【作者】 曾海舰；

【导师】 苏冬蔚；

【作者基本信息】 暨南大学 ， 金融学， 2010， 博士

【摘要】 任何公司都会始终处于某种宏观经济环境中,其资本结构不可避免的受到宏观经济冲击的影响。本文利用微观层面的上市公司数据,引入分数Logit模型、分位数回归模型和双重差分模型等一系列微观计量经济分析方法,系统考察宏观经济因素(经济周期、信贷风险、信贷配给、股市表现、管理者信心以及经济政策)外生冲击对我国上市公司资本结构的影响,发现宏观经济因素是影响公司资本结构选择的重要因素,我国上市公司的融资偏好顺序随经济周期的变化而发生变动,经济政策外生冲击对上市公司资本结构具有显著的异质性效应。本文首先研究宏观经济因素与公司资本结构之间的关系。本文研究了1994—2007年中国宏观经济因素对上市公司资本结构的影响,发现宏观经济周期性波动和信贷市场违约风险对中国上市公司资本结构具有较显著影响。上市公司总体上存在反周期的资本结构调整行为：在宏观经济景气时,公司财务杠杆下降；当宏观经济衰退时,则公司财务杠杆上升。信贷市场的贷款违约状况对上市公司财务杠杆具有反向影响,这显示信贷市场状况制约着上市公司资本结构的调整行为。本文的实证结论表明中国上市公司的融资行为与最优融资理论的推断一致,而与权衡理论和市场择机假说的推断都有矛盾之处。本文利用不同的样本组,并结合样本数据特点使用了不同的估计策略,均发现以上结论基本成立。本文接着研究宏观经济因素、管理者信心与公司融资方式选择之间的关系。本文通过三阶段的实证策略,系统考察宏观经济因素和管理者信心对上市公司融资选择的影响,本文的研究表明：随着宏观经济条件的变化,中国上市公司的融资顺序也随之发生变化,在经济周期的上行阶段,融资顺序为“内部融资—股权融资—债务融资”,在经济周期的衰退阶段,融资顺序则调整为“内部融资—债务融资—股权融资”；有证据表明公司管理者对经济前景的信心对公司融资选择具有较显著影响,在管理者信心作用下,公司融资决策符合最优融资顺序理论的推断。本文的研究有助于澄清长期以来关于中国上市公司融资偏好顺序的争议。以上两项研究主要关注资本市场需求面的因素。为了识别资本市场供给面因素对公司资本结构的影响,本文构建了一个“自然实验”的分析框架,首次采用双重差分估计策略考察1998年信贷扩张与2004年信贷紧缩对我国上市公司资本结构的影响。本文的研究发现1998年的信贷扩张显著增加了小规模、民营化程度高以及担保能力弱的公司的负债水平,这些公司获得了更多的银行资金；2004年的信贷紧缩则导致这三种类型的公司显著减少了有息负债率,但是应付款项的增加弥补了信贷资金的减少。本文的研究表明资本市场供给面因素在统计和经济意义上均对公司资本结构具有重要影响,而且我国存在信贷渠道传导效应,但其影响程度因不同类型的公司而异。本文的发现对于宏观经济政策制定和实施具有重要的政策意义,也有助于澄清2004年以来关于宏观调控的社会争议。本文最后给出结论以及研究展望。更多还原

【Abstract】 The firm is always in a macroeconomic environment, its capital structure is inevitably affected by some kind of macroeconomic shocks. This paper studies the effects of macroeconomic factors(such as business cycles、default risk、credit quota、stock market performance、entrepreneurial confidence and economic policy) on capital structure of chinese listed companies, using some novel econometric methods such as fractional logit model, quantile regression model, and difference-in-differences model. This paper finds that macroeconomic factors have importance influences on capital structure, there is not simple financing preference, and chinese firms have heterogeneous responses to economic policy change.First, this paper studies the relations between macroeconomic factors and capital structure. This paper studies the effects of macroeconomic factors on capital structure of chinese listed companies between 1994-2007, finding that business cycles and default risk have significantly influences on capital structre. Chinese corporate adjusted the capital structure counter-cyclically:when economy is prosperous, corporate leverage ratio decreases; when economic recession is coming, corporate leverage ratio increases. Credit default risk has significantly negatively influences on capital structure, this implies that credit market conditions restrict corporate adjusting behaviour. These empirical results show that chinese corporate financing behaviour are consistent with the pecking order theory but contradict with trade-off theory and market timing hypothesis. Using different group of sample and employing different econometric methods according to different kind of data character, thise paper finds the empirical results are robust.Second, this paper studies how the macroeconomic factors and entrepreneurial confidence affect corporate financing preference. The paper empolyes three-stage empirical strategy to study the problem, and finds that corporate financing preference varies with business cycles, when economy is prosperous, financing preference order is "internal financing-equity financing-debt financing", when economic recession is coming, financing preference order is "internal financing-debt financing-equity financing". Empirical results show that entrepreneurial confidence have significantly effect on corporate financing choices which are consistent with pecking order theory. These results are helpful in clarifying the financing preference controversy about chinese listed firms.Third, this paper constructs the "natural experiment" framework to identify the effects of capital market supply-side factors on corporate capital structure. Following the "natural experiment" approach, this paper uses difference-in-diffrences empirical strategy in testing the effects of credit policy shock on capital structure that ocurring in 1998 credit expansion and 2004 credit crunch. The paper finds that levrage ratios of firms those are small、private and less collateral (treament group) significantly increase relative to firms those are big、state-owned and more collateral (control group) since 1998 credit expansion; but firms in treament group significantly decrease leverage ratios relative to firms in control group since 2004 credit crunch. The results suggest that supply factors in capital market have important influences on capital structure, there exists lending channel effect in china economy, but different kinds of firms have different responses to credit supply shock. These findings have important policy implication on macroeconomic policy making and implementing, also help clarifying the public issues on 2004 Macro-regulation.更多还原