APPENDIX H ROBUSTNESS TESTS FOR RQ4
H.2. ALTERNATIVE MEASURES OF LENDING RELATIONSHIPS
In Section 5.5 of this thesis, to test the hypotheses associated with RQ1, RQ2, and RQ3 REL(D) was used to measure lending relationships. As dissussed in Section 3.5.2, lending relationships can be measured by the two alternatives REL(A) and REL(N) as well as those using three-year window (i.e., REL(D)_3YEAR, REL(A)_3YEAR and REL(N)_3YEAR). This appendix employs them as a robustness test and reports in Tables H5 through H9, respectively. The test results are similar to those in Chapter 5, Sections 5.5.
316
Table H5: Second stage regression results for RQ4 with lending relationships measured by REL(A)
This table documents the interaction effects of information asymmetries and lending relationship on loan terms with REL(A) 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) for revolving and term loan samples. Numbers in parentheses are standard errors corrected for heteroscedasticity.
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel A: Loan Terms
FittedCOLLATERAL 1.609*** 0.928*** 1.312*** -0.174*** 1.583*** 1.670*** 1.827*** -0.424***
(0.065) (0.111) (0.065) (0.048) (0.246) (0.325) (0.157) (0.112) FittedMATURITY -0.246*** -0.068*** 0.395*** 1.113*** -0.132* -0.004 0.140*** 1.275***
(0.031) (0.017) (0.021) (0.012) (0.069) (0.013) (0.036) (0.024) FittedCOVINDEX 0.115*** 0.109*** 0.415*** -0.286*** -0.020 0.024*** 0.099** 0.054***
(0.015) (0.012) (0.022) (0.013) (0.026) (0.005) (0.040) (0.013) FittedLN(FACSIZE) -0.072*** -0.122*** 0.393*** -0.095*** -0.074** -0.032*** 0.338*** 0.079***
(0.016) (0.007) (0.016) (0.014) (0.032) (0.004) (0.030) (0.018) Panel B: Information Asymmetry
IAINDEX 0.031** 0.081*** -0.110*** -0.023 0.091*** 0.077** 0.016** 0.014 0.003 -0.025
(0.015) (0.010) (0.024) (0.016) (0.011) (0.033) (0.006) (0.051) (0.021) (0.018) Panel C: Lending Relationship
REL(A) 0.002 -0.029 -0.254** 0.178** 0.344*** -0.420*** -0.036 0.097 0.319*** -0.192**
(0.061) (0.048) (0.118) (0.075) (0.048) (0.162) (0.028) (0.255) (0.105) (0.089) Panel D: Interaction Term
IAINDEX×REL(A) -0.015 0.002 0.033 -0.031 -0.032** 0.107* 0.012 -0.109 -0.077** 0.185***
(0.021) (0.012) (0.038) (0.024) (0.016) (0.057) (0.013) (0.086) (0.036) (0.029)
317
(Table H5 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics
LN(TOTALASSETS) 0.483*** 0.493***
(0.008) (0.011) PROFITABILITY -0.143** -0.189*** 0.072 0.090* -0.206*** -0.179* -0.092** 0.101 0.145*** -0.207***
(0.057) (0.039) (0.087) (0.049) (0.039) (0.098) (0.039) (0.122) (0.054) (0.040) LEVERAGE 0.195*** 0.621*** 0.139 -0.401*** -0.669*** 0.179 0.195*** 0.413*** -0.317*** -0.828***
(0.063) (0.041) (0.093) (0.051) (0.042) (0.126) (0.027) (0.143) (0.061) (0.058) M/B -0.017** -0.039*** 0.031** 0.001 0.021*** -0.060*** -0.010*** 0.028 -0.013 0.095***
(0.008) (0.006) (0.015) (0.010) (0.006) (0.022) (0.004) (0.034) (0.016) (0.013)
TANGIBILITY -0.094*** -0.014
(0.026) (0.018)
LN(1+COVERAGE) -0.104*** -0.202***
(0.011) (0.029)
CONCENTRATION 0.518*** 0.083***
(0.038) (0.031)
LN(ASSETMATURITY) 0.067*** 0.104***
(0.017) (0.037)
EARNINGSVARIANCE -2.565*** -1.473***
(0.250) (0.517)
TAX_ASSETS 4.759*** 5.527***
(0.536) (1.061)
318
(Table H5 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics (cont.)
