本文關(guān)鍵詞：投資者情緒對公司資本結(jié)構(gòu)影響的實(shí)證研究　出處：《浙江大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

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【摘要】：公司資本結(jié)構(gòu)一直是現(xiàn)代公司金融理論中的熱點(diǎn)問題。資本結(jié)構(gòu)的選擇對公司自身的發(fā)展乃至金融市場的穩(wěn)定都有著至關(guān)重要的作用。傳統(tǒng)金融理論基于有效市場假說,提出了包括MM理論、靜態(tài)權(quán)衡理論、融資優(yōu)序理論在內(nèi)的一系列資本結(jié)構(gòu)決定理論。但有效市場假說在實(shí)踐中,無法解釋股票價(jià)格過度波動、股權(quán)溢價(jià)之謎、日歷效應(yīng)等各種異象。在這樣的背景下,行為金融學(xué)引入心理學(xué)和行為學(xué),試圖對這些異象作出解釋,它的出現(xiàn)給原有的理性框架帶來了前所未有的沖擊。投資者情緒研究作為行為金融學(xué)理論的重要組成部分,認(rèn)為人不總是理性的,他們的行為會受到自身情緒的影響。情緒的存在使投資者對未來的預(yù)期偏離基本面水平,而這種個(gè)體偏離通過一系列機(jī)制作用于市場,并最終影響公司資本結(jié)構(gòu)。這無疑為公司資本結(jié)構(gòu)的研究提供了嶄新的視角。此外,由于我國股票市場仍處于發(fā)展階段,容易受到非理性的投資者情緒的沖擊。因此,研究投資者情緒以及其對公司資本結(jié)構(gòu)的影響具有理論意義和現(xiàn)實(shí)意義。 為了考察投資者情緒對公司資本結(jié)構(gòu)的影響,本文首先在文獻(xiàn)回顧的基礎(chǔ)上,定義投資者情緒,并借鑒國內(nèi)外投資者情緒度量方法,以主成分分析法構(gòu)造投資者情緒度量綜合指數(shù)。其次,本文認(rèn)為投資者情緒與公司資本結(jié)構(gòu)之間存在相關(guān)性,通過實(shí)證檢驗(yàn),證明投資者情緒的存在確實(shí)會對我國公司資本結(jié)構(gòu)帶來影響,投資者情緒越高,公司資產(chǎn)負(fù)債率越低。再者,本文進(jìn)一步從理論上探討投資者情緒對公司資本結(jié)構(gòu)的影響機(jī)制,提出兩條影響路徑：一是交易行為路徑,即投資者情緒會通過影響投資者交易行為進(jìn)而影響公司資本結(jié)構(gòu)；二是交易心理路徑,認(rèn)為投資者情緒會通過影響管理層心理,影響管理層市場擇時(shí)決策,進(jìn)而影響公司資本結(jié)構(gòu)。最后,實(shí)證檢驗(yàn)結(jié)果證實(shí)了這兩條路徑的可行性。 已知投資者情緒的存在,不僅對金融市場有深刻影響,同時(shí)也會影響實(shí)體經(jīng)濟(jì),影響公司投融資行為,因此本文結(jié)合我國情況,提出相關(guān)的政策建議。首先對個(gè)人來說,應(yīng)加強(qiáng)投資者教育,抑制其非理性情緒帶來的不良影響；其次,對公司來說,公司在作出投融資決策之前,要正視投資者情緒所帶來的影響；最后,對市場監(jiān)管者來說,在制定相關(guān)政策時(shí)也應(yīng)充分考慮投資者情緒因素。
[Abstract]:Corporate capital structure has always been a hot issue in modern corporate finance theory. The choice of capital structure plays an important role in the development of the company itself and the stability of the financial market. The traditional financial theory is based on the effective market. Field hypothesis. This paper puts forward a series of capital structure decision theories including MM theory, static tradeoff theory and financing priority theory. But in practice, the efficient market hypothesis can not explain the excessive volatility of stock price and the riddle of equity premium. In this context, behavioral finance introduces psychology and behaviorism to explain these anomalies. As an important part of behavioral finance theory, investor sentiment research is not always rational. Their behavior is influenced by their own emotions, which cause investors' expectations for the future to deviate from fundamental levels, and this individual deviation acts on the market through a series of mechanisms. And ultimately affect the corporate capital structure. This undoubtedly provides a new perspective for the study of corporate capital structure. In addition, because the stock market in China is still in the stage of development. Therefore, it is of theoretical and practical significance to study investor sentiment and its influence on corporate capital structure. In order to investigate the impact of investor sentiment on the capital structure of the company, this paper firstly defines investor sentiment on the basis of literature review, and draws lessons from the domestic and foreign measurement methods of investor sentiment. The principal component analysis is used to construct the comprehensive index of investor sentiment measurement. Secondly, this paper argues that there is a correlation between investor sentiment and the capital structure of the company. It proves that the existence of investor sentiment does have an impact on the capital structure of Chinese companies. The higher the investor sentiment, the lower the ratio of assets and liabilities. This paper further discusses the influence mechanism of investor sentiment on the capital structure of the company in theory, and puts forward two influence paths: one is the path of transaction behavior. That is, investor sentiment will affect the company's capital structure by influencing the investor's trading behavior; Second, the path of transaction psychology, that investor sentiment will affect management psychology, management market timing decision, and then affect the company's capital structure. Finally. The empirical results confirm the feasibility of these two paths. The existence of known investor sentiment not only has a profound impact on the financial market, but also will affect the real economy and corporate investment and financing behavior, so this paper combines the situation of our country. First of all, we should strengthen the education of investors to restrain the negative effects of irrational emotions. Secondly, for the company, before making the investment and financing decision, we should face up to the impact of investor sentiment. Finally, for market regulators, investor sentiment should also be taken into account when formulating relevant policies.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F275

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