THÔNG TIN TÀI LIỆU
Jointness of Loan Contract Terms, Information Asymmetries, and Lending Relationships lu an va Pham Phu Quoc n BEcon (Banking) – Banking University of Ho Chi Minh City, Vietnam MA (Economics) – University of Colombo, Sri Lanka p ie gh tn to d oa nl w lu ll u nf va an An independent thesis submitted in fulfilment of the requirements for the degree of Doctor of Philosophy oi m z at nh z gm @ m co l Department of Accounting and Finance Faculty of Business and Economics Monash University November 2012 an Lu n va ac th si TABLE OF CONTENTS lu an n va ii vi viii ix xii xiii 1 2 4 5 11 15 15 16 17 20 22 24 25 25 25 25 33 36 36 39 39 42 p ie gh tn to TABLE OF CONTENTS LIST OF TABLES ABBREVIATIONS ABSTRACT STATEMENT OF AUTHORSHIP ACKNOWLEDGEMENTS CHAPTER - INTRODUCTION 1.1 INTRODUCTION 1.2 BACKGROUND 1.2.1 Information Asymmetries 1.2.2 Lending Process 1.2.3 Loan Contract Terms 1.2.4 Borrower Information and Lending Relationships 1.3 MOTIVATIONS AND RESEARCH QUESTIONS 1.3.1 Jointness of Loan Contract Terms 1.3.2 Information Asymmetries and Loan Contract Terms 1.3.3 Lending Relationships and Loan Contract Terms 1.4 RESEARCH OBJECTIVES AND HYPOTHESES 1.5 DATA, METHODOLOGY, AND EMPIRICAL FINDINGS 1.5.1 Data 1.5.2 Methodology 1.5.3 Empirical Findings 1.6 CONTRIBUTIONS 1.7 IMPLICATIONS 1.8 STRUCTURE OF THE THESIS CHAPTER - LITERATURE REVIEW 2.1 INTRODUCTION 2.2 THEORY AND EVIDENCE ON LOAN TERM RELATIONS 2.2.1 Relations between Loan Contract Terms 2.2.2 Jointness of Loan Contract Terms (Hypotheses for RQ1) 2.3 INFORMATION ASYMMETRIES AND CONTRACT TERMS 2.3.1 Information Asymmetries and Loan Terms 2.3.2 Loan Term Trade-Offs and Information Asymmetries 2.3.2.1 Loan Size Selection, Given Loan Term Jointness 2.3.2.2 Covenant Choice, Given Loan Term Jointness 2.3.2.3 Loan Price, Collateral, and Maturity Choice, Given Loan Term Jointness 2.3.2.4 Hypotheses for RQ2 2.4 LENDING RELATIONSHIPS AND LOAN TERMS 2.4.1 Lending Relationship Concepts 3.4.1.1 Lending Relationships d oa nl w ll u nf va an lu oi m z at nh z gm @ m co l 43 43 45 45 45 an Lu n va ii ac th si 3.4.1.2 Lending Relationship Measures Literature on Lending Relationships and Loan Terms Hypotheses for RQ3 2.4.3.1 Impact of Lending Relationships on Loan Covenants 2.4.3.2 Impact of Lending Relationships on Loan Size 2.4.4 Hypotheses for RQ4 2.5 CHAPTER SUMMARY CHAPTER - DATA AND METHODOLOGY 3.1 INTRODUCTION 3.2 DATA AND SAMPLE 3.2.1 Data Sources 3.2.2 Database Characteristics 3.2.2.1 DealScan’s Information Sources 3.2.2.2 DealScan’s Deal and Facility Classifications 3.2.2.3 Searching DealScan Borrower Information from Compustat 3.2.2.4 Reporting Year Inconsistencies between DealScan and Compustat 3.2.2.5 Potential Misidentification of Lender and Borrower Names 3.2.3 Revolving and Term Loans 3.2.4 Sample Units, Sampling Procedures, and Composition 3.3 METHODOLOGY FOR RQ1, RQ2, AND RQ3 3.3.1 Model Specification 3.3.2 Estimation Methods 3.4 METHODOLOGY FOR RQ4 3.4.1 Model Specification 3.4.2 Estimation Methods 3.5 ROBUSTNESS TESTS 3.5.1 Different Proxies for Information Asymmetries 3.5.2 Alternative Measures of Lending Relationship 3.5.3 Endogeneity of Loan Type Selection 3.6 CHAPTER SUMMARY CHAPTER - VARIABLES AND DESCRIPTIVE STATISTICS 4.1 INTRODUCTION 4.2 VARIABLES 4.2.1 Loan Contract Terms 4.2.1.1 Loan Price 4.2.1.2 Collateral 4.2.1.3 Maturity 4.2.1.4 Covenants 4.2.1.5 Loan Size 4.2.1.6 Other Loan Characteristics 4.2.2 Lender Characteristics 4.2.3 Borrower Characteristics 46 47 52 53 54 55 57 60 60 60 60 62 62 62 2.4.2 2.4.3 lu an 63 n va 64 p ie gh tn to 65 66 68 71 72 75 82 82 83 85 85 85 86 90 92 92 92 92 93 93 95 95 98 99 101 102 d oa nl w ll u nf va an lu oi m z at nh z m co l gm @ an Lu n va iii ac th si lu an n va 102 106 109 116 122 122 128 129 130 130 130 131 133 142 144 145 146 146 147 148 149 151 152 152 153 154 157 158 158 159 159 161 162 162 162 163 163 164 166 166 p ie gh tn to 4.2.3.1 Information Asymmetries 4.2.3.2 Lending Relationships 4.2.3.3 Other Borrower Characteristics 4.2.4 Macroeconomic Factors 4.3 DESCRIPTIVE STATISTICS AND CORRELATION ANALYSIS 4.3.1 Descriptive Statistics 4.3.2 Correlation Analysis 4.4 CHAPTER SUMMARY CHAPTER - EMPIRICAL RESULTS 5.1 INTRODUCTION 5.2 EMPIRICAL RESULTS FOR RQ1 5.2.1 Results for H1.1 5.2.2 Results for H1.2 and H1.3 5.2.3 Summary of Hypothesis Testing for RQ1 5.3 EMPIRICAL RESULTS FOR RQ2 5.3.1 Results for H2.1 5.3.2 Results for H2.2 5.3.3 Results for H2.3 5.3.4 Results for H2.4 5.3.5 Results for H2.5 5.3.6 Summary of Hypothesis Testing for RQ2 5.4 EMPIRICAL RESULTS FOR RQ3 5.4.1 Results for H3.1 5.4.2 Results for H3.2 5.4.3 Summary of Hypothesis Testing for RQ3 5.5 EMPIRICAL RESULTS FOR RQ4 5.5.1 Results for H4.1 5.5.2 Results for H4.2 5.5.3 Results for H4.3 5.5.4 Results for H4.4 5.5.5 Summary of Hypothesis Testing for RQ4 5.6 RESULTS FOR CONTROL VARIABLES AND ROBUSTNESS TESTS 5.6.1 Results for Control Variables 5.6.2 Robustness Tests of the Hypotheses for RQ1, RQ2, RQ3, and RQ4 5.6.2.1 Other Information Asymmetry Proxies 5.6.2.2 Alternative Lending Relationship Measures 5.6.2.3 Endogeneity of Loan Type Selection 5.7 CHAPTER SUMMARY CHAPTER - CONCLUSION 6.1 INTRODUCTION 6.2 REVIEW OF RESEARCH QUESTIONS, HYPOTHESES, AND FINDINGS 6.2.1 RQ1: Are loan contract terms (i.e., price, collateral, maturity, covenants, and size) simultaneously determined? 