REGULATED -0.269*** -1.157***
(0.072) (0.268)
CFVOLATILITY -0.637*** -0.331
(0.189) (0.227)
CURRENTRATIO -0.052*** -0.117***
(0.005) (0.008) Panel F: Lender Characteristic
TOPLENDERS -0.003 0.03** 0.178*** -0.109*** -0.117*** -0.235*** 0.010 -0.194*** -0.084*** 0.263***
(0.017) (0.012) (0.032) (0.020) (0.013) (0.044) (0.008) (0.064) (0.028) (0.023) Panel G: Other Loan Characteristics
SYNDICATION -0.111*** 0.065** 0.127* 0.356***
(0.039) (0.027) (0.075) (0.040)
FIRSTLOAN -0.010 -0.003 0.169*** -0.181*** -0.122*** 0.033 0.002 0.308*** -0.123*** -0.187***
(0.027) (0.020) (0.047) (0.031) (0.019) (0.063) (0.014) (0.095) (0.044) (0.030)
TRANCHE 0.081*** 0.124*
(0.020) (0.074)
LENDERNUMBER 0.028*** 0.016***
(0.001) (0.001) RECAPITALIZATION 0.003 -0.019 -0.141*** 0.244*** 0.179*** 0.145** -0.007 -0.040 0.244*** 0.036
(0.023) (0.015) (0.037) (0.021) (0.016) (0.056) (0.011) (0.085) (0.034) (0.031)
319
(Table H5 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel G: Other Loan Characteristics (cont.)
ACQUISITION 0.056* 0.017 -0.062 0.182*** -0.027 0.283*** 0.004 0.356*** 0.328*** -0.464***
(0.029) (0.019) (0.059) (0.028) (0.024) (0.067) (0.013) (0.099) (0.042) (0.035) OTHERPURPOSE -0.279*** -0.299*** -1.296*** 0.353*** 1.584*** 0.036 -0.005 0.905*** -0.312*** -0.995***
(0.051) (0.046) (0.059) (0.057) (0.028) (0.117) (0.022) (0.189) (0.099) (0.069) Panel H: Macroeconomic Factors
LIBOR -0.023*** -0.107***
(0.009) (0.024)
IRVOLATILITY 0.544 9.192***
(0.783) (1.773)
TERMPREMIUM -0.043** -0.246***
(0.020) (0.050) CREDITSPREAD 0.301*** 0.084 -0.501*** 0.193*** 0.377*** 0.715*** -0.011 -1.184*** 0.369*** 1.428***
(0.030) (0.020) (0.035) (0.023) (0.019) (0.140) (0.023) (0.132) (0.067) (0.057)
Constant 1.592*** 0.826*** -1.464*** -2.108*** 1.395*** 2.452*** -2.071*** -6.239***
(0.108) (0.132) (0.077) (0.072) (0.359) (0.368) (0.185) (0.181) Observations 11,179 7,878 11,431 12,434 12,434 4,067 3,461 4,246 4,490 4,490
R2 0.539 0.300 0.842 0.231 0.188 0.855
AdjustedR2 0.538 0.298 0.842 0.227 0.185 0.854
Ȥ2 1601 4975 247.3 1577
PseudoR2 0.299 0.143 0.134 0.107
Note:The superscripts ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.
320
Table H6: Second stage regression results for RQ4 with lending relationships measured by REL(N)
This table documents the interaction effects of information asymmetries and lending relationship on loan terms with REL(N) 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) for revolving and term loan samples. Numbers in parentheses are standard errors corrected for heteroscedasticity.
