Taxes,risky investments,and the simultaneous choice of organizational form and financing

By taking explicit account of liability limitations, we analyse the influence of taxes on the simultaneous choice of organizational form and financing. In a two-state model for a single reporting period investors striving for maximisation of expected utility choose the organizational form (with or without liability limitation) in which they implement a given risky real investment and decide how they finance it (equity or debt). We demonstrate that liability limitations result in tax-relevant differences between organizational forms. Thus, for example, the tax bases differ in relation to the chosen liability-contingent debt capital compensations as well as to tax loss offset rules. Therefore, even in the event of identical tax rates, taxes can influence the decision regarding the organizational form.     

Wem droht die Zinsschranke? Eine empirische Untersuchung zur Identifikation der Einflussfaktoren

One important aspect of the German corporate tax reform 2008/2009 is the introduction of an EBITDA-based interest deduction limitation. This article focuses on the questions how many and which companies are threatened by this so-called “interest ceiling rule”. Based on an analysis of 77.464 financial statements of German corporations this limitation is relevant for 561 up to 1.511 companies. Thus, this thin-capitalization rule affects more companies than expected by politics. Additionally, we derived several hypotheses from theory concerning possible distortions caused by this rule and tested them empirically. As a result, the “interest ceiling” does affect systematically large, less profitable companies, those with high collaterals as well as holding and real estate companies. Consequently, domestic corporate decisions will be distorted and the theorem of production efficiency is violated.     

基于或有可转债的债务悬空应对方法及其定价研究

债务悬空(Debt Overhang)会导致公司陷入财务困境,阻滞其开展正常的投融资活动。现有研究表明,发行或有可转债(Contingent Convertible Bonds,简称CoCos)有望成为一种应对债务悬空的有效方法。本文以债务悬空应对方法及其定价为研究主题,通过改进CoCos债转股的触发阈值,即以债务悬空发生时公司资产账面价值作为触发阈值,以解决现有CoCos产品在债务悬空应对的适配性方面的不足。具体地,结合债务悬空发生时公司资本结构的特征,考虑转股后的破产清算,基于结构化信用衍生品定价方法进行建模,进而得到CoCos债转股及破产清算时公司资产账面价值的触发阈值,并给出了公司资产、普通债、CoCos、股权价值的解析解,据此进一步计算CoCos和普通债的信用价差及公司的财务杠杆。最后,通过数值模拟,探析了波动率、发行期限以及息票支付的税盾效应对CoCos和普通债信用价差的影响,及CoCos和普通债的发行期限和数量对财务杠杆的影响;得到了通过适当提高CoCos合约的债转股比例,可以有效降低债务悬空发生可能性的结论。     

Die Abgeltungsteuer auf Kursgewinne und der Steuerstundungseffekt in der Unternehmensbewertung

In Germany capital gains have to be taxed independently of the holding period, according to the withholding tax regulations. Nevertheless, investors can initially avoid taxation by not realizing capital gains. Then, taxes are postponed into the future. Thereby investors can make use of an interest-free tax loan (tax deferral). Equally beneficial would be the immediate realization of negative capital gains, if this leads to reduced taxes by balancing these losses against other gains. The potential use of interest-free tax loans leads to the necessity of making assumptions on the investors?? strategy with respect to liquidation when it comes to business valuation based on discounting future after-tax payments towards investors (DCF-methods). It will be shown how much firm value depends on these assumptions by taking alternative, inflexible and flexible strategies of investors into account. Our considerations generate a lower and an upper bound for the firm value, and easier to calculate medium values. The calculations are illustrated by a numerical example which is also the subject of a comparative static analysis.     

不确定条件下公司负债的利息抵税效应分析

在不确定条件下,以公司息前税前收益服从均匀分布为假设,基于静态权衡理论,不考虑除利息抵税效应以及破产成本之外的其他因素对融资决策的影响,我们建立了负债抵税价值期望值模型和破产成本期望值模型,然后在统一的负债区间内分析负债的利息抵税净收益,以确定存在利息抵税净效应最高时的最优负债数额和最优资本结构。     

Corporation taxes and the debt policy of multinational firms

This paper analyzes the impact of corporate taxes on the capital structure of foreign subsidiaries of multinational firms. The empirical investigation employs a large micro-level panel dataset of German multinationals covering 31 countries over a 10-year period. A special feature of this dataset is that it allows us to distinguish between internal and external debt financing. Our results confirm a positive effect of local tax rates on both types of debt. Moreover, while adverse local credit market conditions are found to reduce external borrowing, internal debt is increasing, supporting the view that the two channels of debt finance are substitutes. Our findings suggest that internal credit markets give rise to significant advantages and enhance multinationals?? opportunities to use debt as a tax shield.     