6.2.2 RQ2: Given their jointness, are loan terms (i.e., price, collateral, d oa nl w ll u nf va an lu oi m z at nh z l gm @ m co 166 an Lu 168 170 n va iv ac th si lu an n va 171 172 173 177 179 181 184 218 224 226 234 238 238 242 245 247 250 250 267 288 294 298 298 315 336 p ie gh tn to maturity, covenants, and size) traded off when addressing borrower information asymmetries? 6.2.3 RQ3: Given the jointness of loan terms, lending relationships affect loan covenants and size? 6.2.4 RQ4: Given the jointness of loan terms, borrowers with higher information asymmetries benefit from better price and non-price terms from their relationship lenders? 6.3 CONTRIBUTIONS 6.4 IMPLICATIONS 6.5 LIMITATIONS 6.6 FUTURE RESEARCH DIRECTIONS REFERENCES APPENDIX A - SELECTED LOAN DATA CHARACTERISTICS APPENDIX B - EXPECTED SIGNS OF VARIABLES APPENDIX C - CORRELATION MATRIX FOR REVOLVING AND TERM LOANS APPENDIX D - FIRST STAGE REGRESSION FOR THE RQ1, RQ2, AND RQ3 MODEL APPENDIX E - FURTHER ANALYSIS ON THE RQ1, RQ2, AND RQ3 MODEL E.1 MULTICOLLINEARITY DETECTION E.2 LOAN TERM RELATIONS E.3 LENDING RELATIONSHIP IMPACT ON LOAN TERMS E.4 RESULTS OF CONTROL VARIABLES APPENDIX F - ROBUSTNESS TESTS FOR RQ1, RQ2, AND RQ3 F.1 DIFFERENT PROXIES FOR INFORMATION ASYMMETRIES F.2 ALTERNATIVE MEASURES OF LENDING RELATIONSHIPS F.3 ENDOGENEITY OF LOAN TYPE SELECTION APPENDIX G - DETAIL ESTIMATES RELATED TO THE RQ4 MODEL APPENDIX H - ROBUSTNESS TESTS FOR RQ4 H.1 DIFFERENT PROXIES FOR INFORMATION ASYMMETRIES H.2 ALTERNATIVE MEASURES OF LENDING RELATIONSHIPS H.3 ENDOGENEITY OF LOAN TYPE SELECTION d oa nl w ll u nf va an lu oi m z at nh z m co l gm @ an Lu n va v ac th si LIST OF TABLES Table 1.1 Table 2.1 Table 2.2 Table 2.3 Table 2.4 lu Table 2.5 Table 3.1 Table 3.2 Table 3.3 Table 3.4 an n va p ie gh tn to Table 3.5 Table 4.1 Table 4.2 Table 4.3 37 39 48 59 61 63 70 80 84 96 118 123 132 135 143 150 153 d oa an lu 156 160 167 ll u nf va Table 5.7 Table 6.1 Table A1 27 nl w Table 5.1 Table 5.2 Table 5.3 Table 5.4 Table 5.5 Table 5.6 Prior studies on loan term jointness Relations between the pairs of loan terms Summary of the effects of information asymmetry on individual loan terms Summary of information asymmetry effects on loan terms, given their jointness Summary of prior studies on the impact of the lending relationship on loan terms Summary of the four research questions and their hypotheses Summary of data sources An example of the contract terms of different facilities in a deal Sample selection process Testing procedures for the hypotheses associated with RQ1, RQ2, and RQ3 Testing procedure for the hypotheses associated with RQ4 Financial and general covenants List of variables and their definitions and data sources Descriptive statistics and difference test results for revolving and term loans DWH statistics for exogeneity tests Second-stage regression results Summary of test results for the hypotheses related to RQ1 Summary of test results for the hypotheses related to RQ2 Summary of test results for the hypotheses related to RQ3 Summary of the interaction impacts of information asymmetries and lending relationship on loan terms Summary of test results for the hypotheses related to RQ4 Research questions, related hypotheses and results Distributions of loan types and loan distribution methods from 1987 to 2009 Distribution of loan covenants from 1987 to 2009 Differences between loans with and without collateral information Comparison of loan terms and firm characteristics in initial and final samples Expected signs of variables used in Equations 3.11 – 3.15 Correlation matrix for revolving and term loans First stage regression for the model related to RQ1, RQ2, and RQ3 VIF values for independent variables in Equations 3.11 – 3.15 Second stage regression results for RQ1, RQ2, and RQ3 with information asymmetries proxied by LN(FIRMAGE) m oi z at nh Table A2 Table A3 Table A4 219 220 221 222 224 226 235 239 z m co l gm @ Table B1 Table C1 Table D1 Table E1 Table F1 251 an Lu n va vi ac th si Table F2 Table F3 Table F4 Table F5 Table F6 Table F7 Table F8 lu Table F9 an n va Table F10 Table F11 gh tn to Table G1 p ie Table H1 259 263 268 272 276 280 284 289 290 294 299 303 211 va an 316 ll u nf Table H6 lu Table H5 307 d Table H4 oa Table