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UBC Theses and Dissertations
Dynamic capital structure and partial adjustment frameworks Mueller, Michael J.
Abstract
I compare ordinary least squares and the Kalman filter as possible estimation tools for partial adjustment models of dynamic capital structure. I find that the latter is more suited, as it can handle forms of endogeneity and measurement error. While the firms in my sample adjust their capital structure at different rates, I do not find any evidence that this adjustment is made according to a time-varying target. Furthermore, I construct a simple theoretical dynamic model with fixed capital adjustment costs. By investigating time series generated by this model, I conclude that partial adjustment frameworks may be inadequate for estimation. When fixed costs are present, estimates of a firm's speed of capital adjustment are biased.
Item Metadata
Title |
Dynamic capital structure and partial adjustment frameworks
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Creator | |
Publisher |
University of British Columbia
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Date Issued |
2005
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Description |
I compare ordinary least squares and the Kalman filter as possible estimation tools
for partial adjustment models of dynamic capital structure. I find that the latter is
more suited, as it can handle forms of endogeneity and measurement error. While the
firms in my sample adjust their capital structure at different rates, I do not find any
evidence that this adjustment is made according to a time-varying target. Furthermore,
I construct a simple theoretical dynamic model with fixed capital adjustment costs. By
investigating time series generated by this model, I conclude that partial adjustment
frameworks may be inadequate for estimation. When fixed costs are present, estimates
of a firm's speed of capital adjustment are biased.
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Genre | |
Type | |
Language |
eng
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Date Available |
2009-12-23
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Provider |
Vancouver : University of British Columbia Library
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Rights |
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.
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DOI |
10.14288/1.0092429
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URI | |
Degree | |
Program | |
Affiliation | |
Degree Grantor |
University of British Columbia
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Graduation Date |
2005-11
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Campus | |
Scholarly Level |
Graduate
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Aggregated Source Repository |
DSpace
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Item Media
Item Citations and Data
Rights
For non-commercial purposes only, such as research, private study and education. Additional conditions apply, see Terms of Use https://open.library.ubc.ca/terms_of_use.