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel A: Loan Terms
FittedCOLLATERAL 1.608*** 0.932*** 1.310*** -0.182*** 1.592*** 1.678*** 1.834*** -0.411***
(0.065) (0.111) (0.065) (0.048) (0.246) (0.325) (0.157) (0.112) FittedMATURITY -0.246*** -0.067*** 0.396*** 1.113*** -0.134* -0.004 0.140*** 1.276***
(0.031) (0.017) (0.021) (0.012) (0.070) (0.013) (0.036) (0.024) FittedCOVINDEX 0.114*** 0.109*** 0.414*** -0.284*** -0.022 0.024*** 0.097** 0.057***
(0.015) (0.012) (0.022) (0.013) (0.026) (0.005) (0.040) (0.013) FittedLN(FACSIZE) -0.073*** -0.122*** 0.392*** -0.095*** -0.073** -0.032*** 0.338*** 0.079***
(0.016) (0.007) (0.016) (0.014) (0.032) (0.004) (0.030) (0.018) Panel B: Information Asymmetry
IAINDEX 0.031** 0.084*** -0.102*** -0.029* 0.080*** 0.078** 0.017*** 0.011 0.002 -0.031*
(0.015) (0.010) (0.024) (0.016) (0.011) (0.033) (0.006) (0.051) (0.021) (0.017) Panel C: Lending Relationship
REL(N) 0.002 -0.015 -0.177 0.139* 0.227*** -0.413** -0.030 0.091 0.327*** -0.283***
(0.062) (0.049) (0.121) (0.077) (0.049) (0.166) (0.029) (0.261) (0.108) (0.093) Panel D: Interaction Term
IAINDEX×REL(N) -0.014 -0.003 0.013 -0.018 -0.002 0.107* 0.009 -0.107 -0.078** 0.212***
(0.022) (0.012) (0.039) (0.025) (0.016) (0.059) (0.013) (0.088) (0.037) (0.031)
321
(Table H6 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics
LN(TOTALASSETS) 0.484*** 0.494***
(0.008) (0.011) PROFITABILITY -0.143** -0.187*** 0.076 0.087* -0.212*** -0.179* -0.092** 0.102 0.144*** -0.209***
(0.057) (0.039) (0.087) (0.049) (0.039) (0.098) (0.039) (0.122) (0.054) (0.040) LEVERAGE 0.194*** 0.620*** 0.137 -0.401*** -0.666*** 0.178 0.195*** 0.411*** -0.318*** -0.831***
(0.063) (0.041) (0.093) (0.051) (0.043) (0.126) (0.027) (0.143) (0.061) (0.058) M/B -0.017** -0.039*** 0.031** 0.001 0.022*** -0.060*** -0.010*** 0.028 -0.013 0.095***
(0.008) (0.006) (0.015) (0.010) (0.006) (0.022) (0.004) (0.034) (0.016) (0.013)
TANGIBILITY -0.094*** -0.014
(0.026) (0.018)
LN(1+COVERAGE) -0.104*** -0.201***
(0.011) (0.028)
CONCENTRATION 0.517*** 0.083***
(0.038) (0.031)
LN(ASSETMATURITY) 0.067*** 0.104***
(0.017) (0.037)
EARNINGSVARIANCE -2.571*** -1.484***
(0.250) (0.518)
TAX_ASSETS 4.760*** 5.531***
(0.535) (1.060)
322
(Table H6 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics (cont.)
REGULATED -0.270*** -1.158***
(0.072) (0.268)
CFVOLATILITY -0.634*** -0.335
(0.189) (0.227)
CURRENTRATIO -0.052*** -0.118***
(0.005) (0.008) Panel F: Lender Characteristic
TOPLENDERS -0.004 0.030** 0.173*** -0.108*** -0.109*** -0.236*** 0.01 -0.196*** -0.084*** 0.269***
(0.017) (0.012) (0.032) (0.020) (0.013) (0.044) (0.008) (0.064) (0.028) (0.023) Panel G: Other Loan Characteristics
SYNDICATION -0.111*** 0.061** 0.129* 0.351***
(0.039) (0.027) (0.075) (0.040)
FIRSTLOAN -0.009 -0.004 0.175*** -0.181*** -0.135*** 0.036 0.001 0.312*** -0.123*** -0.195***
(0.027) (0.020) (0.047) (0.031) (0.020) (0.063) (0.014) (0.095) (0.044) (0.030)
TRANCHE 0.081*** 0.125*
(0.020) (0.074)
LENDERNUMBER 0.028*** 0.016***
(0.001) (0.001) RECAPITALIZATION 0.003 -0.018 -0.140*** 0.244*** 0.178*** 0.145** -0.007 -0.041 0.244*** 0.036
(0.023) (0.015) (0.037) (0.021) (0.016) (0.056) (0.011) (0.085) (0.034) (0.031)
323
(Table H6 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel G: Other Loan Characteristics (cont.)
