本文選題：盈余透明度 + 權(quán)益資本成本　； 參考：《江蘇大學(xué)》2017年碩士論文

【摘要】：資本市場是滿足資金供求雙方各自需求的場所。投資者提供資金,獲取資金的時間價值和風(fēng)險補償。融資者吸納資金,獲取資金的流動價值。在這一過程中,投資者根據(jù)融資者提供的信息評估風(fēng)險,確定風(fēng)險補償數(shù)額。但投資者和融資者之間會因一定的因素產(chǎn)生信息不對稱問題,導(dǎo)致風(fēng)險定價不合理,進(jìn)而影響資本成本。在上市公司提供的信息中,盈余信息是最受投資者關(guān)注的。根據(jù)Ohlson凈盈余理論,如果上市公司的盈余能夠反映出其權(quán)益真實的經(jīng)濟價值,則投資者就能依據(jù)盈余信息對股票進(jìn)行合理定價。因此本文將對盈余展開研究,以獲取我國資本市場盈余透明度情況。本文以1999年到2015年所有A股上市公司為研究樣本,研究國內(nèi)上市公司盈余透明度與資本成本的關(guān)系。本文借鑒Barth et al.提出的回歸方法,對盈余收益模型進(jìn)行分行業(yè)和分組兩次回歸,將兩次回歸所得調(diào)整R2之和作為盈余透明度。本文采用Fama-French三因素模型測算預(yù)期權(quán)益資本成本和超額收益率,根據(jù)利息支出測算債務(wù)資本成本,研究盈余盈余透明度與兩類資本成本的關(guān)系。本文構(gòu)建了盈余透明度與下期超額收益率,盈余透明與權(quán)益資本成本,盈余透明度與下期超額債務(wù)資本成本、盈余透明度與債務(wù)資本成本和盈余透明度對兩類資本成本影響差異五個回歸模型。采用混合回歸和Fama-MacBeth回歸兩種方法,檢驗盈余透明度與下期超額收益率、預(yù)期權(quán)益資本成本,下期超額債務(wù)資本成本、債務(wù)資本成本的關(guān)系。采用內(nèi)生選擇模型檢驗盈余透明度對債務(wù)資本成本和權(quán)益資本成本的影響差異。結(jié)果表明盈余透明度與下期超額收益率顯著負(fù)相關(guān),盈余透明度與預(yù)期權(quán)益資本成本顯著負(fù)相關(guān),盈余透明度與下期超額債務(wù)成本稱顯著負(fù)相關(guān),盈余透明度與債務(wù)資本成本顯著負(fù)相關(guān),盈余透明度對權(quán)益資本成本的影響強于對債務(wù)資本成本的影響。本文得出以下結(jié)論:(1)上市公司提高自身的盈余透明度,可以降低自身的資本成本;(2)以直接融資為主的上市公司,更需要關(guān)注自身的盈余透明度;(3)盈余透明度是三因子之外,另一個會影響權(quán)益資本成本的因素。
[Abstract]:The capital market is the place that meets the demand of both sides of capital supply and demand. Investors provide capital, access to the time value of the funds and risk compensation. The financier absorbs the funds and obtains the flowing value of the funds. In this process, the investor assesses the risk according to the information provided by the financier and determines the amount of risk compensation. However, the information asymmetry between investors and financiers will lead to unreasonable pricing of risk, which will affect the cost of capital. Among the information provided by listed companies, earnings information is the most concerned by investors. According to Ohlson net earnings theory, if the earnings of listed companies can reflect the real economic value of their equity, then investors can reasonably price stocks based on earnings information. Therefore, this paper will study the earnings in order to obtain the transparency of China's capital market earnings. This paper takes all A-share listed companies from 1999 to 2015 as a sample to study the relationship between earnings transparency and capital cost of domestic listed companies. This paper draws lessons from Barth et al. In this paper, the regression method is put forward, and the earnings return model is regressed twice by industry and group, and the sum of the adjusted R2 from the two regression results is regarded as the transparency of earnings. This paper uses the Fama-French three-factor model to calculate the expected equity capital cost and the excess return rate, calculates the debt capital cost according to the interest expenditure, and studies the relationship between the surplus transparency and the two kinds of capital cost. This paper constructs the transparency of earnings and the next excess return, the transparency of earnings and the cost of equity capital, the transparency of earnings and the capital cost of excess debt in the next period. There are five regression models of the effects of earnings transparency, debt capital cost and surplus transparency on the two types of capital costs. By using mixed regression and Fama-MacBeth regression, this paper examines the relationship between the transparency of earnings and the excess return rate, expected equity capital cost, excess debt capital cost and debt capital cost in the next period. The endogenetic selection model is used to examine the effect of earnings transparency on debt capital cost and equity capital cost. The results show that there is a significant negative correlation between earnings transparency and the next excess return, a significant negative correlation between earnings transparency and the cost of expected equity capital, and a significant negative correlation between earnings transparency and the cost of excess debt in the next period. The effect of earnings transparency on equity capital cost is stronger than that on debt capital cost. This paper draws the following conclusions: 1) if listed companies improve their earnings transparency, they can reduce their own capital cost. (2) listed companies with direct financing should pay more attention to their earnings transparency. Another factor that affects the cost of equity capital.
【學(xué)位授予單位】：江蘇大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F275;F832.51

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