投資人情緒與舉債決策、債務期限之關係

Exploring the Effect of Investor Sentiments on Debt Issuance and Maturity

本文探討投資人情緒對於公司舉債決策與債務期限之影響，以2000 年至2019 年美國上市公司為研究對象，從全樣本和配對樣本的實證結果皆發現，投資人情緒與舉債決策雖呈現負向關係但未達任何統計顯著水準，投資人情緒（變動量）對於有發債樣本的舉債金額（變動量）也無法呈現一致的顯著影響力，故本文假說一「投資人情緒對於公司舉債決策存在明顯關係」似乎不成立。然而，若進一步觀察市場不確定性對於公司舉債決策的影響，不管是過去6 個月或過去12 個月的情緒指標波動度或以經濟不確定性指標來衡量市場不確定性，對於發債機率都有正面影響。當市場不確定性越高時，管理者發債的機率較高，此符合Du and Hu (2020) 基於Arif and Lee (2014) 的管理者期望偏誤假說 (“Expectation Bias” Hypothesis) 的發現；另外我們也發現，當市場不確定性越高時，公司可能改採現金增資的方式籌措資金而傾向減少舉債金額並改善財務槓桿。最後，本文使用分量迴歸探討投資人情緒和債務期限的關係，結果發現在債務期限的前中後三個分量下，投資人情緒與債務期限都呈現顯著負向關係，假說二「投資人情緒對於債務期限存在負向關係」成立。

This paper investigates the effect of investor sentiment on corporate debt-financing decisions and debt maturity using the data on US-listed firms from 2000 to 2019. Based on the empirical results, we find that investor sentiment has a negative but nonsignificant relationship with the probability of debt financing. Furthermore, investor sentiment (change) does not show a consistent and significant effect on the debt size (change) for firms issuing debts. However, market uncertainty has a positive effect on corporate debt-financing decisions. In addition, we find that when market uncertainty is high, firms may tend to raise capital from equity markets and reduce debt size, which improves their financial leverage. Furthermore, we find a significant negative relationship between investor sentiment and debt maturity for the 0.1, 0.5, and 0.7 quantiles of debt maturity.