1 Introduction
2 Related Literature
3 Propensity Score Matching
4 The German SME Bond Market, Data and Matching Process
4.1 German SME Bond Market and Environment
4.2 Data
X
|
Description
|
Calculated As
|
AST
| Asset Tangibility |
\(\frac{\textit{Fixed Assets}}{\textit{Total Assets}}\)
|
LEV
| Leverage |
\(\frac{\textit{Equity}}{\textit{Debt}}\)
|
LIQ
| Liquidity |
\(\frac{\textit{Current Assets}}{\textit{Short-Term Debt}}\)
|
TPR
| Total Profitability |
\(\frac{\textit{Net Income+Interest}}{\textit{Total Assets}}\)
|
SIZ
| Size |
\(\log(\textit{Total Assets-Intangibles})\)
|
SOL
| Solvency |
\(\frac{\textit{EBIT}}{\textit{Interest}}\)
|
STO
| Sales Turnover |
\(\frac{\textit{Sales}}{\textit{Total Assets}}\)
|
Y
|
Description
|
Calculated As
|
TPR
| Total Profitability |
\(\frac{\textit{Net Income+Interest}}{\textit{Total Assets}}\)
|
ROA
| Return on Assets |
\(\frac{\textit{Net Income}}{\textit{Total Assets}}\)
|
STO
| Sales Turnover |
\(\frac{\textit{Sales}}{\textit{Total Assets}}\)
|
OPM
| Operating Profit Margin |
\(\frac{\textit{EBIT}}{\textit{Sales}}\)
|
INT
| Inverse Interest Coverage |
\(\frac{\textit{Interest}}{\textit{EBIT}}\)
|
TXE
| Taxes and Extraordinary Items |
\(\frac{\textit{Taxes \& Extraordinary}}{\textit{EBT}}\)
|
4.3 Propensity Score Matching Process
SIZ
|
LIQ
|
LEV
|
SOL
|
TPR
|
STO
|
AST
| |
---|---|---|---|---|---|---|---|
Predictor Importance | 1.208 | 2.478 | 2.178 | 1.839 | 1.904 | 0.489 | 0.320 |
Descriptive | Sample |
SIZ
t–1
|
LIQ
t–1
|
LEV
t–1
|
SOL
t–1
|
TPR
t–1
|
STO
t–1
|
AST
t–1
|
---|---|---|---|---|---|---|---|---|
Mean | Issuer Matched | 18.16 | 148.37 | 0.42 | 24.74 | 7.34 | 1.52 | 37.39 |
Non-Issuer Matched | 17.67 | 138.53 | 0.48 | 23.18 | 7.04 | 1.60 | 37.52 | |
Std. Dev. | Issuer Matched | 1.11 | 88.11 | 0.60 | 142.91 | 6.97 | 1.00 | 24.10 |
Non-Issuer Matched | 0.83 | 41.69 | 0.28 | 56.92 | 3.17 | 0.61 | 17.70 | |
Skewness | Issuer Matched | -0.01 | 2.01 | 4.18 | 7.22 | 1.36 | 0.36 | 0.30 |
Non-Issuer Matched | 0.37 | 0.46 | 0.80 | 4.78 | 0.45 | 0.62 | 0.61 | |
Kurtosis | Issuer Matched | 2.62 | 7.50 | 23.67 | 53.97 | 6.20 | 2.33 | 2.50 |
Non-Issuer Matched | 2.47 | 3.56 | 2.47 | 26.79 | 3.07 | 4.24 | 3.30 | |
Minimum | Issuer Matched | 15.42 | 38.74 | 0.01 | −1.78 | −7.74 | 0.11 | 0.97 |
Non-Issuer Matched | 16.10 | 39.59 | 0.02 | -0.10 | 0.95 | 0.38 | 6.03 | |
Lower Quartile | Issuer Matched | 17.42 | 97.80 | 0.14 | 1.35 | 4.00 | 0.63 | 19.17 |
Non-Issuer Matched | 17.01 | 106.26 | 0.28 | 2.79 | 4.68 | 1.14 | 25.21 | |
