National Team Shareholding and Capital Structure: Evidence from a Conditional Threshold Panel Smooth Transition Model

This study examines the time-varying and industry-specific threshold effect of “National Team” shareholding on firms’ capital structure. We develop a conditional threshold panel smooth transition regression (CoT-PSTR) model with an industry-year quantile threshold, in which the threshold is determined by firms’ relative leverage position within the industry-year distribution. Using a panel dataset of 1353 Chinese A-share listed firms from 2015 to 2024, we find empirical evidence of a time-varying and industry-specific threshold effect. The effect of “National Team” shareholding on future leverage changes smoothly and gradually from negative to positive as firms’ relative leverage positions increase. Overall, this study introduces a new approach to identifying time-varying and industry-specific thresholds, thereby contributing to a better understanding of the nonlinear relationship between state-backed institutional investors and firms’ leverage.