H3 255 nl w Table H2 Second stage regression results for RQ1, RQ2, and RQ3 with information asymmetries proxied by R&D Second stage regression results for RQ1, RQ2, and RQ3 with information asymmetries proxied by FCSTERROR Second stage regression results for RQ1, RQ2, and RQ3 with information asymmetries proxied by DISPERSION Second stage regression results for RQ1, RQ2, and RQ3 with lending relationships measured by REL(A) Second stage regression results for RQ1, RQ2, and RQ3 with lending relationships measured by REL(N) Second stage regression results for RQ1, RQ2, and RQ3 with lending relationships measured by REL(D)_3YEAR Second stage regression results for RQ1, RQ2, and RQ3 with lending relationships measured by REL(A)_3YEAR Second stage regression results for RQ1, RQ2, and RQ3 with lending relationships measured by REL(N)_3YEAR Logit estimation of revolving loan selection (Equation 3.16) Second stage regression results for RQ1, RQ2, and RQ3 after controlling for the endogeneity of loan type selection Results for interaction impacts of information asymmetries and lending relationship on loan terms Second stage regression results for RQ4 with information asymmetries proxied by LN(FIRMAGE) Second stage regression results for RQ4 with information asymmetries proxied by R&D Second stage regression results for RQ4 with information asymmetries proxied by FCSTERROR Second stage regression results for RQ4 with information asymmetries proxied by DISPERSION Second stage regression results for RQ4 with lending relationships measured by REL(A) Second stage regression results for RQ4 with lending relationships measured by REL(N) Second stage regression results for RQ4 with lending relationships measured by REL(D)_3YEAR Second stage regression results for RQ4 with lending relationships measured by REL(A)_3YEAR Second stage regression results for RQ4 with lending relationships measured by REL(N)_3YEAR Second stage regression results for RQ4 after controlling for the endogeneity of loan type selection 324 z at nh 328 z Table H9 oi Table H8 m Table H7 320 @ gm Table H10 332 m co l 337 an Lu n va vii ac th si ABBREVIATIONS lu an n va p ie gh tn to oa nl w Two-Stage Consumer Price Index Center for Research in Security Prices Durbin–Wu–Hausman Earnings Before Interest, Taxes, Depreciation and Amortization European Network for SME Research Federal Financial Institutions Examination Council Global Company Key Hypothesis Information Asymmetries Institutional Brokers' Estimate System London Interbank Offered Rate Loan Pricing Corporation Initial Public Offering Leveraged Buyout Management Buy-out National Information Center National Survey of Small Business Finances Ordinary least squares Lending Relationship Research Question Replication Server System Database Identification Securities and Exchange Commission Survey of the Financial Environment Standard Industrial Classification Survey of Small Business Finances The United Kingdom The United States of America Variance Inflation Factor Wharton Research Data Services d ll u nf va an lu oi m z at nh 2S CPI CRSP DWH EBITDA ENSR FFIEC GVKEY H IA I/B/E/S LIBOR LPC IPO LBO MBO NIC NSSBF OLS REL RQ RSSD ID SEC SFE SIC SSBF U.K U.S VIF WRDS z m co l gm @ an Lu n va viii ac th si ABSTRACT This thesis shows that five key loan contract terms – price, collateral, maturity, covenants, and size – are jointly determined and investigates how lenders and borrowers trade these off to address information asymmetries It further examines whether prior lending relationships affect loan covenants and size and whether borrowers with higher information asymmetries obtain better loan terms from their relationship lenders Since revolving and term loans differ in their lu characteristics, these issues are examined for the two loan types separately an n va The sample consists of 17,636 revolving and 6,625 term loans made by banks December 2009 A system of five simultaneous equations is used to examine loan ie gh tn to operating in the United States to U.S non-financial firms from January 1994 to 31 p term jointness It also provides coefficients for an information asymmetry proxy and w oa nl a lending relationship measure to examine how loan terms are used to address d information asymmetries as well as whether prior lending relationships impact loan lu va an covenants and size This model is modified by adding a product of the information ll u nf asymmetry and lending relationship measures and then used to investigate if z at nh relationship lenders oi m borrowers with higher information asymmetries obtain better terms from their The empirical results show all five key loan terms are jointly determined For z @ gm revolving loans, high information asymmetry borrowers pay higher prices, are more m co l likely to be required to