Median
|
Issuer Matched
|
18.15
|
126.34
|
0.32
|
2.12
|
6.29
|
1.37
|
39.01
|
Non-Issuer Matched
|
17.54
|
137.77
|
0.39
|
5.91
|
7.09
|
1.58
|
35.73
| |
Upper Quartile | Issuer Matched | 18.90 | 168.84 | 0.48 | 5.03 | 8.73 | 2.39 | 50.50 |
Non-Issuer Matched | 18.22 | 163.30 | 0.60 | 18.51 | 9.37 | 2.01 | 47.43 | |
Maximum | Issuer Matched | 20.47 | 479.95 | 3.95 | 1084.39 | 30.74 | 3.85 | 91.96 |
Non-Issuer Matched | 19.74 | 259.59 | 1.09 | 364.35 | 16.78 | 3.71 | 87.21 | |
Mean | Issuer Total | 18.34 | 152.47 | 0.40 | 5.86 | 6.88 | 1.47 | 37.75 |
Non-Issuer Total | 16.97 | 149.39 | 1.09 | −2564.60 | 7.22 | 2.06 | 40.93 | |
Std. Dev. | Issuer Total | 1.35 | 125.39 | 0.58 | 19.02 | 9.14 | 1.00 | 23.85 |
Non-Issuer Total | 1.50 | 90.96 | 2.90 | 52256.46 | 9.38 | 1.85 | 28.96 | |
Skewness | Issuer Total | 0.72 | 4.27 | 4.29 | 6.97 | -0.92 | 0.40 | 0.29 |
Non-Issuer Total | 0.59 | 1.61 | 12.79 | −18.04 | -0.50 | 2.97 | 0.44 | |
Kurtosis | Issuer Total | 3.84 | 25.69 | 24.98 | 52.24 | 13.50 | 2.38 | 2.52 |
Non-Issuer Total | 4.46 | 6.14 | 199.88 | 328.58 | 10.99 | 18.15 | 1.99 | |
Minimum | Issuer Total | 15.42 | 38.74 | 0.00 | −1.78 | −38.33 | 0.01 | 0.15 |
Non-Issuer Total | 13.11 | 6.94 | 0.00 | −952254.44 | −46.06 | 0.03 | 0.16 | |
Lower Quartile | Issuer Total | 17.43 | 93.99 | 0.14 | 1.21 | 4.00 | 0.51 | 19.21 |
Non-Issuer Total | 16.04 | 94.36 | 0.26 | 1.73 | 2.82 | 0.87 | 15.53 | |
Median
|
Issuer Total
|
18.26
|
124.24
|
0.32
|
2.05
|
6.36
|
1.33
|
39.01
|
Non-Issuer Total
|
16.86
|
125.72
|
0.51
|
4.00
|
5.60
|
1.70
|
35.37
| |
Upper Quartile | Issuer Total | 18.92 | 162.90 | 0.45 | 4.59 | 9.10 | 2.38 | 50.50 |
Non-Issuer Total | 17.84 | 185.96 | 1.10 | 14.91 | 10.96 | 2.70 | 63.55 | |
Maximum | Issuer Total | 22.06 | 931.59 | 3.95 | 147.59 | 38.28 | 3.85 | 91.96 |
Non-Issuer Total | 22.73 | 555.88 | 47.61 | 67807.75 | 43.88 | 16.45 | 99.27 |
p-Value from |
SIZ
t–1
|
LIQ
t–1
|
LEV
t–1
|
SOL
t–1
|
TPR
t–1
|
STO
t–1
|
AST
t–1
| |
---|---|---|---|---|---|---|---|---|
Test for Difference in Matched Sample … | ||||||||
Mean | t-Test | 0.058* | 0.067* | 0.946 | 0.374 | 0.500 | 0.626 | 0.069* |
Medians
|
Wilcoxon Test
|
0.058*
|
0.113
|
0.244
|
0.113
|
0.747
|
0.386
|
0.043**
|
Variances | F-Test | 0.029** | 0.000*** | 0.000*** | 0.000*** | 0.000*** | 0.002*** | 0.048** |
Distributions | Kolmogorov-Smirnov-Test | 0.047** | 0.126 | 0.078* | 0.196 | 0.735 | 0.196 | 0.047** |
Std. Differences | 0.366 | 0.354 | 0.013 | 0.171 | 0.129 | 0.093 | 0.350 | |
