واکنش حق بیمه مالی خارجی در بازار اوراق قرضه شرکتی در آسیا به بازگشت سرمایه، محدودیت های مالی و دو بحران مالی

Empirical investigation of the external finance premium has been conducted on the margin between internal finance and bank borrowing or equities but little attention has been given to corporate bonds, especially for the emerging Asian market. In this paper, we hypothesize that balance sheet indicators of creditworthiness could affect the external finance premium for bonds as they do for premia in other markets. Using bond-specific and firm-specific data for China, Hong Kong, Indonesia, Korea, Philippines, Singapore and Thailand during 1995–2009 we find that firms with better financial health face lower external finance premia in all countries. When we introduce firm-level heterogeneity, we show that financial variables appear to be both statistically and quantitatively more important for financially constrained firms. Finally, when we examine the effects of the 1997–1998 Asian crisis and the 2007–2009 global financial crisis, we find that the sensitivity of the premium is greater for constrained firms during the Asian crisis compared to other times.

In this paper we examine how the external premium responds to firm-level balance sheet information using an asymmetric information framework to explore the effect of firm-level heterogeneity, credit constraints and crisis episodes on the bond spread (or external finance premium). Our results based on firm-level data for Asian bond markets during the period 1995–2009 suggest that firms with better financial health, as measured by balance sheet indicators such as leverage, risk of bankruptcy, profitability and return on equity, face a lower external finance premium. After separating firms into constrained and unconstrained categories using three different classification schemes we find firms that are credit constrained tend to face higher premia compared to unconstrained firms if their financial position deteriorates. We also find that constrained firms were more sensitive to leverage and risk of bankruptcy measures during the Asian crisis of 1997, but were less responsive to these measures in the most recent crisis, when profitability and return on equity were the determinants of the external finance premium.

The last decade and a half has seen phenomenal growth in the theoretical and empirical investigation of corporate financial decisions through imperfect credit markets. Building on the pathbreaking theoretical work of Stiglitz and Weiss (1981) on asymmetric information, Chari et al., 1995, Bernanke et al., 1999, Christiano et al., 2003, Christiano et al., 2007, Christiano et al., 2010, Smets and Wouters, 2003 and Smets and Wouters, 2007 provide an agency cost model of external borrowing from financial markets. Among the many implications of this literature is the observation that corporate financial structure will differ in relation to the observable characteristics used by lenders to determine their creditworthiness (Gertler and Gilchrist, 1994), and will be affected by constraints arising from the availability and cost of external finance to firms. It is generally accepted that firms that are constrained on the financial markets, will face higher agency costs of borrowing – a higher ‘external premium’ – for raising capital from financial markets compared with the cost of internal finance funded from retained earnings as explained by Bernanke and Gertler (1995) with subsequent effects on real activity.1 Furthermore, the external premium can vary with macroeconomic conditions that bring about sharp reductions in lending during credit crunches or recessions. Levin et al. (2004) measure expected default risk and credit spreads on publicly-traded debt for US non-financial firms, finding that financial market frictions exhibit strong cyclical patterns.2 Our data show that Asian emerging markets saw the average spread on corporate bonds issued by all firms leap from 100–200 basis points to around 1200 basis points during the Asian crisis of 1997, followed by a persistent drop in volumes (also noted in Eichengreen et al. (2006)). We also show that in the recent global financial crisis the average spread rose less dramatically, from approximately 200 basis points to around 600 basis points. We are not aware of any studies that compare the effect of these crises on the external finance premium. In this paper we analyze the influence of firms’ financial characteristics, financial constraints and the impact of the 1997 Asian crisis and the recent global financial crisis on the external financial premium at the level of the individual firm. Much of the empirical investigation of the external finance premium has been conducted on the margin between internal finance and bank borrowing or on the margin for raising external finance through equity markets, but we focus on bond markets.3 Bond financing appears to be increasingly important for firms in Asian economies since the ASEAN countries have encouraged deeper, more integrated sovereign and corporate bond markets through initiatives such as the Pan Asian Bond Index Fund (PAIF), the Fund of Bond Funds (FoBF) and the Asian Bond Market Initiative (ABMI) proposal.4 At the end of 2007, the seven Asian economies included in this study – China, Hong Kong, Indonesia, Korea, Philippines, Singapore and Thailand - had foreign currency bonds outstanding of over $324 billion. This figure stands in sharp contrast with $77 billion outstanding in 1995. It represents a significant increase in foreign financing through bond markets following the Asian crisis, suggesting the Asian corporate bond market is better able to provide external finance to firms compared with a decade earlier. The present study improves on the existing empirical studies in three important ways. First, we provide a firm-level study of the response of premia in emerging Asian bond markets that takes full account of the heterogeneity of Asian firms operating in China, Hong Kong, Indonesia, Korea, Philippines, Singapore and Thailand. We seek to determine whether the external finance premium, as measured by the credit spread, is inversely related to the strength of the balance sheet, and therefore whether firms with better financial health face lower external finance premia and vice versa. Second, because there is considerably greater information asymmetry in Asian countries due to the limited engagement with internationally comparable ratings agencies and lower reporting requirements, we expect financing constraints to be more likely to affect pricing in the bond markets than in Western countries. Our work considers the external premium for financially constrained and unconstrained firms using criteria consistent with the literature on financing constraints (see Fazzari et al., 1988, Guariglia, 2008 and Spaliara, 2009). Third, we document for the first time the differences in the responses to the Asian crisis and the recent global financial crisis for constrained and unconstrained firms in Asia. We find that constrained firms were more sensitive to financial variables than unconstrained firms, and that they were more sensitive during periods of financial crisis. In the Asian crisis these firms experienced higher premia when they had greater leverage or risk of bankruptcy. During the recent financial crisis the premium was more responsive to profitability and return on equity, and less responsive to leverage or risk. The rest of the paper is organized as follows. Section 2 provides a brief theoretical framework for analysis of the external finance premium based on Bernanke et al. (1999). Section 3 describes the empirical specifications and econometric methodology. In Section 4 we document our data sources and provide some summary statistics. Section 5 presents the empirical evidence and Section 6 concludes.