provide collateral, and accept shorter maturities in return for obtaining larger loans with fewer covenants For term loans, such borrowers pay an Lu higher prices and are more likely to pledge collateral in return for larger loans Those n va ix ac th si borrowers with prior lending relationships accept more covenants but obtain larger loans for both two loan types Borrowers with higher information asymmetries, however, obtain neither lower prices nor more favourable non-price terms from their relationship lenders This thesis makes several academic contributions It extends other studies (e.g., Dennis, Nandy, and Sharpe, 2000) to include covenants and loan size as key loan contract terms and finds that all five loan terms are jointly determined lu Moreover, this study is the first to provide evidence that borrowers and lenders trade an n va off loan terms when addressing borrower information asymmetries It is also the first relationship lenders It augments the work of Bharath, Dahiya, Saunders, and ie gh tn to to show that borrowers accept more covenants but obtain larger amounts from their p Srinivasan (2011) by examining both price and non-price terms in a simultaneous nl w equation model across revolving and term loans but finds no evidence that borrowers d oa with higher information asymmetries obtain better loan terms from their relationship va an lu lenders ll u nf Regarding methodology, this work extends prior studies by using a system of oi m simultaneous equations to mitigate potential simultaneity problems, considering z at nh differences between revolving and term loans and obtaining different findings across these loan types This study reveals the endogeneity of loan selection and addresses z gm @ the problem by using the borrower GVKEY and lender RSSD ID in the sampling l selection to trace back prior lending relationships, thus improving the accuracy of the m co results an Lu n va x ac th si l u a n MATURITY (4) (5) COVINDEX LN(FACSIZE) (6) (7) AISD COLLATERAL MATURITY (9) (10) COVINDEX LN(FACSIZE) 0.473*** 0.485*** (0.008) (0.011) 0.073 (0.057) (0.039) (0.087) 0.201*** 0.618*** 0.159* (0.063) (0.041) (0.093) -0.016** -0.040*** 0.032** (0.006) -0.180* -0.093** 0.105 0.146*** -0.210*** (0.049) (0.039) (0.098) (0.039) (0.122) (0.054) (0.040) -0.408*** -0.685*** 0.186 0.198*** 0.429*** -0.322*** -0.845*** (0.051) (0.042) (0.126) (0.027) (0.143) (0.061) (0.058) 0.002 0.019*** -0.060*** -0.010*** 0.029 -0.012 0.093*** (0.015) (0.010) (0.006) (0.022) (0.004) (0.034) (0.016) (0.013) -0.015 (0.018) LN(1+COVERAGE) i n h o (0.026) -0.210*** l -0.093*** 0.087* lm TANGIBILITY a nf u (0.008) n v a M/B -0.190*** lu LEVERAGE -0.141** o a d PROFITABILITY nl d o w LN(TOTALASSETS) -0.105*** CONCENTRATION z @ LN(ASSETMATURITY) gm EARNINGSVARIANCE -0.206*** (0.029) a t z (0.011) m l.c o TAX_ASSETS Term Loans (8) p Panel E: Other Borrower Characteristics v a n (2) COLLATERAL hi e (1) AISD t n g VARIABLES to (Table H7 continued) Revolving Loans (3) 0.515*** 0.081*** (0.038) (0.030) 0.104*** (0.017) (0.037) -2.531*** -1.478*** (0.250) (0.516) 4.699*** 5.436*** (0.535) (1.064) an Lu 0.067*** v an 325 t h a c si l u a n v a n (2) AISD COLLATERAL MATURITY (4) (5) to (1) hi e VARIABLES t n g (Table H7 continued) Revolving Loans (3) COVINDEX LN(FACSIZE) (6) (7) AISD COLLATERAL Term Loans (8) MATURITY -0.260*** -0.642*** -0.329 (0.189) (0.227) lu n v a a CURRENTRATIO (0.017) (0.012) (0.005) (0.008) -0.126*** -0.228*** 0.009 -0.183*** -0.078*** 0.254*** (0.020) (0.013) (0.043) 0.008 (0.064) (0.028) (0.023) 0.071*** 0.123 0.353*** (0.027) (0.075) (0.040) a t z z @ 0.009 0.147*** -0.190*** -0.109*** 0.028 0.006 0.295*** -0.140*** -0.186*** (0.019) (0.047) (0.031) (0.019) (0.063) (0.013) (0.095) (0.044) (0.030) 0.082*** 0.130* (0.021) (0.074) l.c o gm TRANCHE -0.116*** o -0.114*** (0.026) (0.032) -0.050*** -0.105*** i n h Panel G: Other Loan Characteristics -0.019 0.188*** l 0.025* lm 0.001 nf u Panel F: Lender Characteristic FIRSTLOAN LENDERNUMBER m an Lu RECAPITALIZATION LN(FACSIZE) (0.266) o a d CFVOLATILITY (0.039) COVINDEX -1.177*** nl (0.072) SYNDICATION (10) p REGULATED d o w Panel E: Other Borrower Characteristics (cont.) TOPLENDERS (9) 0.028*** 0.017*** (0.001) (0.001) 0.002 -0.017 -0.139*** 0.243*** 0.177*** 0.145** -0.006 -0.036 0.243*** 0.030 (0.023) (0.015) (0.037) (0.021) (0.016) (0.056) (0.011) (0.084) (0.034) (0.031) v an t h a c 326 si l u a n v a n (2) AISD COLLATERAL MATURITY (4) (6) (7) AISD COLLATERAL -0.028 0.287*** (0.024) 0.355*** (0.057) 0.178*** (0.029) (0.019) (0.059) (0.028) -0.279*** -0.296*** -1.281*** (0.051) (0.046) (0.059) (0.067) (0.013) (0.098) (0.042) (0.035) 1.567*** 0.043 -0.004 0.907*** -0.321*** -1.002*** (0.028) (0.118) (0.022) (0.189) (0.099) (0.070) a -0.106*** (0.024) 9.002*** (1.773) -0.244*** (0.050) 