Test for Difference in Total Sample … | ||||||||
Means | t-Test | 0.000*** | 0.854 | 0.000*** | 0.369 | 0.789 | 0.000*** | 0.354 |
Medians
|
Wilcoxon Test
|
0.000***
|
0.845
|
0.000***
|
0.000***
|
0.626
|
0.029**
|
0.647
|
Variances | F-Test | 0.314 | 0.000*** | 0.000*** | 0.000*** | 0.829 | 0.000*** | 0.066* |
Distributions | Kolmogorov-Smirnov-Test | 0.000*** | 0.421 | 0.000*** | 0.001*** | 0.119 | 0.134 | 0.275 |
Std. Differences | 0.959 | 0.028 | 0.329 | 0.070 | 0.037 | 0.396 | 0.120 |
5 Results
5.1 Propensity Score Matching Results
Value |
TPR
t0
|
TPR
t1
|
ROA
t0
|
ROA
t1
|
STO
t0
|
STO
t1
|
OPM
t0
|
OPM
t1
|
INT
t0
|
INT
t1
|
TXE
t0
|
TXE
t1
| |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Test for Differences in | |||||||||||||
Mean | Difference in Means | −0.012 | −0.032*** | −0.021** | −0.050*** | −0.477*** | −0.332** | 0.003 | −0.009 | 0.105 | 0.236 | 0.155 | −0.081 |
t-Test p-Value | (0.211) | (0.005) | (0.028) | (0.000) | (0.001) | (0.029) | (0.850) | (0.605) | (0.357) | (0.111) | (0.185) | (0.614) | |
Median
|
Difference in Medians
|
−0.011
|
−0.027***
|
−0.025***
|
−0.044***
|
−0.591***
|
−0.452**
|
−0.008
|
−0.014*
|
0.071
|
0.210
|
0.080
|
−0.035
|
Wilcoxon Test
\(\boldsymbol{p}\)
-Value
|
(0.124)
|
(0.002)
|
(0.008)
|
(0.000)
|
(0.001)
|
(0.011)
|
(0.266)
|
(0.057)
|
(0.258)
|
(0.104)
|
(0.447)
|
(0.986)
| |
Variance | Difference in Variances | 0.013** | 0.041*** | 0.012* | 0.041*** | 0.088 | 0.243** | 0.057*** | 0.060*** | 0.405*** | 0.746*** | 0.330*** | 0.486*** |
F-test p-Value | (0.050) | (0.000) | (0.069) | (0.000) | (0.377) | (0.022) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | (0.000) | |
Distribution | KS-Test statistic | 0.002 | 0.003*** | 0.345*** | 0.509*** | 0.339*** | 0.255** | 0.208 | 0.309*** | 0.244* | 0.345*** | 0.150 | 0.182 |
KS-Test p-Value | (0.293) | (0.008) | (0.002) | (0.000) | (0.003) | (0.047) | (0.167) | (0.008) | (0.065) | (0.002) | (0.539) | (0.293) |
Value |
\(\Delta\) Total Assets \(t_{-1},t_{0}\)
|
\(\Delta\) Total Assets \(t_{0},t_{1}\)
|
\(\Delta\) Total Profits \(t_{0},t_{1}\)
|
\(\Delta\) Net Income \(t_{0},t_{1}\)
|
\(\Delta\) Sales \(t_{0},t_{1}\)
|
\(\Delta\) EBIT \(t_{0},t_{1}\)
|
\(\Delta\) Interest \(t_{0},t_{1}\)
|
\(\Delta\) Taxes & Extraord. \(t_{0},t_{1}\)
|
\(\Delta\) Cashflow \(t_{0},t_{1}\)
| |
---|---|---|---|---|---|---|---|---|---|---|
Test for Differences in | ||||||||||
Mean | Difference in Means | 0.01*** | 0.00 | −0.26 | −0.81** | 0.08** | −0.17 | 0.49*** | 0.05 | −0.52* |