ACQUISITION 0.056* 0.017 -0.061 0.183*** -0.029 0.285*** 0.004 0.357*** 0.327*** -0.469***
(0.029) (0.019) (0.059) (0.028) (0.024) (0.067) (0.013) (0.099) (0.042) (0.035) OTHERPURPOSE -0.279*** -0.298*** -1.298*** 0.355*** 1.587*** 0.040 -0.006 0.907*** -0.311*** -0.997***
(0.051) (0.046) (0.059) (0.057) (0.028) (0.117) (0.022) (0.189) (0.099) (0.070) Panel H: Macroeconomic Factors
LIBOR -0.023*** -0.106***
(0.009) (0.024)
IRVOLATILITY 0.552 9.181***
(0.783) (1.773)
TERMPREMIUM -0.043** -0.245***
(0.020) (0.050) CREDITSPREAD 0.301*** 0.084*** -0.500*** 0.193*** 0.376*** 0.717*** -0.011 -1.182*** 0.367*** 1.424***
(0.030) (0.020) (0.035) (0.023) (0.019) (0.140) (0.023) (0.132) (0.067) (0.057)
Constant 1.593*** 0.799*** -1.447*** -2.065*** 1.379*** 2.454*** -2.073*** -6.231***
(0.107) (0.132) (0.077) (0.071) (0.359) (0.367) (0.185) (0.182) Observations 11,179 7,878 11,431 12,434 12,434 4,067 3,461 4,246 4,490 4,490
R2 0.539 0.299 0.841 0.231 0.188 0.855
AdjustedR2 0.538 0.298 0.841 0.227 0.185 0.854
Ȥ2 1604 4978 246.9 1578
PseudoR2 0.299 0.143 0.134 0.107
Note:The superscripts ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.
324
Table H7: Second stage regression results for RQ4 with lending relationships measured by REL(D)_3YEAR
This table documents the interaction effects of information asymmetries and lending relationship on loan terms with REL(D)_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(D)_3YEAR for revolving and term loan samples. Numbers in parentheses are standard errors corrected for heteroscedasticity.
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel A: Loan Terms
FittedCOLLATERAL 1.603*** 0.927*** 1.312*** -0.201*** 1.520*** 1.630*** 1.836*** -0.397***
(0.065) (0.111) (0.066) (0.048) (0.243) (0.326) (0.158) (0.111) FittedMATURITY -0.250*** -0.065*** 0.396*** 1.115*** -0.138** -0.005 0.143*** 1.273***
(0.032) (0.017) (0.021) (0.012) (0.070) (0.013) (0.036) (0.025) FittedCOVINDEX 0.117*** 0.108*** 0.414*** -0.286*** -0.019 0.024*** 0.098** 0.053***
(0.015) (0.012) (0.022) (0.013) (0.026) (0.005) (0.040) (0.013) FittedLN(FACSIZE) -0.069*** -0.123*** 0.398*** -0.096*** -0.070** -0.032*** 0.343*** 0.077***
(0.017) (0.007) (0.016) (0.014) (0.032) (0.004) (0.030) (0.018) Panel B: Information Asymmetry
IAINDEX 0.027* 0.084*** -0.117*** -0.034** 0.099*** 0.069** 0.013* 0.013 0.001 -0.012 (0.015) (0.010) (0.024) (0.016) (0.011) (0.033) (0.007) (0.052) (0.021) (0.018) Panel C: Lending Relationship