0.085*** -0.508*** 0.194*** 0.390*** 0.703*** -0.013 -1.202*** 0.372*** 1.452*** (0.020) (0.035) (0.024) (0.019) (0.141) (0.023) (0.133) (0.068) (0.058) 1.627*** 0.851*** -1.421*** -2.088*** 1.521*** 2.504*** -2.070*** -6.266*** (0.109) (0.132) (0.077) (0.071) (0.367) (0.368) (0.189) (0.181) 11,431 12,434 12,434 4,067 4,246 4,490 4,490 z @ gm m Lu Ȥ2 l.c o Adjusted R lu a t z 0.299*** (0.030) R -0.470*** o (0.020) 0.321*** i n h -0.044** Observations 0.359*** lm (0.786) Constant 0.006 l 0.494 CREDITSPREAD LN(FACSIZE) nf u (0.009) TERMPREMIUM COVINDEX n v a -0.024*** IRVOLATILITY MATURITY p -0.063 Panel H: Macroeconomic Factors LIBOR (10) d o w 0.020 nl 0.054* o a d OTHERPURPOSE Term Loans (8) (9) COVINDEX LN(FACSIZE) Panel G: Other Loan Characteristics (cont.) ACQUISITION (5) to (1) hi e VARIABLES t n g (Table H7 continued) Revolving Loans (3) 11,179 7,878 3,461 0.538 0.301 0.842 0.232 0.189 0.855 0.538 0.300 0.842 0.228 0.185 0.854 1586 4980 an Pseudo R 0.298 0.143 Note: The superscripts ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively v an t h a c 327 246.9 1561 0.133 0.107 si l u a n v a n to p hi e t n g Table H8: Second stage regression results for RQ4 with lending relationships measured by REL(A)_3YEAR This table documents the interaction effects of information asymmetries and lending relationship on loan terms with REL(A)_3YEAR as a measure for lending relationships Column (1) through (5) and Column (6) through to (10) are, respectively, the second stage regressions of equations 3.11 through 3.15 (the AISD, COLLATERAL, MATURITY, COVINDEX, and LN(FACSIZE) equations, respectively) after including IAINDEX×REL(A)_3YEAR for revolving and term loan samples Numbers in parentheses are standard errors corrected for heteroscedasticity Revolving Loans (3) (4) (5) MATURITY COVINDEX LN(FACSIZE) (6) AISD -0.192*** 1.539*** 1.635*** 1.826*** -0.405*** (0.066) (0.048) (0.245) (0.326) (0.157) (0.112) 0.395*** 1.113*** -0.132* -0.004 0.142*** 1.274*** (0.021) (0.012) (0.070) (0.013) (0.036) (0.024) -0.289*** -0.018 0.024*** 0.101** 0.052*** (0.013) (0.027) (0.005) (0.040) (0.013) d o w (2) COLLATERAL nl (1) AISD o a d VARIABLES Panel A: Loan Terms Fitted COLLATERAL (0.111) n v a a (0.065) 1.312*** lu 0.933*** Term Loans (8) (9) MATURITY COVINDEX (10) LN(FACSIZE) -0.067*** (0.032) (0.017) 0.117*** 0.108*** (0.015) (0.012) -0.071*** -0.123*** 0.395*** -0.095*** -0.075** -0.032*** 0.338*** 0.077*** (0.016) (0.007) (0.016) (0.014) (0.032) (0.004) (0.030) (0.018) 0.081*** -0.120*** -0.025 0.102*** 0.079** 0.015** 0.025 0.002 -0.033* (0.010) (0.024) (0.015) (0.011) (0.032) (0.006) (0.051) (0.020) (0.017) -0.059 -0.006 -0.374*** 0.155** 0.455*** -0.410*** -0.033 0.119 0.306*** -0.227** (0.058) (0.046) (0.115) (0.074) (0.046) (0.156) (0.027) (0.246) (0.098) (0.088) IAINDEX×REL(A)_3YEAR -0.002 0.000 0.062* -0.028 -0.061*** 0.106* 0.012 -0.136 -0.073** 0.203*** (0.020) (0.012) (0.037) (0.024) (0.015) (0.056) (0.013) (0.083) (0.034) (0.030) Fitted COVINDEX nf u -0.247*** l.c o Fitted MATURITY 1.606*** (7) COLLATERAL 0.415*** l o 0.026* z gm Panel C: Lending Relationship @ (0.014) REL(A)_3YEAR lm IAINDEX a t z Panel B: Information Asymmetry i n h Fitted LN(FACSIZE) (0.022) Panel D: Interaction Term m Lu an v an 328 t h a c si l u a n MATURITY (4) (5) COVINDEX LN(FACSIZE) (6) (7) AISD COLLATERAL (9) nl 0.072 (0.057) (0.039) (0.087) 0.196*** 0.620*** 0.145 (0.063) (0.041) (0.093) -0.016** -0.040*** 0.032** (0.006) 0.478*** 0.492*** (0.008) (0.011) -0.178* -0.093** 0.114 0.143*** -0.222*** (0.049) (0.039) (0.098) (0.039) (0.123) (0.054) (0.040) -0.405*** -0.671*** 0.179 0.196*** 0.422*** -0.320*** -0.832*** (0.051) (0.042) (0.126) (0.027) (0.143) (0.061) (0.058) 0.001 0.019*** -0.060*** -0.010*** 0.029 -0.013 0.094*** (0.015) (0.010) (0.006) (0.022) (0.004) (0.034) (0.016) (0.013) -0.014 (0.018) LN(1+COVERAGE) i n h o (0.026) -0.206*** l -0.093*** 0.089* lm TANGIBILITY a nf u (0.008) n v a M/B -0.190*** lu LEVERAGE -0.143** o a d PROFITABILITY -0.105*** CONCENTRATION z @ LN(ASSETMATURITY) gm EARNINGSVARIANCE -0.205*** (0.029) a t z (0.011) (10) MATURITY COVINDEX LN(FACSIZE) d o w LN(TOTALASSETS) m l.c o TAX_ASSETS Term Loans (8) p Panel E: Other Borrower Characteristics v a n (2) COLLATERAL hi e (1) AISD t n g VARIABLES to (Table H8 continued) Revolving Loans (3) 0.516*** 0.082*** (0.038) (0.031) 0.104*** (0.017) (0.037) -2.550*** -1.467*** (0.250) (0.516) 4.737*** 5.487*** (0.535) (1.062) an Lu 0.067*** v an 329 t h a c si l u a n v a n (2) AISD COLLATERAL MATURITY (4) (5) to (1) hi e VARIABLES t n g (Table H8 continued) Revolving Loans (3) COVINDEX LN(FACSIZE) (6) (7) AISD COLLATERAL Term Loans (8) MATURITY -0.271*** -0.642*** -0.331 (0.189) (0.227) lu n v a a CURRENTRATIO (0.017) (0.012) (0.005) (0.008) -0.125*** -0.232*** 0.009 -0.179*** -0.087*** 