t-Test p-Value | (0.00) | (0.58) | (0.51) | (0.03) | (0.03) | (0.62) | (0.00) | (0.95) | (0.08) | |
Median
|
Difference in Medians
|
0.01***
|
0.00
|
−0.65*
|
−0.68**
|
0.06**
|
−0.37**
|
0.33***
|
−0.13
|
−0.64***
|
Wilcoxon Test
\(\boldsymbol{p}\)
-Value
|
(0.00)
|
(0.27)
|
(0.06)
|
(0.04)
|
(0.04)
|
(0.05)
|
(0.00)
|
(0.69)
|
(0.00)
| |
Variance | Difference in Variances | 0.01*** | 0.00*** | 1.66*** | 1.59*** | 0.17*** | 1.42*** | 0.52*** | 2.43*** | 1.20*** |
F-test p-Value | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | (0.00) | |
Distribution | KS-Test statistic | 0.65*** | 0.24* | 0.35*** | 0.40*** | 0.36*** | 0.32*** | 0.56*** | 0.18 | 0.42*** |
KS-Test p-Value | (0.00) | (0.08) | (0.00) | (0.00) | (0.00) | (0.01) | (0.00) | (0.29) | (0.00) |
5.2 Separating Issuers by Use of Bond Proceeds
Test for Differences in | Value |
TPR
t0
|
TPR
t1
|
ROA
t0
|
ROA
t1
|
STO
t0
|
STO
t1
|
OPM
t0
|
OPM
t1
|
INT
t0
|
INT
t1
|
TXE
t0
|
TXE
t1
|
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT PANEL | |||||||||||||
Mean | Difference in Means | −0.02 | −0.04*** | −0.03** | −0.06*** | −0.91*** | −0.80*** | 0.05** | 0.00 | 0.18* | 0.38** | 0.01 | −0.03 |
t-Test p-Value | (0.28) | (0.01) | (0.05) | (0.00) | (0.00) | (0.00) | (0.05) | (0.99) | (0.08) | (0.04) | (0.97) | (0.85) | |
Median
|
Difference in Medians
|
−0.01
|
−0.03***
|
−0.03**
|
−0.06***
|
−1.04***
|
−0.77***
|
0.02
|
−0.02
|
0.04*
|
0.20**
|
0.01
|
0.14
|
Wilcoxon Test
\(\boldsymbol{p}\)
-Value
|
(0.39)
|
(0.00)
|
(0.04)
|
(0.00)
|
(0.00)
|
(0.00)
|
(0.33)
|
(0.12)
|
(0.09)
|
(0.05)
|
(0.78)
|
(0.53)
| |
REFINANCING PANEL | |||||||||||||
Mean | Difference in Means | −0.03*** | −0.03** | −0.05*** | −0.06*** | −0.96*** | −0.70** | −0.02 | 0.00 | 0.06 | 0.24 | 0.21 | 0.20 |
t-Test p-Value | (0.01) | (0.05) | (0.00) | (0.00) | (0.00) | (0.02) | (0.27) | (0.93) | (0.74) | (0.23) | (0.30) | (0.43) | |
Median
|
Difference in Medians
|
−0.04**
|
−0.03*
|
−0.05***
|
−0.05***
|
−0.95***
|
−0.32*
|
−0.02
|
−0.02
|
0.19
|
0.29**
|
0.05
|
0.08
|
Wilcoxon Test
\(\boldsymbol{p}\)
-Value
|
(0.03)
|
(0.07)
|
(0.00)
|
(0.00)
|
(0.01)
|
(0.06)
|
(0.13)
|
(0.40)
|
(0.27)
|
(0.04)
|
(0.85)
|
(0.66)
|
Test for Differences in | Value |
\(\Delta\) Total Assets \(t_{-1},t_{0}\)
|
\(\Delta\) Total Assets \(t_{0},t_{1}\)
|
\(\Delta\) Total Profits \(t_{0},t_{1}\)
|
\(\Delta\) Net Income \(t_{0},t_{1}\)
|
\(\Delta\) Sales \(t_{0},t_{1}\)
|
\(\Delta\) EBIT \(t_{0},t_{1}\)
|
\(\Delta\) Interest \(t_{0},t_{1}\)
