中国上市公司价值的时间效应及其内生性研究

发布时间：2018-05-11 21:40

本文选题：公司价值 + 时间效应　；参考：《吉林大学》2012年博士论文

【摘要】：公司价值是现代金融学理论最重要的概念之一，作为公司金融决策的核心判别依据，用于测度企业给予其利益相关者回报的能力，并且公司价值最大化已经成为了企业经营的最终目标。金融市场的典型化事实和已有的研究结论均已证明公司价值具有动态特征，而投资决策、资本结构和股利政策等因素变化带来的冲击构成了公司价值变化的原因，即公司价值变化具有外生性特征。显然，已有研究并未涉及公司价值随时间变化是否具有内生性一般规律的问题。关于公司价值随时间变化规律的理论主要是企业生命周期理论，描述了单一公司的价值从无到有，再从峰值开始衰退，直至消亡的整个时变过程，并且认为任何影响公司未来现金流和贴现率的因素都将对公司价值产生影响。生命周期理论讨论了公司处于不同的发展阶段，其规模、生产效率和融资选择限制等外部环境差异所导致的公司价值自身的时变规律，还是强调公司价值时变的动因来自外生冲击，并未涉及公司处在某一个特定发展阶段，其外部环境相对稳定的条件下公司价值时变的内生性问题。本文在学者们关于公司价值的内涵、来源以及影响因素等领域研究成果的基础上，借助金融计量经济学实证方法采用中国证券市场的数据，实证检验发行上市后公司价值随时间变化的一般性规律，考察公司价值的变化是否存在时间效应，并基于贴现率、资本结构、破产风险和委托代理成本等影响公司价值最为显著因素随时间变化规律的实证检验，解释公司价值时间效应的内生性原因。本文在前期研究成果的基础上，相信外生冲击并不是上市公司价值随时间变化的全部原因，上市公司价值可能具有“内生弯曲”的时变特征。本论文的具体研究思路为：首先，建立公司价值时间效应的实证研究模型，利用中国证券市场数据实证检验上市公司价值随时间变化的一般性规律，，分别实证检验不同年度IPO的上市公司价值以及不同上市周期长度的公司价值的时变特征，以全面地考察上市公司价值“是否”存在时间效应，以及上市公司价值“如何”随时间变化的问题；其次，考虑到充分的样本数量是模型统计推断正确的前提，本文选取2001年至2007年的七年中的上市公司有效样本仅有314家，整体的样本数量，尤其是最后几年的样本数量偏少，得到的统计推断结果不一定能够准确地刻画整体样本的特征，因此采用一种放回再抽样的统计方法对上市公司价值的时变特征进行再检验，以克服样本稀缺的问题；再次，实证研究上市公司价值变化的几个最重要的影响因素——贴现率、资本结构、破产风险和委托代理成本等随时间变化的特征，进而分析上市公司价值时间效应存在的内生性原因，即回答“为什么”上市公司价值具有内生时变特征的问题。显然，财务指标既是影响上市公司价值变化的重要因素，同时也刻画了上市公司的经营过程和直接成果，选择适当的财务指标对上述影响因素进行测度，并分别进行时间效应检验，能够进一步解释上市公司价值内生时变的原因。研究结论表明：外生冲击并不是上市公司价值随时间变化的全部原因，上市公司价值的时变特征呈现典型的U型曲线，且实证结论稳健，说明上市公司价值确实具有时间效应，即随着时间的推移先上升后下降；基于财务信息中关于上市公司价值影响因素的实证结果表明，上市公司的贴现率、破产风险和资本结构等因素共同构成了上市公司价值随时间变化表现出典型的U型曲线特征的内生性原因；基于随机前沿模型测度的上市公司委托代理成本随时间变化呈现出了单调线性特征，与上市公司价值随时间变化呈现出的典型U型曲线特征存在差异，表明上市公司委托代理的时变特征是影响上市公司价值时变的内生性原因，但只是驱动上市公司价值随时间不断下降的原因。总之，本论文在考虑上市公司普遍处于企业生命周期的特定阶段，所面临的外部环境（如融资成本、监管环境等）基本稳定的基础上，选择中国证券市场上市公司作为研究对象，实证研究上市公司价值的时间效应及其内生性特征，为后续关于公司价值影响因素的科学研究提供了一个新的视角和实证数据支持。
[Abstract]:The value of the company is one of the most important concepts in modern finance theory . As the core criterion of corporate financial decision - making , the value maximization of the company has become the ultimate goal of enterprise management .
Based on the scholars ' research achievements in the fields of the connotation , origin and influencing factors of the company ' s value , the paper uses the empirical method of financial econometrics to analyze the general rule of the value of the company after the issuance of the post - marketing company , and to examine whether the change of the value of the company has the time effect , and the intrinsic reason of the company ' s value time effect is explained based on the empirical test of the change rule of the company value .
Based on the empirical research model of the company ' s value time effect , the paper uses the data of Chinese stock market to empirically test the general rule of the value of the listed company over time , to empirically test the time - varying characteristics of the value of the listed company and the value of the company with different period length , so as to comprehensively investigate whether the value of the listed company has time effect and how the value of the listed company is changed over time .
Secondly , considering that the sufficient number of samples is the premise of the conclusion that the model statistics are correct , this paper selects only 314 effective samples of the listed companies in the seven years from 2001 to 2007 , the total number of samples , especially the number of samples in the last few years , so that the obtained statistical inference results do not necessarily accurately depict the characteristics of the whole sample , so the time - varying characteristics of the value of the listed companies are re - tested by a statistical method of back - sampling , so as to overcome the problem of scarcity of samples ;
Thirdly , the paper analyzes the reasons why the value of listed companies has the endogenous time - varying characteristics . It is clear that the financial indicators are not only the important factors that affect the value change of listed companies , but also the business process and the direct result of listed companies , choose the appropriate financial indicators to measure the above - mentioned factors , and then conduct the time - effect test , which can further explain the reasons of the endogenous time - varying of the value of listed companies .
The research conclusion shows that exogenous shocks are not all the causes of the change of the value of listed companies over time . The time - varying characteristics of the value of listed companies present a typical U - shaped curve , and the empirical conclusion is robust .
Based on the empirical results of the influencing factors of the value of listed companies in the financial information , the factors such as discount rate , bankruptcy risk and capital structure of listed companies together form the intrinsic reason of the typical U - shaped curve characteristic of the value of listed companies over time .
Based on the stochastic frontier model measure , the cost of entrusted agent of listed company shows the monotony linear characteristic , and the characteristic of typical U - shaped curve which shows the value of listed company varies with time , indicates that the time - varying characteristic of the principal agent of listed company is the intrinsic reason that affects the time - varying of the listed company , but it is only the reason why the value of listed company decreases with time .
In short , the thesis selects China ' s securities market listed company as the research object on the basis of the basic stability of the external environment ( such as financing cost , regulatory environment , etc . ) which is generally at the specific stage of the enterprise life cycle , and provides a new visual angle and empirical data support for the subsequent scientific research on the influence factors of the company value .

【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F275;F224

【参考文献】