0.252*** (0.020) (0.013) (0.044) (0.008) (0.064) (0.028) (0.023) 0.072*** 0.125* 0.354*** (0.027) (0.075) (0.040) a t z z @ 0.006 0.161*** -0.188*** -0.122*** 0.037 0.006 0.295*** -0.127*** -0.190*** (0.019) (0.046) (0.031) (0.019) (0.062) (0.013) (0.095) (0.044) (0.030) 0.081*** 0.126* (0.020) (0.074) l.c o gm TRANCHE -0.116*** o -0.115*** (0.026) (0.032) -0.051*** -0.108*** i n h Panel G: Other Loan Characteristics -0.017 0.185*** l 0.026** lm 0.001 nf u Panel F: Lender Characteristic FIRSTLOAN LENDERNUMBER m an Lu RECAPITALIZATION LN(FACSIZE) (0.267) o a d CFVOLATILITY (0.039) COVINDEX -1.167*** nl (0.072) SYNDICATION (10) p REGULATED d o w Panel E: Other Borrower Characteristics (cont.) TOPLENDERS (9) 0.028*** 0.016*** (0.001) (0.001) 0.002 -0.018 -0.142*** 0.244*** 0.181*** 0.146*** -0.006 -0.041 0.242*** 0.035 (0.023) (0.015) (0.037) (0.021) (0.016) (0.057) (0.011) (0.084) (0.034) (0.031) v an t h a c 330 si l u a n v a n (2) AISD COLLATERAL MATURITY (4) (6) (7) AISD COLLATERAL -0.025 0.286*** (0.024) 0.353*** (0.057) 0.180*** (0.029) (0.019) (0.059) (0.028) -0.276*** -0.297*** -1.285*** (0.050) (0.046) (0.059) (0.067) (0.013) (0.099) (0.042) (0.035) 1.569*** 0.042 -0.004 0.908*** -0.317*** -1.004*** (0.028) (0.117) (0.022) (0.189) (0.099) (0.070) a -0.108*** (0.024) 9.183*** (1.774) -0.249*** (0.050) 0.085*** -0.505*** 0.194*** 0.385*** 0.713*** -0.011 -1.199*** 0.376*** 1.445*** (0.020) (0.035) (0.024) (0.019) (0.141) (0.023) (0.133) (0.068) (0.058) 1.617*** 0.852*** -1.452*** -2.109*** 1.435*** 2.467*** -2.074*** -6.226*** (0.108) (0.131) (0.076) (0.071) (0.359) (0.365) (0.184) (0.180) 11,431 12,434 12,434 4,067 4,246 4,490 4,490 z @ gm m Lu Ȥ2 l.c o Adjusted R lu a t z 0.299*** (0.030) R -0.463*** o (0.020) 0.323*** i n h -0.043** Observations 0.353*** lm (0.784) Constant 0.006 l 0.521 CREDITSPREAD LN(FACSIZE) nf u (0.009) TERMPREMIUM COVINDEX n v a -0.023*** IRVOLATILITY MATURITY p -0.063 Panel H: Macroeconomic Factors LIBOR (10) d o w 0.020 nl 0.053* o a d OTHERPURPOSE Term Loans (8) (9) COVINDEX LN(FACSIZE) Panel G: Other Loan Characteristics (cont.) ACQUISITION (5) to (1) hi e VARIABLES t n g (Table H8 continued) Revolving Loans (3) 11,179 7,878 3,461 0.539 0.300 0.842 0.230 0.189 0.855 0.538 0.299 0.842 0.226 0.185 0.854 1591 4973 an Pseudo R 0.298 0.143 Note: The superscripts ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively v an t h a c 331 245.9 1584 0.132 0.107 si l u a n v a n to p hi e t n g Table H9: Second stage regression results for RQ4 with lending relationships measured by REL(N)_3YEAR This table documents the interaction effects of information asymmetries and lending relationship on loan terms with REL(N)_3YEAR as a measure for lending relationships Column (1) through (5) and Column (6) through to (10) are, respectively, the second stage regressions of equations 3.11 through 3.15 (the AISD, COLLATERAL, MATURITY, COVINDEX, and LN(FACSIZE) equations, respectively) after including IAINDEX×REL(N)_3YEAR for revolving and term loan samples Numbers in parentheses are standard errors corrected for heteroscedasticity Revolving Loans (2) (3) (4) (5) COLLATERAL MATURITY COVINDEX LN(FACSIZE) o a d nl (1) AISD d o w VARIABLES Panel A: Loan Terms Fitted COLLATERAL (0.111) n v a a (0.066) 1.311*** -0.196*** 1.539*** 1.640*** 1.834*** -0.391*** (0.066) (0.048) (0.245) (0.326) (0.157) (0.112) 0.395*** 1.113*** -0.134* -0.004 0.142*** 1.274*** (0.021) (0.012) (0.070) (0.013) (0.036) (0.025) -0.287*** -0.018 0.024*** 0.101** 0.053*** (0.013) (0.027) (0.005) (0.040) (0.013) lu 0.936*** Term Loans (7) (8) (9) (10) COLLATERAL MATURITY COVINDEX LN(FACSIZE) -0.066*** (0.032) (0.017) 0.117*** 0.108*** (0.015) (0.012) -0.071*** -0.123*** 0.394*** -0.095*** -0.075** -0.032*** 0.339*** 0.078*** (0.016) (0.007) (0.016) (0.014) (0.032) (0.004) (0.030) (0.018) 0.084*** -0.117*** -0.029* 0.098*** 0.075** 0.016** 0.019 0.002 -0.034** (0.010) (0.024) (0.015) (0.011) (0.032) (0.006) (0.051) (0.020) (0.017) -0.067 0.015 -0.337*** 0.117 0.394*** -0.452*** -0.027 0.063 0.312*** -0.239*** (0.059) (0.047) (0.117) (0.075) (0.047) (0.159) (0.027) (0.248) (0.100) (0.090) IAINDEX×REL(N)_3YEAR 0.001 -0.005 0.053 -0.017 -0.047*** 0.120** 0.010 -0.121 -0.076** 0.209*** (0.021) (0.012) (0.038) (0.024) (0.016) (0.057) (0.013) (0.084) (0.035) (0.030) Fitted COVINDEX nf u -0.247*** l.c o Fitted MATURITY 1.606*** (6) AISD 0.415*** l o 0.025* z gm Panel C: Lending Relationship @ (0.014) REL(N)_3YEAR lm IAINDEX a t z Panel B: Information Asymmetry i n h Fitted LN(FACSIZE) (0.022) Panel D: Interaction Term m Lu an v an 332 t h a c si l u a n MATURITY (4) (5) COVINDEX LN(FACSIZE) (6) (7) AISD COLLATERAL (9) nl 0.075 (0.057) (0.039) (0.087) 0.196*** 0.619*** 0.144 (0.063) (0.041) (0.093) -0.016** -0.040*** 0.032** (0.006) 0.480*** 