|
\(\Delta\) Taxes & Extraord. \(t_{0},t_{1}\)
|
\(\Delta\) Cashflow \(t_{0},t_{1}\)
|
---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT PANEL | ||||||||||
Mean | Difference in Means | 0.01*** | 0.00 | −0.41 | −0.68 | 0.07 | −0.76** | 0.81*** | −0.18 | −0.78*** |
t-Test p-Value | (0.00) | (0.38) | (0.29) | (0.28) | (0.18) | (0.03) | (0.00) | (0.82) | (0.01) | |
Median
|
Difference in Medians
|
0.01***
|
0.00
|
−0.56*
|
−1.08*
|
0.05
|
−0.49***
|
0.36***
|
0.28
|
−1.12***
|
Wilcoxon Test
\(\boldsymbol{p}\)
-Value
|
(0.00)
|
(0.45)
|
(0.08)
|
(0.07)
|
(0.22)
|
(0.01)
|
(0.00)
|
(0.98)
|
(0.00)
| |
REFINANCING PANEL | ||||||||||
Mean | Difference in Means | 0.01** | 0.00 | 0.03 | −1.02** | 0.08 | 0.73 | 0.14 | 2.98 | −0.53 |
t-Test p-Value | (0.01) | (0.90) | (0.96) | (0.05) | (0.11) | (0.14) | (0.48) | (0.12) | (0.26) | |
Median
|
Difference in Medians
|
0.01**
|
0.00
|
−0.62
|
−0.55
|
0.10*
|
0.10
|
0.16
|
0.08
|
−0.62
|
Wilcoxon Test
\(\boldsymbol{p}\)
-Value
|
(0.01)
|
(0.71)
|
(0.19)
|
(0.16)
|
(0.08)
|
(0.72)
|
(0.12)
|
(0.37)
|
(0.12)
|
5.3 Sensitivity and Robustness
5.3.1 Robustness I: Linear Regression
Ind.Var. |
TPR
t0
|
TPR
t1
|
ROA
t0
|
ROA
t1
|
STO
t0
|
STO
t1
|
OPM
t0
|
OPM
t1
|
INT
t0
|
INT
t1
|
TXE
t0
|
TXE
t1
|
---|---|---|---|---|---|---|---|---|---|---|---|---|
T
|
−0.02**
|
−0.04***
|
−0.04***
|
−0.06***
|
−0.40**
|
−0.31**
|
−0.02*
|
0.00*
|
0.23*
|
0.49***
|
0.20
|
0.02
|
SIZ
| −3.45* | −1.94 | −0.02 | −0.01 | 0.15 | 0.22 | 0.03** | 0.02* | −0.13 | −0.04 | 0.05 | 0.05 |
LIQ
| 0.10 | 0.17 | 0.00 | 0.00 | −0.21*** | −0.21*** | 0.02*** | 0.02*** | 0.11*** | 0.07* | 0.05 | −0.01 |
LEV
| −0.42*** | −0.42*** | 0.00 | 0.00 | −0.06*** | −0.06*** | −0.02*** | −0.02*** | −0.13*** | −0.11*** | −0.07** | −0.05* |
SOL
| 0.02*** | 0.01** | 0.00*** | 0.00*** | 0.00** | 0.00* | 0.00*** | 0.00*** | 0.00*** | 0.00** | 0.00 | 0.00 |
TPR
| 0.62*** | 0.55*** | 0.01*** | 0.01*** | −0.01*** | −0.01*** | 0.00*** | 0.00*** | 0.00 | 0.00 | 0.00* | 0.00 |
STO
| −0.03 | −0.21 | 0.00 | 0.00 | 1.41*** | 1.36*** | −0.03*** | −0.03*** | −0.06*** | −0.07*** | −0.05* | −0.07** |
ACT
| 0.00 | 0.00 | 0.00*** | 0.00* | 0.00** | 0.00** | 0.00*** | 0.00*** | 0.00*** | 0.00 | 0.00 | 0.00 |
Year-Dummy | ||||||||||||
Sector-Dummy | ||||||||||||
Intercept | −0.22 | −10.26 | −0.02 | −0.12 | 3.20** | 3.00** | −0.11 | −0.61*** | 0.26 | −1.08 | −4.92*** | 0.16 |
\(R^{2}\)
| 0.47 | 0.34 | 0.47 | 0.34 | 0.68 | 0.67 | 0.34 | 0.30 | 0.04 | 0.04 | 0.01 | 0.01 |
