What Do Credit Markets Tell Us About the Speed of Leverage Adjustment?
提出一种新方法，从信用工具价格中推断投资者对杠杆调整速度的预期，发现平均年调整速度为26%，且该速度随资本结构理论的不同而显著变化。
This paper proposes a new methodology to infer investors' expectations about the speed of leverage adjustment implicit in the prices of credit instruments. On average, the credit markets imply a fairly rapid annual speed of adjustment of 26% toward a firm's predicted leverage. The speed varies considerably across partitions formed by the differential implications of the pecking order, market timing, and trade-off theories of capital structure. This finding suggests that investors' expectations are formed in accordance with all three theories. We also show that the addition of firm fixed effects in the predicted leverage model gives noisier estimates of investors' expectations of future leverage, and that a firm's initial leverage is a poor estimate of its future leverage. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1871 . This paper was accepted by Jerome Detemple, finance.