On the Fund Raising by Japanese Firms Using Commercial Paper Issues

这项为期三年的研究计划分析了：(1)商业票据(OP)发行的决定因素；(2)OP发行公告的影响；以及(3)与事件研究相关的计量经济学问题。运营问题的决定因素。一项对1989年日本公司行为的分析发现，使用商业票据筹集资金的决定取决于公司规模、破产的可能性、主要银行关系的存在以及现金流。通过分析国家方案问题、考虑发布资格标准和忽略这些标准而获得的结果的比较表明，资格标准对某些公司具有约束力。运营问题公告的影响。对1987至1997年间的《日本经济新闻》进行搜索，发现有23家公司宣布将发行新的CP。使用这23家公司的数据，进行了一项事件研究，以确定宣布新的运营计划对发布声明的公司价值的影响。研究发现，这些公告与任何具有统计意义的异常收益无关；所产生的观察收益与以下因素无关：FIN-n是否有主要银行；该公司债券的评级；或宣布的时间。事件研究的计量经济学问题。在如上所述的事件研究中，通常使用两步估计方法，但这会导致对感兴趣的参数的估计效率低下。对于所有解释变量都是可观测的情况，提出了一种估计这些参数的有效且计算简单的方法。当解释变量包括生成的回归变量时，解释了它们所带来的计量经济问题。

This three-year research program has analysed : (1) the determinants of commercial paper (OP) issues ; (2) the impact of announcements of OP issues ; and (3) econometric problems associated with events studies.1. Determinants of OP Issues. An analysis of the behavior of Japanese firms in 1989 found that the decision to raise funds using commercial paper depended on firm size ; the probability of bankruptcy ; the presence of a main bank relationship ; and cash flows. A comparison of the results obtained by analysing CP issues taking account of issuing eligibility criterion and ignoring those criterion suggests that the eligibility criterion were binding for some firms.2. impact of the Announcement of OP issues. A search of the Nihon Keizai Shinbun over the period 1987 to 1997 revealed 23 firms that made announcements that they would be making new issues of CPs. Using the data on these 23 firms, an event study was conducted to determine the impact of announcements of new OP programs on the value of the firm making the announcement. It was found that these announcements are not associated with any statistically significant abnormal returns ; and that the observed returns generated are not related to : whether the fin-n has a main bank ; the rating of the firm's bonds ; or the timing of the announcement.3. Econometric Problems of Event Studies. In event studies including the one described above, it is typical to use a two step estimation method but this leads inefficient estimates of the parameters of interest. An efficient and computationally simple method for estimating these parameters is proposed for the case when all the explanatory variables are observable. When the explanatory variables include generated regressors, the econometric problems they bring about are explained.