本文選題：市場(chǎng)擇時(shí) + 雙重上市��； 參考：《華僑大學(xué)》2012年碩士論文

【摘要】：市場(chǎng)擇時(shí)理論基于非有效市場(chǎng)和有限理性個(gè)體，研究外部市場(chǎng)條件對(duì)企業(yè)資本結(jié)構(gòu)的影響。自Baker和Wurgler（2002）的市場(chǎng)擇時(shí)理論提出以來(lái)，建立在市場(chǎng)有效假說(shuō)基礎(chǔ)上的現(xiàn)代資本結(jié)構(gòu)理論就不斷受到質(zhì)疑,眾多學(xué)者開(kāi)始從市場(chǎng)擇時(shí)角度展開(kāi)對(duì)資本結(jié)構(gòu)的探討，并取得可觀的成果。當(dāng)前，國(guó)內(nèi)學(xué)者對(duì)資本結(jié)構(gòu)市場(chǎng)擇時(shí)理論的研究尚處于起步階段，研究對(duì)象以滬深兩市進(jìn)行IPO的公司和A股市場(chǎng)股權(quán)再融資公司為主，尚未有學(xué)者就中國(guó)雙重上市公司市場(chǎng)擇時(shí)行為對(duì)資本結(jié)構(gòu)的影響進(jìn)行實(shí)證研究�；诖�，本文選取我國(guó)雙重上市公司為研究樣本，探討市場(chǎng)擇時(shí)是否會(huì)持久作用于資本結(jié)構(gòu)，并以此驗(yàn)證市場(chǎng)擇時(shí)理論的中國(guó)適用性。 理論方面，本文首先對(duì)國(guó)內(nèi)外關(guān)于市場(chǎng)擇時(shí)的理論研究和實(shí)證結(jié)果進(jìn)行對(duì)比分析。分析結(jié)果表明，國(guó)內(nèi)外學(xué)者的研究主要圍繞市場(chǎng)擇時(shí)行為的存在性、市場(chǎng)擇時(shí)指標(biāo)的選取、市場(chǎng)擇時(shí)對(duì)資本結(jié)構(gòu)的持久效應(yīng)三個(gè)方面展開(kāi)，研究結(jié)果基本肯定了擇時(shí)模式的存在性，但對(duì)市場(chǎng)擇時(shí)代理指標(biāo)的選擇和“市場(chǎng)擇時(shí)持久作用于資本結(jié)構(gòu)”這一結(jié)論存在爭(zhēng)議。其次，本文對(duì)與文章較為相關(guān)的資本結(jié)構(gòu)理論進(jìn)行回顧，對(duì)行為金融理論成果進(jìn)行介紹。并在此基礎(chǔ)上，對(duì)基于非理性模型框架的市場(chǎng)擇時(shí)理論形成機(jī)制進(jìn)行了闡述，即投資者的非理性預(yù)期造成公司股票誤價(jià)，存在融資機(jī)會(huì)窗口，理性管理者能意識(shí)到這種機(jī)會(huì)并調(diào)整自己的融資決策，在股價(jià)高估階段發(fā)行權(quán)益，低估階段回購(gòu)權(quán)益，市場(chǎng)擇時(shí)通過(guò)改變企業(yè)融資方式，而對(duì)資本結(jié)構(gòu)產(chǎn)生影響。 實(shí)證方面，本文首先采用統(tǒng)計(jì)數(shù)據(jù)分析的方法，以首日市場(chǎng)回報(bào)率衡量市場(chǎng)行情，通過(guò)對(duì)比不同首日市場(chǎng)回報(bào)率下，返回境內(nèi)發(fā)行A股的H股公司數(shù)量和融資規(guī)模，檢驗(yàn)市場(chǎng)擇時(shí)行為存在性。統(tǒng)計(jì)結(jié)果顯示，雙重上市公司確實(shí)存在股權(quán)融資市場(chǎng)擇時(shí)。其次，，借鑒Baker和Wurgler（2002）研究方法，使用資產(chǎn)市凈率和外部融資加權(quán)平均M/B值作為擇時(shí)指標(biāo)，以資產(chǎn)負(fù)債變化率為因變量，結(jié)合公司規(guī)模、盈利能力、有形資產(chǎn)率建立多元回歸模型，就上市后五年市場(chǎng)擇時(shí)對(duì)雙重上市公司融資行為和資本結(jié)構(gòu)的影響進(jìn)行檢驗(yàn)。檢驗(yàn)結(jié)果表明，H股公司決定返回內(nèi)地A股雙重上市時(shí)，存在市場(chǎng)擇時(shí)行為，并在上市當(dāng)年顯著影響資本結(jié)構(gòu)，但從長(zhǎng)期來(lái)看，市場(chǎng)擇時(shí)與資本結(jié)構(gòu)之間不存在相關(guān)關(guān)系，資本結(jié)構(gòu)不是公司過(guò)去對(duì)資本市場(chǎng)進(jìn)行市場(chǎng)擇時(shí)的累積結(jié)果�；谖覈�(guó)雙重上市公司的經(jīng)驗(yàn)數(shù)據(jù)不支持市場(chǎng)擇時(shí)理論。
[Abstract]:Based on non-efficient market and limited rational individuals, the market timing theory studies the influence of external market conditions on the capital structure of enterprises. Since the theory of market timing was put forward by Baker and Wurgler 2002, the modern capital structure theory, which is based on the market efficiency hypothesis, has been constantly questioned. Many scholars have begun to discuss the capital structure from the perspective of market timing. And achieved considerable results. At present, the domestic scholars' research on the timing theory of capital structure market is still in its infancy. The main research objects are the IPO companies in Shanghai and Shenzhen stock markets and the equity refinancing companies in the A-share market. There is no empirical study on the influence of market timing behavior on capital structure of dual listed companies in China. Based