REL(D)_3YEAR -0.058 0.019 -0.345*** 0.063 0.408*** -0.454*** -0.049* 0.009 0.230** -0.006 (0.055) (0.043) (0.105) (0.068) (0.044) (0.140) (0.030) (0.226) (0.090) (0.086) Panel D: Interaction Term
IAINDEX×REL(D)_3YEAR -0.003 -0.005 0.048 -0.003 -0.044*** 0.114** 0.018 -0.087 -0.062** 0.120***
(0.019) (0.011) (0.034) (0.022) (0.014) (0.050) (0.012) (0.076) (0.031) (0.028)
325
(Table H7 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics
LN(TOTALASSETS) 0.473*** 0.485***
(0.008) (0.011) PROFITABILITY -0.141** -0.190*** 0.073 0.087* -0.210*** -0.180* -0.093** 0.105 0.146*** -0.210***
(0.057) (0.039) (0.087) (0.049) (0.039) (0.098) (0.039) (0.122) (0.054) (0.040) LEVERAGE 0.201*** 0.618*** 0.159* -0.408*** -0.685*** 0.186 0.198*** 0.429*** -0.322*** -0.845***
(0.063) (0.041) (0.093) (0.051) (0.042) (0.126) (0.027) (0.143) (0.061) (0.058) M/B -0.016** -0.040*** 0.032** 0.002 0.019*** -0.060*** -0.010*** 0.029 -0.012 0.093***
(0.008) (0.006) (0.015) (0.010) (0.006) (0.022) (0.004) (0.034) (0.016) (0.013)
TANGIBILITY -0.093*** -0.015
(0.026) (0.018)
LN(1+COVERAGE) -0.105*** -0.206***
(0.011) (0.029)
CONCENTRATION 0.515*** 0.081***
(0.038) (0.030)
LN(ASSETMATURITY) 0.067*** 0.104***
(0.017) (0.037)
EARNINGSVARIANCE -2.531*** -1.478***
(0.250) (0.516)
TAX_ASSETS 4.699*** 5.436***
(0.535) (1.064)
326
(Table H7 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics (cont.)
REGULATED -0.260*** -1.177***
(0.072) (0.266)
CFVOLATILITY -0.642*** -0.329
(0.189) (0.227)
CURRENTRATIO -0.050*** -0.116***
(0.005) (0.008) Panel F: Lender Characteristic
TOPLENDERS 0.001 0.025* 0.188*** -0.105*** -0.126*** -0.228*** 0.009 -0.183*** -0.078*** 0.254***
(0.017) (0.012) (0.032) (0.020) (0.013) (0.043) 0.008 (0.064) (0.028) (0.023) Panel G: Other Loan Characteristics
SYNDICATION -0.114*** 0.071*** 0.123 0.353***
(0.039) (0.027) (0.075) (0.040)
FIRSTLOAN -0.019 0.009 0.147*** -0.190*** -0.109*** 0.028 0.006 0.295*** -0.140*** -0.186***
(0.026) (0.019) (0.047) (0.031) (0.019) (0.063) (0.013) (0.095) (0.044) (0.030)
TRANCHE 0.082*** 0.130*
(0.021) (0.074)
LENDERNUMBER 0.028*** 0.017***
(0.001) (0.001) RECAPITALIZATION 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)
327
(Table H7 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel G: Other Loan Characteristics (cont.)
