On the Fund Raising by Japanese Firms Using Commercial Paper Issues

论日本企业利用商业票据筹集资金

• 批准号: 08630090
• 负责人: MCKENZIE Colin
• 金额: $ 1.02万
• 依托单位: Osaka University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Scientific Research (C)
• 财政年份: 1996
• 资助国家: 日本
• 起止时间: 1996 至 1998
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-08630090/
• 关键词: Commercial Paper; Announcement Effects; Value of the firm; IEvent Study; Two step estimation; generated variable; コマーシャル・ペーパー市場; 企業、資金調達; 金融自由化

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.

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;（3）与事件研究相关的计量经济学问题。OP问题的决定因素。1989年对日本企业行为的分析发现，使用商业票据筹集资金的决定取决于企业规模、破产概率、是否存在主银行关系以及现金流。通过比较考虑发布资格标准和忽略这些标准分析CP问题所获得的结果表明，资格标准对某些公司具有约束力。OP问题公告的影响。对1987年至1997年期间《日本经济新闻》的调查显示，有23家公司宣布将发行新的CP。使用这23家公司的数据，进行了事件研究，以确定新的OP计划的公告对公司的价值作出公告的影响。结果发现，这些公告是不相关的任何统计上显着的异常回报;和观察到的回报产生的是不相关的：是否有一个主要银行的fin-n公司的债券评级;或公告的时间。事件研究的计量经济学问题。在包括上述研究的事件研究中，通常使用两步估计方法，但这导致感兴趣的参数的低效估计。当所有的解释变量都是可观测的情况下，提出了一种有效的和计算简单的方法来估计这些参数。当解释变量包括生成回归量时，解释了它们带来的计量经济学问题。

项目成果

橘木俊詔・筒井義郎(編): "日本の資本市場(「日本のコマーシャル・ペーパー市場」という章)" 日本評論社, 19 (1996)

Toshiaki Tachibanaki 和 Yoshiro Tsutsui（编）：“日本的资本市场（‘日本商业票据市场’章节）”Nippon Hyoronsha，19（1996）

C.R.McKenzie: ""The Commercial Paper Market in Japan"" Working Paper No.118, Center on Japanese Economy and Business, Columbia Business School, Columbia University. 1-43 (1996)

C.R.McKenzie：“日本商业票据市场”第 118 号工作论文，日本经济与商业中心，哥伦比亚大学哥伦比亚商学院。

コリン・マッケンジー: "日本のコマーシャルペーパー市場" 橘木俊詔・筒井義郎(編)「日本の資本市場」日本評論社. 82-100 (1996)

Colin McKenzie：“日本的商业票据市场” Shunsuke Tachibanaki 和 Yoshiro Tsutsui（编）“日本的资本市场”Nippon Hyoronsha 82-100 (1996)。

C.R.McKenzie & Michael McAleer: "Generated Variables in Finance : Specification,Estimation and Inference" MODSIM97-International Congress on Modelling and Simulation Proceedings. 4. 1325-1332 (1997)

麦肯齐

Colin McKenzie: ""The Impact of CP Issues on the Value of the Firm" (in Japanese)" chapter in Y.Honda and H.Osano (eds), Modern Finance and Policy, Nippon Hyouronsha. 14 (1999)

Colin McKenzie：Y.Honda 和 H.Osano（编辑）《现代金融与政策》，Nippon Hyouronsha 中的“CP 问题对公司价值的影响”（日语）一章。