中国上市公司资本结构研究

【作者】 童勇；

【导师】 俞乔；

【作者基本信息】 复旦大学 ， 会计学， 2006， 博士

【摘要】 资本结构理论是财务理论的重要组成部分，它不仅涉及企业的金融目标、筹资方式、筹资成本和企业的现金流量等企业的重大财务问题，更重要的是企业的资本结构对企业的治理结构、激励结构产生重大影响。资本结构理论还是微观金融理论和企业理论的一个重要组成部分。西方对资本结构的研究从20世纪50年代初关于资本结构的假说开始，到后来MM定理的诞生，再到此后长达多年的争论，西方学者对资本结构的研究不断深入。从莫迪利亚尼和米勒(Modigliani&Miller)1958年纯粹的理论模型开始，研究者不断的将这一模型向现实世界推进，引入了代理成本模型、股东与经营者之间的冲突理论、股东与债权人之间的冲突理论、非对称信息模型、基于产品／投入市场相互作用的模型、与公司控制权相关的理论，等等。20世纪90年代，随着行为金融理论的兴起，用行为金融的方法对公司资本结构理论的研究极大地推进了公司财务理论的发展，进而不断地丰富了现代金融理论。中国证券市场是一个新兴的市场，它创立于转轨经济的特殊时期，企业运行机制和制度环境都不同于西方国家，本文试图借鉴西方企业资本结构理论的成果，探讨和印证其在中国的适用性，从中国上市公司资本结构及其基本特征研究出发，考察中国上市公司的资本结构决策、和产品市场竞争的关系、以及市场时机选择行为。论文共分七章，各章的主要内容如下：第一章是导论第二章是对资本结构理论的文献回顾与评论。第三章对我国上市公司的资本结构决策问题进行了实证研究。通过对已有文献的分析，选取了33个可能影响企业资本结构的变量，并通过因子分析和逐步回归分析，找出了影响资本结构的主要因子及影响方式。最后，对获得的结论进行了稳健性检验。然后，通过引入资本结构动态调整框架，采用动态面板数据模型，对我国上市公司进行了分析，发现在我国上市公司资本结构中确实存在部分调整现象，而且调整成本也比较高。进一步的，本文还对影响公司资本结构调整速度的因素进行了研究第四章检验了企业的成长机会和基本财务政策之间的关系。利用我国上市公司的财务数据构造了面板数据集，选用了不同的财务政策变量对成长性因子变量进行了实证分析。实证结果发现，我国上市公司的成长机会和融资、股利政策间存在弱的正相关关系。另外，本章还对企业的资本结构对企业投资决策的影响做了分析，并利用我国上市公司的数据进行了实证研究。本文的研究结果表明，在我国上市公司中，企业的资本结构或者说企业的负债情况影响着企业的投资行为，企业的资本结构比率与企业投资水平间存在显著的负相关关系，并且这种负相关关系在低成长性企业中表现得尤为强烈。本文的稳健性检验也表明，这种负债与投资间的负效应关系对于资本结构比率的不同度量方法，在不同的计量模型下以及控制了行业因素后都是稳定的。第五章主要围绕中国上市公司的不同行业门类间的上市公司的资本结构是否存在差异，以及资本结构决策和产品市场竞争间的关系进行了研究。首先采用参数和非参数检验，以及描述行统计方法，对中国上市公司的行业特征与资本结构的关系进行了系统研究。然后，对企业资本结构和产品市场竞争间的关系进行了实证研究。选择了多个常用了衡量市场竞争程度的指标，并且构造和计算了竞争对手策略的影响度来衡量不同策略对企业间的竞争的影响。然后通过公共因子分析得到衡量市场竞争的不同方面的因子。最后，利用我国上市公司的数据构建面板数据模型进行了实证分析。第六章在回顾了行为金融理论对资本结构理论的发展后，运用1990—2004年中国沪深两市上市公司财务数据试图第一次较为全面地检验市场择时理论在中国的适用性。实证结果表明样本期内中国上市公司确实存在着股票融资和债务融资的市场择时行为；股票融资的市场择时行为短期内显著影响公司的资本结构；股票融资的市场择时行为具有持久影响资本结构的效应。第七章总结并提出相关政策性思考。更多还原

【Abstract】 The theory of corporate capital structure is the core of modern finance theory. It’s involved with the firm’s finance goal, ways of financing, cash flow and other important financial issues, and also with corporate governance, and incentive structure. The theory of capital structure also is the important component of mordern finance and corporate theory.From the beginning of 1950s’ capital structure hypothesis to the birth of the MM theory, it experienced the dispute which lasted for a long time. The west financial researchers constantly made meaningful studies on capital structure. They have discussed the relaxation of MM theory’s strict assumptions since its establishment in 1958, and their efforts make more and more practical sense and constitute the innovation of theory in different level, such as agency cost model, interest conflict between shareholder and manager, interest conflict between shareholder and creditor, asymmetric information model, the mutual effect between product market and factor market, the theory on the corporate control , etc. In 1990’s, with the emergence of behaviour financial theory , more and more financial researchs do their research on capital structure in behaviour finance method.Chinese stock exchange market is a emerging market, and it’s set up on the time of economic transition. So, he operation and the rule environment of China’s listed companies is different from the companies of developed countries. This paper tried to take advantage of the newest results of western researchers on capital structure to investigate and prove the adaptability of them in Chinese emerging market.To begin with the basic characters of capital structure of Chinese listed firms, this paper tried to investigate the capital structure decision, the relation between capital structure and competition of product market, and market timing behavior in Chinese stock market.There are seven chapters in this dissertation, and the contents of every chapter is:The first chapter is introduction.The second chapter summarizes the theories of corporate capital structure and makes comments on them.The 3th chapter does empirical study on capital structure decisions of Chinese listed firms.After analysis of literatures,the paper select 33 index variables as dependent variables which may affect the capital strucutre. By factor analysis and stepwise regression, the paper concludes the main determinant factors and their effect to capital structure. At the end of paper, Robust tests are done with different measuresof leverage, different samples,and different econometric methodologies, the results reveal the conclusion is robust. Then, we took advantage of a dynamic adjustment model and dynamic panel methodology to investigate the capital structure of Chinese listed firms. Compared with static model,we found the evidence on existence of partial adjustment.Moreover,this paper also analyzed the effects of different firm-specific characterics as well as macroeconomic factors on the speed of adjustment to target capital structure.The 4^th chapter examines the relation between growth opportunity ,capital structure and dividend policy, by using financial data of Chinese listed firms to contruct panel data. And Using a panel data of Chinese listed companies,this chapter examined whether financing considerations measured by the capital structure affect corporate investment decisions unducing underinvestment or overinvestment incentives according to agency theoryThe 5^th chapter applies parametric and non-parametric test, and descriptive statics to systematically study the relation between industry characteristic and capital structure, and establishs the empirical link between corporate capital structure and product market competition. We choose some indexs which were frequently used in the past studies to measure market competition . By common factor analysis, we construct some factors to represent different faces of market competition. Finally, we take advantage of panel data model to do regression.The 7^th chapter reviews the development of behaviour finance to corporate capital structure theory. Then uses the financial data of listed company in Shanghai and Shenzhen stock markets from 1990 to 2004 to attempt to investigate the suitability of this new theory in China. The econometric evidence shows that the Chinese listed companies really behave according to the pattern of market timing in the form of stock and debt financing; equity financing does significantly influence the capital structure of the Chinese listed companies ; the market timing behavior of stock financing does have persistent influence on the capital structureThe 7^th chapter is conclusion..更多还原