a:1 is not listed on IDEAS
- Jeffrey A. Wurgler & Malcolm P. Baker, 2001.
"Market Timing and Capital Structure,"
Yale School of Management Working Papers
ysm181, Yale School of Management.
- 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.
- 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.
- Raghuram G. Rajan & Luigi Zingales, 1994.
"What Do We Know About Capital Structure? Some Evidence from International Data,"
NBER Working Papers
4875, National Bureau of Economic Research, Inc.
- Rajan, Raghuram G & Zingales, Luigi, 1995. " What Do We Know about Capital Structure? Some Evidence from International Data," Journal of Finance, American Finance Association, vol. 50(5), pages 1421-60, December.
- Galai, Dan & Masulis, Ronald W., 1976. "The option pricing model and the risk factor of stock," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 53-81.
- Myers, Stewart C., 1984. "Capital structure puzzle," Working papers 1548-84., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Roger Koenker & Zhijie Xiao, 2002. "Inference on the Quantile Regression Process," Econometrica, Econometric Society, vol. 70(4), pages 1583-1612, July.
- Brito, Ricardo D. & Lima, Mônica R., 2005. "A Escolha da Estrutura de Capital sob Fraca Garantia Legal: O caso do Brasil," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 59(2), August.
- 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.
- 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.
- Lamarche, Carlos, 2010. "Robust penalized quantile regression estimation for panel data," Journal of Econometrics, Elsevier, vol. 157(2), pages 396-408, August.
- Frank, Murray Z. & Goyal, Vidhan K., 2003. "Testing the pecking order theory of capital structure," Journal of Financial Economics, Elsevier, vol. 67(2), pages 217-248, February.
- Donald W. K. Andrews & Moshe Buchinsky, 2000. "A Three-Step Method for Choosing the Number of Bootstrap Repetitions," Econometrica, Econometric Society, vol. 68(1), pages 23-52, January.
- DeAngelo, Harry & Masulis, Ronald W., 1980. "Optimal capital structure under corporate and personal taxation," Journal of Financial Economics, Elsevier, vol. 8(1), pages 3-29, March.
- Stewart C. Myers, 1984. "Capital Structure Puzzle," NBER Working Papers 1393, National Bureau of Economic Research, Inc.
- Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, vol. 46(1), pages 33-50, January.
- Miller, Merton H, 1977. "Debt and Taxes," Journal of Finance, American Finance Association, vol. 32(2), pages 261-75, May.
- Kevin F. Hallock & Regina Madalozzo & Clayton G. Reck, 2010. "CEO Pay-For-Performance Heterogeneity Using Quantile Regression," The Financial Review, Eastern Finance Association, vol. 45(1), pages 1-19, 02.
- Harris, Milton & Raviv, Artur, 1991. " The Theory of Capital Structure," Journal of Finance, American Finance Association, vol. 46(1), pages 297-355, March.
- Myers, Stewart C, 1984. " The Capital Structure Puzzle," Journal of Finance, American Finance Association, vol. 39(3), pages 575-92, July.
When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:272. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francisco Marcos Rodrigues Figueiredo)
If references are entirely missing, you can add them using this form.