本文選題：運營杠桿 + 在位資產　； 參考：《電子科技大學》2017年碩士論文

【摘要】：固定運營成本導致的運營杠桿會通過放大在位資產的系統(tǒng)風險而影響股票預期收益,同時企業(yè)對在位資產的收縮則通過改變資產的相對構成和運營杠桿的水平而進一步作用于運營杠桿和股票預期收益的關系。此外,運營杠桿作用下在位資產和增長期權系統(tǒng)風險的大小關系,決定了增長期權執(zhí)行對股票預期收益的動態(tài)影響可能不同于已有研究結論。本文在闡述研究背景和文獻綜述的基礎上,選取1997-2014年間我國滬深兩市2416家非金融業(yè)的A股上市企業(yè)為樣本,以經(jīng)典的Fama-French三因素定價模型為基礎,分別考察運營杠桿對股票預期收益的直接影響和間接影響,以及在考慮收縮期權和增長期權情形下進一步考察運營杠桿對股票預期收益的影響作用。研究結果表明:運營杠桿是通過調節(jié)市場貝塔、市值規(guī)模、賬面市值比三個定價因素和股票預期收益的關系而間接作用于股票預期收益率,但運營杠桿本身尚不足以單獨作為三因子之外的一個新定價因子。進一步,考慮收縮期權和增長期權情形下運營杠桿影響作用,實證結果表明:一方面,由于收縮期權的貝塔為負,進而在位資產嵌入的收縮期權會削弱運營杠桿對股票預期收益的正向調節(jié)作用,收縮期權較低的樣本中運營杠桿對三因子和股票預期收益率關系的調節(jié)作用更易顯現(xiàn);另一方面,由于運營杠桿會放大在位資產的風險,在位資產和增長期權系統(tǒng)風險的大小關系并非確定,當運營杠桿較低時消耗增長期權的投資支出對股票預期收益率的負向影響才易顯現(xiàn)。
[Abstract]:Fixed operating cost leverage can affect the expected return on stocks by amplifying the systemic risk of the assets in question. At the same time, the contraction of the incumbent assets by changing the relative composition of assets and the level of operational leverage further affect the relationship between operating leverage and expected return of stocks. In addition, the relationship between the system risk of existing assets and growth options under operational leverage determines that the dynamic impact of the implementation of growth options on the expected returns of stocks may differ from the existing research conclusions. Based on the research background and literature review, this paper selects 2416 non-financial A-share listed companies in Shanghai and Shenzhen stock markets from 1997 to 2014 as samples, based on the classical Fama-French three-factor pricing model. The direct and indirect effects of operational leverage on expected stock returns are investigated, and the effects of operational leverage on expected stock returns are further investigated under the consideration of contractile options and growth options. The results show that the operating lever acts indirectly on the stock expected return by adjusting the market beta, market value scale, book market value ratio and the relationship between the three pricing factors and the expected return of the stock. But operational leverage itself is not enough to be a new pricing factor in addition to three factors. Furthermore, considering the influence of operational leverage in the case of contractile option and growth option, the empirical results show that, on the one hand, because of the negative beta of contractile option, Furthermore, the embedded contractile option of in-situ assets will weaken the positive adjustment of operating lever to the expected return of stock. In the sample of lower contractile option, the adjusting effect of operating lever on the three-factor and the expected return relationship of stock is easier to show. On the other hand, since the operational leverage magnifies the risk of a sitting asset, the magnitude of the risk between the active asset and the growth option system is not certain. When the operating leverage is low, the negative impact of the investment expenditure that consumes the growth option on the expected return on the stock is easy to show.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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