Determinantes da Estrutura de Capital das Empresas Brasileiras: uma abordagem em regressão quantílica

Guilherme Oliveira, Benjamin Tabak, José Resende and Daniel Cajueiro

No 272, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This work examines the determinants of the capital structure of Brazilian companies between the years 2000 and 2009. Based on quantile regression model and on the comparison with conventional models (least squares and fixed effects), the work provides better understanding of capital structure to reveal the available information on quantiles. This was not observed in Brazilian previous studies that analyzed only the general trend of the determinant's parameters. According to the results, we conclude that there exists a significant statistical influence of the quantile on the estimated coefficients, i.e., the effects of the determinants change depending on the quantile. This can be theoretically justified by bankruptcy and agency costs relative to the leverage of firms, hence, relative to each quantile. Therefore, the predicted effects of main theories of capital structure, pecking order and trade-off, apply, depending on the determinant, type of debt and quantile analyzed. Nevertheless the results of the variables size and profitability show that the pecking order becomes stronger as the quantile increases.

Date: 2012-03
New Economics Papers: this item is included in nep-lam
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