مدل‌سازی غیرخطی ساختار سرمایه در بازه‌های زمانی مختلف

محدثه  تندرو; زهرا سادات حسینی; مهرداد  صالحی; فریبرز  عوض زاده فتح

Authors

Mohadeseh Tondro Ph.D. Student, Department of Accounting, Yas.C., Islamic Azad University, Yasuj, Iran Author https://orcid.org/0009-0005-7018-2414
Zahra Sadat Hosseini Department of Accounting, Yas.C., Islamic Azad University, Yasuj, Iran Corresponding author https://orcid.org/0000-0001-5701-3687
Mehrdad Salehi Department of Accounting, NoM.C., Islamic Azad University, Noorabad Mamasani, Iran Author https://orcid.org/0000-0001-8303-2312
Fariborz Avazzadeh Fattah Department of Accounting, Gac.C., Islamic Azad University, Gachsaran, Iran Author https://orcid.org/0000-0003-3952-5683

Keywords:

Capital structure, time-varying parameters, Bayesian averaging of models, dynamic averaging of models, dynamic selection of models

Abstract

This study aimed to identify and nonlinearly model the determinants of capital structure among companies listed on the Tehran Stock Exchange across short-, medium-, and long-term horizons. This applied study employed an analytical-correlational and exploratory design. The statistical population comprised companies listed on the Tehran Stock Exchange from 2011 to 2023, of which 171 companies were selected through screening and systematic exclusion criteria. To identify influential variables and account for model uncertainty, Bayesian Model Averaging (BMA), Dynamic Model Averaging (DMA), Dynamic Model Selection (DMS), and Time-Varying Parameter (TVP) models were employed. The estimation performance of nonlinear TVP models was also compared with that of the conventional linear OLS model using the likelihood-ratio test. The likelihood-ratio test indicated that the TVP model provided superior estimation performance compared with OLS. The DMA-based AR(1)-TVP-X model also demonstrated better predictive performance across the examined forecasting horizons. In the short term, ownership type was the most influential determinant of capital structure (mean coefficient = 0.641; inclusion probability = 0.943). In the medium term, the business environment index showed the greatest importance (coefficient = 0.341; inclusion probability = 0.969). In the long term, the debt-to-equity ratio emerged as the dominant determinant (coefficient = 0.725; inclusion probability = 0.939). Moreover, the number of influential systematic and nonsystematic factors increased from the short to the long term, while the magnitude of the effects of many determinants intensified over longer horizons. Capital structure is a dynamic and time-dependent phenomenon jointly shaped by ownership, financial, institutional, and macroeconomic factors. The superior performance of TVP and DMA approaches indicates that fixed-coefficient models may inadequately capture financing dynamics; therefore, corporate financial decisions and regulatory policies should be adapted to time horizons, firm characteristics, and changing economic conditions.

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