本文選題：資本結(jié)構(gòu)　切入點(diǎn)：杠桿凈收益　出處：《華中科技大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：資本結(jié)構(gòu)理論是企業(yè)金融的核心理論。資本結(jié)構(gòu)廣義上指企業(yè)發(fā)行不同證券的相對(duì)數(shù)量，一般指所有者權(quán)益與債權(quán)資本之間的比例關(guān)系，也被稱為融資結(jié)構(gòu)或財(cái)務(wù)杠桿（leverage ratio）。對(duì)資本結(jié)構(gòu)的分析和研究，其目的在于通過(guò)融資管理調(diào)整不合理的資本結(jié)構(gòu)，充分利用負(fù)債的財(cái)務(wù)杠桿作用降低企業(yè)的資本成本和財(cái)務(wù)風(fēng)險(xiǎn)，提高權(quán)益資本的收益率，進(jìn)而提高企業(yè)的價(jià)值，使企業(yè)確立收益和風(fēng)險(xiǎn)相宜的最佳資本結(jié)構(gòu)。 這次國(guó)際金融危機(jī)使得中國(guó)企業(yè)受到不同程度的影響，面對(duì)中國(guó)國(guó)內(nèi)通貨膨脹的風(fēng)險(xiǎn)，貨幣政策適當(dāng)緊縮的現(xiàn)實(shí)背景，使得研究宏觀沖擊和微觀特征如何影響不同融資約束程度企業(yè)的資本結(jié)構(gòu)調(diào)整、資本結(jié)構(gòu)如何隨著公司的特征而變化具有重要理論和現(xiàn)實(shí)意義。 本文以資本結(jié)構(gòu)理論為基礎(chǔ)，探討影響上市公司融資問(wèn)題的宏觀因素、行業(yè)特質(zhì)以及企業(yè)特征，分析中國(guó)上市公司資本結(jié)構(gòu)的特征，，考查各種因素的影響程度以及甄別主要的影響因素。采用面板數(shù)據(jù)實(shí)證研究中國(guó)上市公司資本結(jié)構(gòu)與企業(yè)特征的關(guān)系，特別是杠桿凈收益如何隨著資本結(jié)構(gòu)、公司的盈利能力、公司的成長(zhǎng)性、非債務(wù)稅盾、資產(chǎn)的特征、經(jīng)營(yíng)風(fēng)險(xiǎn)等企業(yè)特征而變化。通過(guò)選用不同行業(yè)的企業(yè)（12行業(yè)的715家企業(yè)）2006-2011年季度數(shù)據(jù)，采用馬爾可夫鏈蒙特卡羅(MCMC)算法，利用企業(yè)的市場(chǎng)價(jià)值、系統(tǒng)風(fēng)險(xiǎn)（β系數(shù)）和杠桿凈收益之間的非線性關(guān)系，探討資本結(jié)構(gòu)與企業(yè)微觀因素之間的關(guān)系。 研究結(jié)果說(shuō)明企業(yè)特征影響到資本結(jié)構(gòu)，對(duì)于低非債務(wù)稅盾、穩(wěn)定利潤(rùn)、低市場(chǎng)-賬面價(jià)值比和高盈利企業(yè)具有更高的杠桿凈收益。估計(jì)出的各參數(shù)后驗(yàn)分布標(biāo)準(zhǔn)差較小，各參數(shù)的抽樣軌跡圖中也沒(méi)有出現(xiàn)劇烈的季節(jié)性變動(dòng)，說(shuō)明MCMC方法模擬出的參數(shù)后驗(yàn)分布的馬爾科夫鏈?zhǔn)諗浚瑓?shù)的后驗(yàn)估計(jì)穩(wěn)定，估計(jì)結(jié)果也進(jìn)一步驗(yàn)證了杠桿對(duì)預(yù)期凈收益具有非線性影響。
[Abstract]:Capital structure theory is the core theory of enterprise finance. In a broad sense, capital structure refers to the relative quantity of different securities issued by an enterprise, and generally refers to the proportional relationship between owner's equity and creditor's capital. The purpose of the analysis and research on capital structure is to adjust the unreasonable capital structure through financing management, and to make full use of the financial leverage of debt to reduce the capital cost and financial risk of an enterprise. Increase the return rate of equity capital, and then improve the value of enterprises, so that enterprises can establish the best capital structure which is suitable for income and risk. The current international financial crisis has affected Chinese enterprises to varying degrees. In the face of the risk of domestic inflation, the realistic background of appropriate monetary policy tightening is. It is of great theoretical and practical significance to study how macro-impact and micro-characteristics affect the adjustment of capital structure of enterprises with different financing constraints and how the capital structure changes with the characteristics of companies. Based on the theory of capital structure, this paper discusses the macro factors, industry characteristics and enterprise characteristics that affect the financing problems of listed companies, and analyzes the characteristics of capital structure of listed companies in China. Using panel data to study the relationship between the capital structure of Chinese listed companies and the characteristics of enterprises, especially how the leverage net income depends on the capital structure, the profitability of the companies. The company's growth, non-debt tax shield, asset characteristics, operating risk and other corporate characteristics change. By selecting 715 enterprises from 12 industries in different industries, we adopt the Markov chain Monte Carlo (MCMCC) algorithm, based on the 2006-2011 quarterly data. Based on the nonlinear relationship among market value, system risk (尾 coefficient) and leverage net income, the relationship between capital structure and micro factors of firm is discussed. The results show that corporate characteristics affect capital structure, and have higher leverage net income for low non-debt tax shield, stable profit, low market-to-book value ratio and high-profit enterprise. The estimated standard deviation of posterior distribution of each parameter is smaller. There is no severe seasonal variation in the sampling locus of each parameter, which indicates that the Markov chain of the posterior distribution of parameters simulated by MCMC method converges, and the posterior estimation of parameters is stable. The estimated results further verify that leverage has a nonlinear effect on the expected net income.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F275;F832.51;F224

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