资本结构、杠杆的净收益与企业特征的关系研究

发布时间：2018-03-20 19:42

本文选题：资本结构　切入点：杠杆净收益　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：资本结构理论是企业金融的核心理论。资本结构广义上指企业发行不同证券的相对数量，一般指所有者权益与债权资本之间的比例关系，也被称为融资结构或财务杠杆（leverage ratio）。对资本结构的分析和研究，其目的在于通过融资管理调整不合理的资本结构，充分利用负债的财务杠杆作用降低企业的资本成本和财务风险，提高权益资本的收益率，进而提高企业的价值，使企业确立收益和风险相宜的最佳资本结构。这次国际金融危机使得中国企业受到不同程度的影响，面对中国国内通货膨胀的风险，货币政策适当紧缩的现实背景，使得研究宏观冲击和微观特征如何影响不同融资约束程度企业的资本结构调整、资本结构如何随着公司的特征而变化具有重要理论和现实意义。本文以资本结构理论为基础，探讨影响上市公司融资问题的宏观因素、行业特质以及企业特征，分析中国上市公司资本结构的特征，，考查各种因素的影响程度以及甄别主要的影响因素。采用面板数据实证研究中国上市公司资本结构与企业特征的关系，特别是杠杆净收益如何随着资本结构、公司的盈利能力、公司的成长性、非债务税盾、资产的特征、经营风险等企业特征而变化。通过选用不同行业的企业（12行业的715家企业）2006-2011年季度数据，采用马尔可夫链蒙特卡罗(MCMC)算法，利用企业的市场价值、系统风险（β系数）和杠杆净收益之间的非线性关系，探讨资本结构与企业微观因素之间的关系。研究结果说明企业特征影响到资本结构，对于低非债务税盾、稳定利润、低市场-账面价值比和高盈利企业具有更高的杠杆净收益。估计出的各参数后验分布标准差较小，各参数的抽样轨迹图中也没有出现剧烈的季节性变动，说明MCMC方法模拟出的参数后验分布的马尔科夫链收敛，参数的后验估计稳定，估计结果也进一步验证了杠杆对预期净收益具有非线性影响。
[Abstract]:Capital structure theory is the core theory of enterprise finance. In a broad sense, capital structure refers to the relative quantity of different securities issued by an enterprise, and generally refers to the proportional relationship between owner's equity and creditor's capital. The purpose of the analysis and research on capital structure is to adjust the unreasonable capital structure through financing management, and to make full use of the financial leverage of debt to reduce the capital cost and financial risk of an enterprise. Increase the return rate of equity capital, and then improve the value of enterprises, so that enterprises can establish the best capital structure which is suitable for income and risk. The current international financial crisis has affected Chinese enterprises to varying degrees. In the face of the risk of domestic inflation, the realistic background of appropriate monetary policy tightening is. It is of great theoretical and practical significance to study how macro-impact and micro-characteristics affect the adjustment of capital structure of enterprises with different financing constraints and how the capital structure changes with the characteristics of companies. Based on the theory of capital structure, this paper discusses the macro factors, industry characteristics and enterprise characteristics that affect the financing problems of listed companies, and analyzes the characteristics of capital structure of listed companies in China. Using panel data to study the relationship between the capital structure of Chinese listed companies and the characteristics of enterprises, especially how the leverage net income depends on the capital structure, the profitability of the companies. The company's growth, non-debt tax shield, asset characteristics, operating risk and other corporate characteristics change. By selecting 715 enterprises from 12 industries in different industries, we adopt the Markov chain Monte Carlo (MCMCC) algorithm, based on the 2006-2011 quarterly data. Based on the nonlinear relationship among market value, system risk (尾 coefficient) and leverage net income, the relationship between capital structure and micro factors of firm is discussed. The results show that corporate characteristics affect capital structure, and have higher leverage net income for low non-debt tax shield, stable profit, low market-to-book value ratio and high-profit enterprise. The estimated standard deviation of posterior distribution of each parameter is smaller. There is no severe seasonal variation in the sampling locus of each parameter, which indicates that the Markov chain of the posterior distribution of parameters simulated by MCMC method converges, and the posterior estimation of parameters is stable. The estimated results further verify that leverage has a nonlinear effect on the expected net income.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

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