ACQUISITION 0.054* 0.020 -0.063 0.178*** -0.028 0.287*** 0.006 0.359*** 0.321*** -0.470***
(0.029) (0.019) (0.059) (0.028) (0.024) (0.067) (0.013) (0.098) (0.042) (0.035) OTHERPURPOSE -0.279*** -0.296*** -1.281*** 0.355*** 1.567*** 0.043 -0.004 0.907*** -0.321*** -1.002***
(0.051) (0.046) (0.059) (0.057) (0.028) (0.118) (0.022) (0.189) (0.099) (0.070) Panel H: Macroeconomic Factors
LIBOR -0.024*** -0.106***
(0.009) (0.024)
IRVOLATILITY 0.494 9.002***
(0.786) (1.773)
TERMPREMIUM -0.044** -0.244***
(0.020) (0.050) CREDITSPREAD 0.299*** 0.085*** -0.508*** 0.194*** 0.390*** 0.703*** -0.013 -1.202*** 0.372*** 1.452***
(0.030) (0.020) (0.035) (0.024) (0.019) (0.141) (0.023) (0.133) (0.068) (0.058)
Constant 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) Observations 11,179 7,878 11,431 12,434 12,434 4,067 3,461 4,246 4,490 4,490
R2 0.538 0.301 0.842 0.232 0.189 0.855
AdjustedR2 0.538 0.300 0.842 0.228 0.185 0.854
Ȥ2 1586 4980 246.9 1561
PseudoR2 0.298 0.143 0.133 0.107
Note:The superscripts ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.
328
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.
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel A: Loan Terms
FittedCOLLATERAL 1.606*** 0.933*** 1.312*** -0.192*** 1.539*** 1.635*** 1.826*** -0.405***
(0.065) (0.111) (0.066) (0.048) (0.245) (0.326) (0.157) (0.112) FittedMATURITY -0.247*** -0.067*** 0.395*** 1.113*** -0.132* -0.004 0.142*** 1.274***
(0.032) (0.017) (0.021) (0.012) (0.070) (0.013) (0.036) (0.024) FittedCOVINDEX 0.117*** 0.108*** 0.415*** -0.289*** -0.018 0.024*** 0.101** 0.052***
(0.015) (0.012) (0.022) (0.013) (0.027) (0.005) (0.040) (0.013) FittedLN(FACSIZE) -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) Panel B: Information Asymmetry
IAINDEX 0.026* 0.081*** -0.120*** -0.025 0.102*** 0.079** 0.015** 0.025 0.002 -0.033*
(0.014) (0.010) (0.024) (0.015) (0.011) (0.032) (0.006) (0.051) (0.020) (0.017) Panel C: Lending Relationship
REL(A)_3YEAR -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) Panel D: Interaction Term
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)
329
(Table H8 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics
LN(TOTALASSETS) 0.478*** 0.492***
(0.008) (0.011) PROFITABILITY -0.143** -0.190*** 0.072 0.089* -0.206*** -0.178* -0.093** 0.114 0.143*** -0.222***
(0.057) (0.039) (0.087) (0.049) (0.039) (0.098) (0.039) (0.123) (0.054) (0.040) LEVERAGE 0.196*** 0.620*** 0.145 -0.405*** -0.671*** 0.179 0.196*** 0.422*** -0.320*** -0.832***
(0.063) (0.041) (0.093) (0.051) (0.042) (0.126) (0.027) (0.143) (0.061) (0.058) M/B -0.016** -0.040*** 0.032** 0.001 0.019*** -0.060*** -0.010*** 0.029 -0.013 0.094***
(0.008) (0.006) (0.015) (0.010) (0.006) (0.022) (0.004) (0.034) (0.016) (0.013)
TANGIBILITY -0.093*** -0.014
(0.026) (0.018)
LN(1+COVERAGE) -0.105*** -0.205***
(0.011) (0.029)
CONCENTRATION 0.516*** 0.082***
(0.038) (0.031)
LN(ASSETMATURITY) 0.067*** 0.104***
(0.017) (0.037)
EARNINGSVARIANCE -2.550*** -1.467***
(0.250) (0.516)
TAX_ASSETS 4.737*** 5.487***
(0.535) (1.062)
330
(Table H8 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics (cont.)