on this, this paper selects the dual listed companies as the research sample, discusses whether the market timing will act on the capital structure for a long time, and verifies the applicability of the market timing theory in China. In theory, this paper firstly makes a comparative analysis of the theoretical and empirical results of market timing at home and abroad. The results show that the researches of domestic and foreign scholars mainly focus on the existence of market timing behavior, the selection of market timing indicators, and the lasting effect of market timing on capital structure. The research results confirm the existence of timing model, but there is controversy about the choice of market timing agent index and the conclusion that market timing has a lasting effect on capital structure. Secondly, this paper reviews the capital structure theory related to the article and introduces the achievements of behavioral finance theory. On this basis, the formation mechanism of market timing theory based on the framework of irrational model is expounded, that is, the irrational expectation of investors results in the mispricing of the company's stock, and there is a window of financing opportunities. Rational managers can realize this opportunity and adjust their own financing decisions, issue equity in the stage of overvaluation of stock price, undervalue the stage of repurchase of rights and interests, and influence the capital structure by changing the financing mode of enterprises in the market. In the empirical aspect, this paper first uses the statistical data analysis method, measures the market price by the first day market return rate, through the contrast under the different first day market return rate, returns the domestic A-share issued the H share company quantity and the financing scale, Test the existence of market timing behavior. Statistical results show that dual listed companies do exist stock financing market timing. Secondly, using the method of Baker and Wurgler 2002 as reference, using the ratio of assets to book value and the weighted average M / B value of external financing as timing index, taking the change rate of assets and liabilities as the dependent variable, combining with the company size, profitability and tangible assets ratio, the multiple regression model is established. This paper examines the effects of market timing on the financing behavior and capital structure of dual listed companies in five years after listing. The test results show that when H-share companies decide to return to mainland A shares, they have market timing behavior and have significant influence on capital structure in the year of listing, but in the long run, there is no correlation between market timing and capital structure. Capital structure is not the cumulative result of past market timing. The empirical data of dual listed companies in China do not support the theory of market timing.
【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F275

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