Einfluss der Besteuerung auf die Bewertung ausländischer Kapitalgesellschaften

Zusammenfassung  Der vorliegende Beitrag integriert die Auswirkungen der Regelungen zur Besteuerung von Einkünften aus ausl?ndischen Kapitalgesellschaften in die Discounted Cashflow-Methodik. Bewertungsobjekt ist eine ausl?ndische Kapitalgesellschaft, der von einem inl?ndischen Anteilseigner oder von fremden Dritten Finanzmittel zugeführt werden. Da das Steuerrecht nicht entscheidungsneutral ist, sind die beiden Finanzierungsalternativen Eigen-oder Fremdfinanzierung nicht als gleichwertig zu beurteilen. Unterschiedliche steuerliche Effekte ergeben sich daraus, dass Zinsen bei der Tochterkapitalgesellschaft grunds?tzlich als Betriebsausgaben abzugsf?hig sind, wohingegen Dividenden aus dem bereits versteuerten Einkommen gezahlt werden (sog. Tax Shield). Im grenzüberschreitenden Fall wird mit der Entscheidung für eine Finanzierungsalternative gleichzeitig bestimmt, in welchem Umfang die mit der Finanzierung einhergehenden Kapitalertr?ge der deutschen oder der ausl?ndischen Besteuerung unterworfen werden. Die H?he des Tax Shield h?ngt damit nicht nur von den Abzugsm?glichkeiten der Fremdkapitalzinsen ab, sondern auch vom Steuerniveau im Ausland. Damit müssen in der Unternehmensbewertung die in- und ausl?ndischen Steuervorschriften, die Steuers?tze im In- und Ausland, sowie eventuell bestehende Doppelbesteuerungsabkommen berücksichtigt werden.

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Effects of the tax regulations on the taxation of income from foreign corporations

Summary  The present article integrates the effects of the tax regulations on the taxation of income from foreign corporations in the discounted cash flow method. The item to be assessed is foreign corporation that is allocated funds (equity capital or borrowed capital) by a domestic shareholder or an unaffiliated third party. In this cross-border case, the decision in favor of one financing alternative or the other will at the same time determine the extent to which the capital yields associated with the financing are liable to taxation in Germany or abroad. The amount of the tax shield therefore not only depends on the deductibility of interest payments on debt, it also depends on the rate of tax abroad. When assessing the company it will therefore be necessary to bear in mind both domestic and overseas tax regulations, domestic and overseas tax rates as well as any existing double taxation agreements.

     

双重异质信念下中国上市公司融资决策研究

投资者异质信念与投资者-管理者异质信念是我国资本市场的重要特征。本文在双重异质信念假设下,基于我国上市公司融资环境,建立融资决策模型,分析双重异质信念对我国上市公司股权债权融资选择的影响,得到结论:(1)卖空限制下,投资者异质信念越大,公司越倾向于股权融资;(2)投资者-管理者异质信念越小,公司越倾向于股权融资。以2005-2009年沪深A股再融资公司为样本,采用单变量分析和Probit多元回归方法,对模型结论进行实证检验,实证结果支持模型结论,并从双重异质信念的视角对我国资本市场融资异象进行解释。     

Leverage and the performance of buyouts

In this paper we investigate the effects of debt usage on (risk-adjusted) equity returns in private equity-backed buyout transactions. We use a proprietary data set of more than 700 realized European and North American buyouts acquired between 1990 and 2006 to empirically assess theoretical predictions. Our results show a positive relationship between debt levels and equity returns indicating the return-enhancing effects related to leverage. However, our results also provide evidence that it is possible to ‘over-leverage’ a company, i.e. at very high levels of leverage (debt to total capital of approximately 90%) the increased company default risk outweighs the positive effects related to leverage resulting in decreasing equity returns. On the other side, we find no significant relationship between leverage and risk-adjusted equity returns which implies that the return increase through higher debt ratios comes along with increasing risk. In addition, we show that private equity sponsors successfully conduct debt-equity-arbitrage in times of favorable debt market conditions. This implies that these investors successfully time debt markets.     