REGULATED -0.271*** -1.167***
(0.072) (0.267)
CFVOLATILITY -0.642*** -0.331
(0.189) (0.227)
CURRENTRATIO -0.051*** -0.116***
(0.005) (0.008) Panel F: Lender Characteristic
TOPLENDERS 0.001 0.026** 0.185*** -0.108*** -0.125*** -0.232*** 0.009 -0.179*** -0.087*** 0.252***
(0.017) (0.012) (0.032) (0.020) (0.013) (0.044) (0.008) (0.064) (0.028) (0.023) Panel G: Other Loan Characteristics
SYNDICATION -0.115*** 0.072*** 0.125* 0.354***
(0.039) (0.027) (0.075) (0.040)
FIRSTLOAN -0.017 0.006 0.161*** -0.188*** -0.122*** 0.037 0.006 0.295*** -0.127*** -0.190***
(0.026) (0.019) (0.046) (0.031) (0.019) (0.062) (0.013) (0.095) (0.044) (0.030)
TRANCHE 0.081*** 0.126*
(0.020) (0.074)
LENDERNUMBER 0.028*** 0.016***
(0.001) (0.001) RECAPITALIZATION 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)
331
(Table H8 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel G: Other Loan Characteristics (cont.)
ACQUISITION 0.053* 0.020 -0.063 0.180*** -0.025 0.286*** 0.006 0.353*** 0.323*** -0.463***
(0.029) (0.019) (0.059) (0.028) (0.024) (0.067) (0.013) (0.099) (0.042) (0.035) OTHERPURPOSE -0.276*** -0.297*** -1.285*** 0.353*** 1.569*** 0.042 -0.004 0.908*** -0.317*** -1.004***
(0.050) (0.046) (0.059) (0.057) (0.028) (0.117) (0.022) (0.189) (0.099) (0.070) Panel H: Macroeconomic Factors
LIBOR -0.023*** -0.108***
(0.009) (0.024)
IRVOLATILITY 0.521 9.183***
(0.784) (1.774)
TERMPREMIUM -0.043** -0.249***
(0.020) (0.050) CREDITSPREAD 0.299*** 0.085*** -0.505*** 0.194*** 0.385*** 0.713*** -0.011 -1.199*** 0.376*** 1.445***
(0.030) (0.020) (0.035) (0.024) (0.019) (0.141) (0.023) (0.133) (0.068) (0.058)
Constant 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) Observations 11,179 7,878 11,431 12,434 12,434 4,067 3,461 4,246 4,490 4,490
R2 0.539 0.300 0.842 0.230 0.189 0.855
AdjustedR2 0.538 0.299 0.842 0.226 0.185 0.854
Ȥ2 1591 4973 245.9 1584
PseudoR2 0.298 0.143 0.132 0.107
Note:The superscripts ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.
332
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.
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel A: Loan Terms
FittedCOLLATERAL 1.606*** 0.936*** 1.311*** -0.196*** 1.539*** 1.640*** 1.834*** -0.391***
(0.066) (0.111) (0.066) (0.048) (0.245) (0.326) (0.157) (0.112) FittedMATURITY -0.247*** -0.066*** 0.395*** 1.113*** -0.134* -0.004 0.142*** 1.274***
(0.032) (0.017) (0.021) (0.012) (0.070) (0.013) (0.036) (0.025) FittedCOVINDEX 0.117*** 0.108*** 0.415*** -0.287*** -0.018 0.024*** 0.101** 0.053***
(0.015) (0.012) (0.022) (0.013) (0.027) (0.005) (0.040) (0.013) FittedLN(FACSIZE) -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) Panel B: Information Asymmetry
IAINDEX 0.025* 0.084*** -0.117*** -0.029* 0.098*** 0.075** 0.016** 0.019 0.002 -0.034**
(0.014) (0.010) (0.024) (0.015) (0.011) (0.032) (0.006) (0.051) (0.020) (0.017) Panel C: Lending Relationship
REL(N)_3YEAR -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) Panel D: Interaction Term
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)
333
(Table H9 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics
LN(TOTALASSETS) 0.480*** 0.492***
(0.008) (0.011) PROFITABILITY -0.143** -0.189*** 0.075 0.087* -0.211*** -0.178* -0.092** 0.115 0.142*** -0.223***
(0.057) (0.039) (0.087) (0.049) (0.039) (0.098) (0.039) (0.123) (0.054) (0.040) LEVERAGE 0.196*** 0.619*** 0.144 -0.404*** -0.669*** 0.181 0.196*** 0.420*** -0.322*** -0.835***
(0.063) (0.041) (0.093) (0.051) (0.043) (0.126) (0.027) (0.143) (0.061) (0.058) M/B -0.016** -0.040*** 0.032** 0.001 0.020*** -0.060*** -0.010*** 0.029 -0.012 0.094***
(0.008) (0.006) (0.015) (0.010) (0.006) (0.022) (0.004) (0.034) (0.016) (0.013)
TANGIBILITY -0.093*** -0.014
(0.026) (0.018)
LN(1+COVERAGE) -0.104*** -0.204***
(0.011) (0.029)
CONCENTRATION 0.516*** 0.082***
(0.038) (0.031)
LN(ASSETMATURITY) 0.067*** 0.103***
(0.017) (0.037)
EARNINGSVARIANCE -2.553*** -1.471***
(0.250) (0.516)
TAX_ASSETS 4.747*** 5.508***
(0.535) (1.061)
334
(Table H9 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel E: Other Borrower Characteristics (cont.)