0.492*** (0.008) (0.011) -0.178* -0.092** 0.115 0.142*** -0.223*** (0.049) (0.039) (0.098) (0.039) (0.123) (0.054) (0.040) -0.404*** -0.669*** 0.181 0.196*** 0.420*** -0.322*** -0.835*** (0.051) (0.043) (0.126) (0.027) (0.143) (0.061) (0.058) 0.001 0.020*** -0.060*** -0.010*** 0.029 -0.012 0.094*** (0.015) (0.010) (0.006) (0.022) (0.004) (0.034) (0.016) (0.013) -0.014 (0.018) LN(1+COVERAGE) i n h o (0.026) -0.211*** l -0.093*** 0.087* lm TANGIBILITY a nf u (0.008) n v a M/B -0.189*** lu LEVERAGE -0.143** o a d PROFITABILITY -0.104*** CONCENTRATION z @ LN(ASSETMATURITY) gm EARNINGSVARIANCE -0.204*** (0.029) a t z (0.011) (10) MATURITY COVINDEX LN(FACSIZE) d o w LN(TOTALASSETS) m l.c o TAX_ASSETS Term Loans (8) p Panel E: Other Borrower Characteristics v a n (2) COLLATERAL hi e (1) AISD t n g VARIABLES to (Table H9 continued) Revolving Loans (3) 0.516*** 0.082*** (0.038) (0.031) 0.103*** (0.017) (0.037) -2.553*** -1.471*** (0.250) (0.516) 4.747*** 5.508*** (0.535) (1.061) an Lu 0.067*** v an 333 t h a c si l u a n (2) COLLATERAL MATURITY (4) (5) hi e COVINDEX LN(FACSIZE) (6) (7) AISD COLLATERAL Term Loans (8) MATURITY -0.271*** (0.072) (0.267) nl -0.641*** -0.339 (0.189) (0.227) o a d CFVOLATILITY n v a a lu CURRENTRATIO Panel F: Lender Characteristic (0.012) -0.016 z (0.026) a t z FIRSTLOAN (0.005) (0.008) -0.120*** -0.232*** 0.009 -0.178*** -0.086*** 0.254*** (0.032) (0.020) (0.013) (0.044) (0.008) (0.064) (0.028) (0.023) 0.069*** 0.125* 0.351*** (0.027) (0.075) (0.040) o -0.115*** (0.039) -0.116*** -0.107*** i n h SYNDICATION -0.051*** 0.183*** l (0.017) nf u 0.026** lm 0.001 Panel G: Other Loan Characteristics (0.006) 0.166*** -0.189*** -0.131*** 0.039 0.006 0.293*** -0.128*** -0.191*** 0.019 (0.046) (0.031) (0.019) (0.062) (0.013) (0.094) (0.044) (0.030) @ TRANCHE 0.081*** 0.127* gm (0.020) l.c o m RECAPITALIZATION (0.074) LENDERNUMBER (10) LN(FACSIZE) -1.168*** d o w REGULATED TOPLENDERS (9) COVINDEX p Panel E: Other Borrower Characteristics (cont.) v a n (1) AISD t n g VARIABLES to (Table H9 continued) Revolving Loans (3) 0.028*** 0.016*** (0.001) (0.001) -0.018 -0.142*** 0.244*** 0.181*** 0.145** -0.006 -0.042 0.242*** 0.035 (0.023) (0.015) (0.037) (0.021) (0.016) (0.057) (0.011) (0.084) (0.034) (0.031) an Lu 0.001 v an 334 t h a c si l u a n (2) COLLATERAL MATURITY (4) (5) -0.465*** (0.024) (0.067) 0.013 (0.099) (0.042) (0.035) hi e p 0.354*** 1.572*** 0.046 -0.004 0.910*** -0.317*** -1.005*** (0.050) (0.046) (0.059) (0.057) (0.028) (0.117) 0.022 (0.189) (0.099) (0.070) nl d o w -1.286*** a lu n v a nf u 9.143*** l (1.775) i n h o -0.247*** (0.050) -0.504*** 0.194*** 0.383*** 0.710*** -0.012 -1.201*** 0.375*** 1.446*** (0.020) (0.035) (0.024) (0.019) (0.141) (0.023) (0.133) (0.068) (0.058) 0.839*** -1.437*** -2.090*** 1.452*** 2.486*** -2.080*** -6.240*** (0.130) (0.076) (0.071) (0.359) (0.364) (0.184) (0.181) 11,431 12,434 12,434 4,067 4,246 4,490 4,490 z @ gm 11,179 (0.024) 0.085*** a t z 0.299*** -0.108*** lm -0.043** (0.108) l.c o m Ȥ2 0.323*** -0.297*** 1.621*** Adjusted R 0.351*** -0.275*** (0.030) 0.006 (0.028) (0.020) R 0.286*** (0.059) 0.527 -0.027 (0.019) (0.783) Observations LN(FACSIZE) (0.029) IRVOLATILITY Constant (10) COVINDEX 0.179*** (0.009) CREDITSPREAD (9) MATURITY -0.063 -0.023*** TERMPREMIUM (7) COLLATERAL 0.020 Panel H: Macroeconomic Factors LIBOR (6) 0.053* o a d OTHERPURPOSE Term Loans (8) AISD COVINDEX LN(FACSIZE) Panel G: Other Loan Characteristics (cont.) ACQUISITION v a n (1) AISD t n g VARIABLES to (Table H9 continued) Revolving Loans (3) 7,878 3,461 0.539 0.300 0.842 0.230 0.189 0.855 0.538 0.299 0.842 0.226 0.185 0.854 1589 4976 an Lu Pseudo R 0.298 0.143 Note: The superscripts ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively v an t h a c 335 245.8 1584 0.132 0.108 si H.3 ENDOGENEITY OF LOAN TYPE SELECTION The test results related to RQ4 discuessed in Section 5.5 assume that loan type selection (i.e., the choice to borrow or lend using revolving or term loans) is exogenous and so these loan types are examined separately This appendix instead treats this loan type selection as endogenous and follows the steps to conduct the robustness test as detailed in Section 3.5.3 Table H10 documents the regressions for lu testing hypotheses associated with RQ4 after addressing the endogeneity of loan type an n va selection Althoug loan type selection is found to be endogeous, the findings not p ie gh tn to differ with those in Chapter 5, Section 5.5 d oa nl w ll u nf va an lu oi m z at nh z m co l gm @ an Lu 336 n va ac th si l u a n v a n to t n g p hi e Table H10: Second stage regression results for RQ4 after controlling for the endogeneity of loan type selection This table documents the interaction effects of information asymmetries and lending relationship on loan terms after controlling for the endogeneity of