發(fā)布時(shí)間：2018-06-04 05:10

  本文選題：零杠桿 + 長期超額收益��； 參考：《山西大學(xué)》2017年碩士論文

【摘要】：隨著全球經(jīng)濟(jì)的高速發(fā)展,企業(yè)在融資方面面臨的形勢也日趨錯(cuò)綜復(fù)雜,資本結(jié)構(gòu)理論也在不同時(shí)期呈現(xiàn)了不同形式的演變,其中廣受專家學(xué)者推崇的兩大經(jīng)典理論分別是最優(yōu)權(quán)衡理論及融資有序理論,它們一致認(rèn)為企業(yè)在安排其融資來源時(shí)應(yīng)該首先適度選擇負(fù)債融資方式。然而,近年來一些學(xué)者在研究中發(fā)現(xiàn)以美國為首的G-7發(fā)達(dá)資本市場中存在大量零(低)杠桿公司,并圍繞此現(xiàn)象展開了一系列研究以期揭開零(低)杠桿現(xiàn)象背后的神秘面紗,但是多數(shù)研究僅停滯于財(cái)務(wù)角度,對(duì)其后期市場收益表現(xiàn)分析非常罕見,尤其是在持續(xù)零(低)杠桿情形下。與此同時(shí),在經(jīng)濟(jì)新常態(tài)新形勢下,面臨持續(xù)高漲的企業(yè)負(fù)債及不斷增長的財(cái)務(wù)風(fēng)險(xiǎn),中央適時(shí)提出了供給側(cè)結(jié)構(gòu)性改革,并將去杠桿政策作為重中之重,然而這些政策的制定是否適合企業(yè)的持續(xù)發(fā)展尚缺乏實(shí)證支撐�；�1992-2015年滬深兩市全部A股上市公司的財(cái)務(wù)報(bào)表數(shù)據(jù),本文深入分析了我國零(低)杠桿公司的分布現(xiàn)狀及其財(cái)務(wù)特征,并初步討論了企業(yè)債務(wù)融資決策對(duì)其價(jià)值、超額收益的影響。研究發(fā)現(xiàn),與國際發(fā)達(dá)的資本市場類似,我國公司也存在零(低)杠桿現(xiàn)象并呈現(xiàn)不斷擴(kuò)大化的趨勢;而在區(qū)域分布上,東部地區(qū)中的此類現(xiàn)象更為凸顯;另外,雖然零(低)杠桿公司廣泛分布于所有行業(yè),但仍存在行業(yè)特質(zhì)現(xiàn)象。而財(cái)務(wù)特征分組檢驗(yàn)表明零(低)杠桿公司具有規(guī)模小、上市年限短、市賬比高、投資水平低及盈利性好等共同特征;進(jìn)一步研究還發(fā)現(xiàn),債務(wù)融資決策對(duì)企業(yè)當(dāng)期乃至下期的價(jià)值存在顯著抑制作用,同時(shí)對(duì)企業(yè)下期的股票超額收益會(huì)產(chǎn)生顯著促進(jìn)效應(yīng)。在此基礎(chǔ)上,結(jié)合企業(yè)股票月度數(shù)據(jù),本文使用事件研究法與日歷時(shí)間組合法重點(diǎn)討論了零(低)杠桿公司及其投資組合的股票長期收益情況。研究結(jié)果表明,相較非零(高)杠桿公司或投資組合,連續(xù)三(五)年零(低)杠桿公司或投資組合不論是在市值匹配還是在市賬比匹配情況下均存在顯著的長期超額收益,而這也表明目前的資本資產(chǎn)定價(jià)模型因子(比如市場風(fēng)險(xiǎn)、規(guī)模及成長因子)并未能完全預(yù)測股票的預(yù)期收益,間接說明持續(xù)的極端財(cái)務(wù)保守政策對(duì)于股票收益具有重要的影響作用。綜上所述,本文以中國資本市場建立以來的連續(xù)三(五)年持續(xù)使用零(低)杠桿公司為研究主體,結(jié)合其財(cái)務(wù)特征及月度股票收益率等數(shù)據(jù),深入分析了我國上市公司中的零(低)杠桿現(xiàn)象及其股票超額收益趨勢。研究結(jié)論從市場收益角度推動(dòng)了零(低)杠桿現(xiàn)象之謎的破解,進(jìn)一步也充實(shí)資本結(jié)構(gòu)相關(guān)理論及其研究文獻(xiàn),同時(shí)從實(shí)證視角支持了政府提出的“去杠桿”等政策,給企業(yè)未來融資政策決策提供了參考依據(jù),也對(duì)廣大股民選擇投資對(duì)象等行為具有實(shí)際指導(dǎo)意義。
[Abstract]:With the rapid development of the global economy, the situation faced by enterprises in financing is becoming more and more complicated, and the theory of capital structure has evolved in different forms in different periods. The two classical theories are the optimal tradeoff theory and the financing order theory. They agree that enterprises should first choose the debt financing method when arranging their financing sources. However, in recent years, some scholars have found that there are a large number of zero (low) leverage companies in the G-7 developed capital markets led by the United States, and have carried out a series of studies around this phenomenon in order to uncover the mystery behind the zero (low) leverage phenomenon. However, most of the studies only stagnate in financial terms, and it is very rare to analyze the performance of late market returns, especially in the case of persistent zero (low) leverage. At the same time, under the new normal and new situation of the economy, the central government has put forward the supply-side structural reform at the right time and put the deleveraging policy as the top priority in the face of rising enterprise debts and increasing financial risks. However, whether these policies are suitable for the sustainable development of enterprises is still lack of empirical support. Based on the data of financial statements of all A-share listed companies in Shanghai and Shenzhen stock markets from 1992 to 2015, this paper analyzes the distribution and financial characteristics of zero (low) leverage companies in China, and discusses the value of debt financing decision in China. The effect of excess returns. The study found that, similar to the developed international capital markets, Chinese companies also have zero (low) leverage phenomenon and showing a trend of continuous expansion; in terms of regional distribution, this phenomenon is more prominent in the eastern region; in addition, Although zero (low) leverage companies are widely spread across all industries, industry traits still exist. The grouping test of financial characteristics shows that zero (low) leverage companies have the common characteristics of small scale, short listed life, high market to book ratio, low investment level and good profitability. The debt financing decision has a significant inhibitory effect on the current and even the next period value of the firm, and also has a significant promoting effect on the stock excess return in the next period. On this basis, combining with monthly stock data, this paper focuses on the long-term returns of zero (low) leverage companies and their portfolios by using the event research method and calendar time combination method. The results show that, compared with non-zero (high) leverage companies or portfolios, there are significant long-term excess returns for three (5) years of zero (low) leverage companies or portfolios, both in market value matching and in market-to-book ratio matching. This also shows that the current capital asset pricing model factors (such as market risk, size and growth factors) do not fully predict the expected return on stocks. Indirect explanation of the persistence of extreme financial conservatism has an important impact on stock returns. To sum up, this paper takes the continuous use of zero (low) leverage companies in three (5) consecutive years since the establishment of the Chinese capital market as the main body of the study, combining its financial characteristics and monthly stock returns and other data. This paper analyzes the zero (low) leverage phenomenon and the trend of stock excess return in listed companies in China. The conclusion of the study promotes the solution of the riddle of zero (low) leverage from the perspective of market returns, further enriches the theory of capital structure and its research literature, and supports the "deleveraging" policy proposed by the government from an empirical perspective. It provides a reference basis for the future financing policy decision of the enterprise, and also has practical guiding significance for the investors to choose the investment object and so on.
【學(xué)位授予單位】：山西大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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