REGULATED -0.271*** -1.168***
(0.072) (0.267)
CFVOLATILITY -0.641*** -0.339
(0.189) (0.227)
CURRENTRATIO -0.051*** -0.116***
(0.005) (0.008) Panel F: Lender Characteristic
TOPLENDERS 0.001 0.026** 0.183*** -0.107*** -0.120*** -0.232*** 0.009 -0.178*** -0.086*** 0.254***
(0.017) (0.012) (0.032) (0.020) (0.013) (0.044) (0.008) (0.064) (0.028) (0.023) Panel G: Other Loan Characteristics
SYNDICATION -0.115*** 0.069*** 0.125* 0.351***
(0.039) (0.027) (0.075) (0.040)
FIRSTLOAN -0.016 (0.006) 0.166*** -0.189*** -0.131*** 0.039 0.006 0.293*** -0.128*** -0.191***
(0.026) 0.019 (0.046) (0.031) (0.019) (0.062) (0.013) (0.094) (0.044) (0.030)
TRANCHE 0.081*** 0.127*
(0.020) (0.074)
LENDERNUMBER 0.028*** 0.016***
(0.001) (0.001) RECAPITALIZATION 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)
335
(Table H9 continued)
VARIABLES
Revolving Loans Term Loans
(1) (2) (3) (4) (5) (6) (7) (8) (9) (10)
AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) AISD COLLATERAL MATURITY COVINDEX LN(FACSIZE) Panel G: Other Loan Characteristics (cont.)
ACQUISITION 0.053* 0.020 -0.063 0.179*** -0.027 0.286*** 0.006 0.351*** 0.323*** -0.465***
(0.029) (0.019) (0.059) (0.028) (0.024) (0.067) 0.013 (0.099) (0.042) (0.035) OTHERPURPOSE -0.275*** -0.297*** -1.286*** 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) Panel H: Macroeconomic Factors
LIBOR -0.023*** -0.108***
(0.009) (0.024)
IRVOLATILITY 0.527 9.143***
(0.783) (1.775)
TERMPREMIUM -0.043** -0.247***
(0.020) (0.050) CREDITSPREAD 0.299*** 0.085*** -0.504*** 0.194*** 0.383*** 0.710*** -0.012 -1.201*** 0.375*** 1.446***
(0.030) (0.020) (0.035) (0.024) (0.019) (0.141) (0.023) (0.133) (0.068) (0.058) Constant 1.621*** 0.839*** -1.437*** -2.090*** 1.452*** 2.486*** -2.080*** -6.240***
(0.108) (0.130) (0.076) (0.071) (0.359) (0.364) (0.184) (0.181) Observations 11,179 7,878 11,431 12,434 12,434 4,067 3,461 4,246 4,490 4,490
R2 0.539 0.300 0.842 0.230 0.189 0.855
AdjustedR2 0.538 0.299 0.842 0.226 0.185 0.854
Ȥ2 1589 4976 245.8 1584
PseudoR2 0.298 0.143 0.132 0.108
Note:The superscripts ***, **, and * indicate statistical significance at the 1%, 5%, and 10% levels, respectively.
336