Adj. \(R^{2}\)
| 0.46 | 0.34 | 0.47 | 0.34 | 0.68 | 0.67 | 0.34 | 0.29 | 0.04 | 0.03 | 0.01 | 0.00 |
F-test p-value | 0.00*** | 0.00*** | 0.00*** | 0.00*** | 0.00*** | 0.00*** | 0.00*** | 0.00*** | 0.00*** | 0.00*** | 0.00*** | 0.00** |
Test for Differences in | Value |
TPR
0
|
TPR
1
|
ROA
0
|
ROA
1
|
STO
0
|
STO
1
|
OPM
0
|
OPM
1
|
INT
0
|
INT
1
|
TXE
0
|
TXE
1
|
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mean | Difference in Means | −0.006 | −0.042** | −0.025*** | −0.048*** | −0.382*** | −0.326** | −0.005 | −0.006 | 0.252 | 0.364 | 0.090 | 0.092 |
t-Test p-Value | (0.867) | (0.011) | (0.009) | (0.000) | (0.004) | (0.018) | (0.824) | (0.790) | (0.258) | (0.158) | (0.704) | (0.655) | |
Median
|
Difference in Medians
|
0.000
|
−0.019**
|
−0.020***
|
−0.029***
|
−0.448***
|
−0.212**
|
−0.023
|
−0.020*
|
0.112
|
0.212*
|
−0.099
|
0.033
|
Wilcoxon Test
\(\boldsymbol{p}\)
-Value
|
(0.779)
|
(0.020)
|
(0.009)
|
(0.000)
|
(0.005)
|
(0.013)
|
(0.198)
|
(0.093)
|
(0.145)
|
(0.094)
|
(0.170)
|
(0.769)
|
5.3.2 Robustness II: Matching on \(t_{-2}\) and \(t_{-1}\)
5.3.3 Robustness III: Different Propensity Score Model Configurations
Configuration |
TPR
t0
|
TPR
t1
|
ROA
t0
|
ROA
t1
|
STO
t0
|
STO
t1
|
OPM
t0
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OPM
t1
|
INT
t0
|
INT
t1
|
TXE
t0
|
TXE
t1
| |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Logit, Density CS Check on \(\widehat{P}(X)\), Greedy 1:1 Matching, Fixed Caliper (0.02) | −0.031 | −0.031 | −0.014 | −0.038 | −0.120 | −0.243 | −0.022 | −0.013 | 0.204 | 0.277 | −0.046 | −0.131 | |
Probit, Upper-Lower Trim CS Check on \(\widehat{P}(X)\), Optimal 1:1 Matching, Fixed Caliper (0.05) | −0.010 | −0.027 | −0.029 | −0.051 | −0.346 | −0.212 | −0.020 | −0.041 | 0.095 | 0.328 | −0.055 | −0.163 | |
Logit, No CS Check, Greedy 1:5 Matching, Austin Caliper | −0.024 | −0.031 | −0.028 | −0.048 | −0.354 | −0.281 | −0.033 | −0.044 | 0.144 | 0.102 | 0.071 | −0.055 | |
Probit, 3‑Criteria CS on X, Greedy 3:6 Matching, Austin Caliper | −0.019 | −0.028 | −0.027 | −0.055 | −0.208 | −0.125 | −0.028 | −0.036 | 0.118 | 0.166 | −0.027 | −0.082 | |
Boosted Trees, 3‑Criteria CS on X, Stratification (\(s=5\)) on \(\widehat{P}(X)\)
| −0.006 | −0.028 | −0.016 | −0.045 | −0.379 | −0.226 | 0.006 | −0.006 | 0.182 | 0.201 | 0.060 | −0.131 | |
Boosted Trees, 3‑Criteria CS on X, Simple Weighting on \(\widehat{P}(X)\)
| −0.011 | −0.031 | −0.022 | −0.050 | −0.543 | −0.406 | 0.016 | 0.003 | 0.178 | 0.314 | 0.112 | −0.086 |