Are Firms Underleveraged? An Examination of the Effect of Leverage on Default Probabilities
用工具变量法研究企业杠杆对违约概率的影响，发现杠杆对评级的效应比忽略内生性时强三倍，从而提高了财务困境的事前成本，可能抵消债务的税收利益。
ABSTRACT A commonly held view in corporate finance is that firms are less leveraged than they should be, given the potentially large tax benefits of debt. In this paper, I study the effect of firms' leverage on default probabilities as represented by the firms' ratings. Using an instrumental variable approach, I find that the leverage's effect on ratings is three times stronger than it is if the endogeneity of leverage is ignored. This stronger effect results in a higher impact of leverage on the ex ante costs of financial distress, which can offset the current estimates of the tax benefits of debt.