认知偏差、债务政策选择偏好和资本结构税收效应

本文针对管理者认知偏差对其债务政策选择的影响问题进行研究,通过建立认知偏差影响下的最优资本结构决策模型,从行为金融学的角度研究了债务政策选择的税收效应,并以中国上市公司2006-2009年的数据为样本,使用多元回归分析等方法对相关结论进行了实证检验。研究表明:上市公司的债务政策受到了认知偏差的影响,即随着财务困境成本的不断增大,上市公司对其变化的敏感性不断降低;认知偏差严重时,上市公司会选择过度保守负债或过度积极负债,导致最优资本结构与税率无关;认知偏差不严重时,上市公司会选择适度负债,且负债水平与税率正相关。结论表明中国上市公司需要更为客观地评价财务困境成本,更为理性地利用负债的税收收益,尽可能避免认知偏差对企业价值的损害。     

基于CAPM的BOT项目“有限追索权”融资决策模型

为研究BOT项目有限追索权融资中贷款资金与股本资金在贷方和项目公司之间合理分配问题(即BOT最优融资结构),本文考虑项目公司和贷方根据CAPM方法进行投资决策,通过分析它们投资策略在利益上的冲突关系而建立一个BOT融资模型,并且用博弈论方法研究模型最优解的存在性及其性质。研究结果不仅为项目公司和贷方提供了对BOT项目融资决策的理论方法,而且为政府对BOT项目的管理提供了重要的理论工具。     

异质信念、卖空限制对证券发行决策的影响

放宽卖空禁止假设,构建模型探讨投资者过度自信引起的异质信念和卖空限制对企业证券发行决策的影响。研究发现:(1)项目收益公共信号利多时,投资者信念异质性与企业股权发行意愿正相关;公共信号弱利空时,两者负相关。(2)仅当公共信号强利多时,卖空限制强度与股权发行意愿正相关;否则两者无关。研究结论表明异质信念、卖空限制与企业证券发行关系受公共信号影响。     

Market‐Triggered Changes in Capital Structure: Equilibrium Price Dynamics

We analyze the internal consistency of using the market price of a firm's equity to trigger a contractual change in the firm's capital structure, given that the value of the equity itself depends on the firm's capital structure. Of particular interest is the case of contingent capital for banks, in the form of debt that converts to equity, when conversion is triggered by a decline in the bank's stock price. We analyze the problem of existence and uniqueness of equilibrium values for a firm's liabilities in this context, meaning values consistent with a market‐price trigger. Discrete‐time dynamics allow multiple equilibria. In contrast, we show that the possibility of multiple equilibria can largely be ruled out in continuous time, where the price of the triggering security adjusts in anticipation of breaching the trigger. Our main condition for existence of an equilibrium requires that the consequences of triggering a conversion be consistent with the direction in which the trigger is crossed. For the design of contingent capital with a stock price trigger, this condition may be interpreted to mean that conversion should be disadvantageous to shareholders, and it is satisfied by setting the trigger sufficiently high. Uniqueness follows provided the trigger is sufficiently accessible by all candidate equilibria. We illustrate precise formulations of these conditions with a variety of applications.     

Hold or sell? How capital gains taxation affects holding decisions

Investments with exit flexibility require decisions regarding both the investment and holding period. Because selling an investment often leads to taxable capital gains, which crucially depend on the duration of an investment, we investigate the impact of capital gains taxation on exit timing under different tax systems. We observed that capital gains taxation delays exit decisions but loses its decision relevance for very long holdings. Often the optimal exit time, which indicates the maximal present value of future cashflows, cannot be determined analytically. However, we identify the breakeven exit time that guarantees present values exceeding those of an immediate sale. While, after-taxes, an immediate sale is often optimal, long holding periods might also be attractive for investors depending on the degree of income and corporate tax integration. A classic corporate tax system often indicates holdings over more than 100 periods. By contrast, a shareholder relief system indicates the earliest breakeven exit time and thus the highest level of exit timing flexibility. Surprisingly, high retention rates are likely to accelerate sales under a classic corporate system. Additionally, the worst exit time, which should be avoided by investors, differs tremendously across tax systems. For an integrated tax system with full imputation, the worst time is reached earlier than under partial or non-integrated systems. These results could help to predict investors’ behavior regarding changes in capital gains taxation and thus are of interest for both investors and tax policymakers. Furthermore, the results emphasize the need to control for the underlying tax system in cross-country empirical studies.     