loan type selection by including IMR (for REVOLVING =1) and MR (for REVOLVING =0) in loan term equation for revolving loans Column (1) through (5) and Column (6) through to (10) are, respectively, the second stage regressions of equations 3.11 through 3.15 (the AISD, COLLATERAL, MATURITY, COVINDEX, and LN(FACSIZE) equations, respectively) after including IAINDEX×REL(D) Numbers in parentheses are standard errors corrected for heteroscedasticity d o w (2) COLLATERAL Revolving Loans (3) (4) (5) MATURITY COVINDEX LN(FACSIZE) nl (1) AISD o a d VARIABLES 0.945*** (0.068) (0.121) (7) COLLATERAL Term Loans (8) (9) (10) MATURITY COVINDEX LN(FACSIZE) 1.559*** -0.244*** 1.065*** 1.451*** 1.834*** -0.132 (0.074) (0.051) (0.260) (0.372) (0.173) (0.122) 0.409*** 1.114*** -0.628*** -0.025* 0.144*** 1.288*** (0.021) (0.012) (0.098) (0.013) (0.039) (0.023) 0.404*** -0.287*** -0.111*** 0.021*** 0.086** 0.055*** (0.013) (0.029) (0.005) (0.041) (0.013) n v a nf u -0.044*** (0.033) (0.017) 0.099*** 0.083*** (0.015) (0.011) (0.022) -0.077*** 0.403*** -0.117*** 0.274*** -0.010* 0.371*** 0.075*** (0.008) (0.016) (0.014) (0.058) (0.006) (0.036) (0.022) 0.157*** -0.106*** -0.135*** 0.114*** 0.357*** 0.035*** 0.067 -0.002 -0.121*** (0.012) (0.033) (0.021) (0.014) (0.056) (0.008) (0.074) (0.029) (0.030) -0.010 0.050 -0.296*** 0.042 0.351*** -0.518*** -0.046* -0.046 0.216** 0.094 (0.055) (0.043) (0.106) (0.067) (0.045) (0.138) (0.028) (0.223) (0.090) (0.083) -0.018 -0.013 0.026 0.012 -0.021 0.105** 0.022 -0.050 -0.053* 0.072*** (0.019) (0.011) (0.034) (0.022) (0.014) (0.048) (0.013) (0.076) (0.031) (0.028) o Fitted LN(FACSIZE) -0.043** z Panel B: Information Asymmetry @ IAINDEX a t z (0.017) lm Fitted COVINDEX l -0.288*** i n h Fitted MATURITY 1.501*** a Fitted COLLATERAL lu Panel A: Loan Terms (6) AISD 0.088*** gm (0.018) l.c o Panel C: Lending Relationship REL(D) m Lu Panel D: Interaction Term an IAINDEX×REL(D) v an t h a c 337 si l u a n v a n to t n g (Table H10 continued) (2) AISD COLLATERAL MATURITY (4) (5) p (1) hi e VARIABLES Revolving Loans (3) d o w COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics PROFITABILITY (0.041) (0.097) 0.022 0.065 (0.069) (0.058) -0.020** -0.020*** (0.008) (0.006) COLLATERAL m EARNINGSVARIANCE COVINDEX LN(FACSIZE) (0.016) 0.239** -0.023 0.218 0.141** -0.479*** (0.055) (0.043) (0.117) (0.042) (0.154) (0.065) (0.066) 0.135 -0.022 -0.796*** -0.422*** 0.077** 0.142 -0.311*** -0.263** (0.125) (0.067) (0.054) (0.158) (0.035) (0.258) (0.091) (0.134) 0.031** -0.003 0.022*** -0.055** -0.005 0.036 -0.013 0.064*** (0.015) (0.010) (0.006) (0.022) (0.004) (0.035) (0.017) (0.015) l l.c o LN(ASSETMATURITY) gm @ CONCENTRATION (10) 0.409*** -0.033 -0.011 (0.026) (0.018) -0.050 (0.035) z (0.011) MATURITY (9) (0.008) o lm -0.092*** Term Loans (8) 0.481*** a t z LN(1+COVERAGE) Lu an v an REGULATED AISD i n h TANGIBILITY TAX_ASSETS (7) -0.149*** a (0.061) -0.133** lu 0.088 nf u M/B 0.047 n v a LEVERAGE -0.009 o a d nl LN(TOTALASSETS) (6) 0.261*** 0.047 (0.040) (0.031) h a c t 0.068*** 0.107*** (0.017) (0.037) -2.592*** -1.556*** (0.252) (0.522) 4.761*** 5.559*** (0.535) (1.068) -0.258*** -0.955*** (0.076) (0.325) 338 si l u a n v a n to t n g (Table H10 continued) COLLATERAL MATURITY (4) COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics (cont.) (6) (7) AISD COLLATERAL Term Loans (8) -0.531*** o a d a lu n v a Panel F: Lender Characteristic 0.071*** (0.018) (0.012) a t z z (0.027) (0.005) (0.008) -0.115*** -0.127*** 0.024*** -0.139* -0.082*** 0.164*** (0.034) (0.021) (0.014) (0.047) (0.008) (0.075) (0.031) (0.030) 0.072*** 0.108 0.359*** (0.027) (0.074) (0.040) -0.004 0.121** -0.153*** -0.088*** 0.121* 0.006 0.288*** -0.133*** -0.192*** (0.020) (0.048) (0.031) (0.020) (0.064) (0.013) (0.097) (0.044) (0.030) 0.119*** 0.396*** (0.021) (0.083) l.c o LENDERNUMBER gm @ TRANCHE -0.121*** -0.171*** o (0.039) -0.034 -0.050*** 0.192*** i n h -0.066* FIRSTLOAN (0.228) lm Panel G: Other Loan Characteristics SYNDICATION l 0.029 nf u TOPLENDERS m RECAPITALIZATION Lu an ACQUISITION v an OTHERPURPOSE (10) -0.324 (0.185) CURRENTRATIO (9) MATURITY COVINDEX LN(FACSIZE) nl CFVOLATILITY (5) p AISD hi e (2) VARIABLES d o w (1) Revolving Loans (3) 0.027*** 0.016*** (0.001) (0.001) h a c t -0.046* -0.121*** -0.141*** 0.340*** 0.149*** -0.237*** -0.045*** -0.130 0.248*** 0.216*** (0.024) (0.019) (0.043) (0.023) (0.018) (0.082) (0.016) (0.113) (0.045) (0.046) -0.167*** -0.447*** -0.083 0.558*** -0.132*** -0.579*** -0.092*** 0.106 0.332*** 0.022 (0.047) (0.049) (0.105) (0.050) (0.041) (0.151) (0.031) (0.225) (0.082) (0.105) -0.369*** -0.230*** -1.289*** 0.417*** 1.569*** 0.682*** 0.030 0.963*** -0.321*** -1.147*** (0.054) (0.045) (0.060) (0.057) (0.028) (0.150) (0.013) (0.193) (0.104) (0.071) 339 si
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