Die Bedeutung von Steuern in der Nachhaltigkeitsberichterstattung: Eine international vergleichende empirische Analyse

Due to tax competition, high levels of national debt and promulgated tax avoidance strategies of large corporations, there is a growing interest of multiple stakeholders in taxation putting taxes on the corporate social responsibility (CSR) agenda. This study empirically examines the relevance of taxes in sustainability reports of 90 corporations listed on the Dow Jones 30, DAX 30 and FTSE 100. The findings show that 54,4?% of these corporations disclose tax information in their reports. The quality of disclosure is examined using a scoring model based on the tax-related performance indicators of theGlobal Reporting Initiative Guidelines and two standards for voluntary disclosure of tax information. In most cases, disclosure practices are of low quality. However, there are a few corporations providing high disclosure quality, especially in the UK. By analyzing the determinants of disclosure, this study demonstrates that extractive companies and companies that have been object of negative tax-related media coverage tend to disclose more information. Furthermore, corporations with higher profitability and high performance in CSR rankings rather disclose tax information.     

The impact of venture capital on investee companies: evidence from Spain

This paper examines the impact of venture capital investors on the financial structure of investee companies and the factors relevant to their capital structure, differentiated according to the investor’s public or private nature. This paper contributes to our understanding of the beneficial effects of such investors in response to the funding needs of SMEs and the decisions taken in this respect. The empirical analysis shows that, on average, these investee companies have a lower level of short-term debt than the average Spanish company. It is suggested that the debt structure is related to the growth opportunities presented, the business sector, the geographic location and the duration of the venture capital participation. These results, which are more significant in the case of companies receiving funds from public investors, highlight the effectiveness of the economic function of venture capital.     

零售商运营视角下投贷联动最优投资结构模型

投贷联动是供给侧结构性改革背景下驱动"金融服务实体经济"与推动"产融结合"的重要手段，而合理投资结构成为探索投贷联动机制以提升"金融资源配置效率"的关键。本文刻画了供应链鲁棒风险模型支持下投融资博弈的新特征，构建了零售企业投贷联动融资模型，探讨合理投资结构存在性。研究表明：投资方参与零售企业投贷联动融资博弈时，存在协调投资方利益最大化的"投贷联动区间"与最优投资结构，且最优投资结构受市场成长性主导。此外，企业所得税降低导致负债税盾效应减弱时，存在"反啄食顺序"的投资偏好。     

Welche privaten Veräußerungsgewinne sollten besteuert werden?

This paper analyses for various corporate tax systems whether the capital gains tax distorts investment decisions and how tax effects could eventually be neutralized. In case of the disposal of shares between private investors the capital gains tax, the corporate tax and the income tax on dividends induce a triple taxation. On the contrary, distributing cash via share repurchases instead of paying out dividends can lower the tax burden in a classical corporate tax system and a shareholder relief system respectively. These findings necessitate the differentiation between share repurchases and other realizations of stocks in order to establish a neutral capital gains tax. While the capital gains taxation on transactions between private investors has to be reduced, the taxation of share repurchases must be matched with the respective dividend taxation.     

基于资本市场信息的上市公司财务危机动态预测模型研究

预测上市公司财务危机是投资者、债权人及证券市场监管机构所广泛关注的课题。本文运用期权定价理论,以企业“资不抵债”作为上市公司陷入财务危机的标志,利用资本市场的信息指标———股价建立起上市公司动态财务危机预测模型,克服了统计预测方法利用财务报表信息预测的时期性和滞后性的缺陷。     

股权收购(Buyouts)的债务估值和违约决策

杠杆收购是股权收购交易的主要形式,所以对于股权收购而言,债权和股权的价值估算至关重要。但一方面鉴于股权收购交易所需的大量资金,股权收购主要采用分层债务结构进行债务融资,另一方面囿于收购的目标公司具有显著的特质风险,传统的Leland模型无法对这类债务和股权进行定价。为此,本文基于股权收购的多层融资结构,构建数理模型研究了股权收购交易的债权和股权的定价方法,并分析了最优破产决策和违约概率。基于实证参数值,模型预测的股东内部收益率和违约概率与实证结论十分接近。当标的资产价值下降时,目标公司的杠杆比率快速提升,优先级较低的债务迅速贬值,从而解释了投资者抢购安全资产的动机。通过对比分析,本文发现采用单层融资结构会提高融资成本,使得股权受损,这为分层债务结构提供了理论依据。最后,本文比较静态分析了标的资产波动率和市场利率对估值和破产决策的影响,结论支持了实证研究中有关市场利率与股权收购相关性的结论。