行为金融下的资本结构研究

发布时间：2018-08-25 17:46

【摘要】：本文放松了传统的资本结构理论中市场参与者都是理性的假设,建立了投资者和管理者对于投资收益具有非理性认知的数学模型,对管理者非理性和投资者非理性对资本结构决策的影响进行了研究。首先,在资本结构的权衡理论的框架下,加入了非理性的管理者和投资者对投资收益的预期,使企业最优的资本结构发生了变化。而管理者与投资者的非理性情绪使得委托代理理论下的激励约束条件也发生了变化。投资者的情绪也会影响其参与约束条件。第二,本文建立了存在信息不对称、投资者非理性情绪普遍存在的市场模型,研究不同类型的公司增发新股和发行债券的条件及增资后的公司价值变化。研究结果表明：非理性的管理者倾向于债务融资；较为宽松的激励约束就可以激励非理性的管理者尽职。投资者的非理性情绪使公司融资存在市场时机,投资者情绪越高,公司最优的负债率越低；公司的债务融资额度必须满足债权人的参与约束,投资者越乐观,对公司资本结构的约束强度越弱。在市场信息不对称,投资者非理性情绪普遍存在的非有效市场里,投资者的情绪高于一定程度才能满足公司增发新股的条件,而好公司的这一条件更为严格。非理性的管理者对公司增发的条件要求更高,但是对债务融资的要求更宽松。投资者情绪对公司增资后的市场价值有影响。本文写作的创新之处在于：首先,现有的文献多集中于实证研究,证实了投资者和管理者的非理性情绪对公司筹资决策和股权的市场价值存在影响。但是系统的理论分析较少。本文将放松传统理论中的有效市场假设,对传统资本结构理论进行改进和完善。其次,行为公司金融的理论框架分别从投资者非理性和管理者非理性两条路径进行研究。这两种非理性的结合是行为公司金融未来发展的一个重要方向,本文从这个方向上进行了尝试。
[Abstract]:In this paper, the assumption that market participants are rational in the traditional capital structure theory is relaxed, and the mathematical model of investors and managers' irrational cognition of investment returns is established. The influence of irrational manager and investor irrationality on capital structure decision is studied. Firstly, under the framework of capital structure trade-off theory, irrational managers and investors are added to the expectation of investment returns, which makes the optimal capital structure of enterprises change. The irrational emotions of managers and investors also change the incentive and constraint conditions under the principal-agent theory. Investor sentiment will also affect their participation constraints. Secondly, this paper establishes a market model with asymmetric information and irrational sentiment of investors, and studies the conditions of issuing new shares and bonds and the changes of corporate value after increasing capital by different types of companies. The results show that irrational managers tend to debt financing and looser incentive constraints can motivate irrational managers to do their duties. The irrational emotion of investors makes the company's financing exist market opportunity. The higher the investor's sentiment, the lower the optimal debt ratio of the company, and the more optimistic the investors are, the debt financing amount of the company must meet the participation constraints of the creditors, the more optimistic the investors are, the more optimistic the investors are. The weaker the constraint on the capital structure of the company is. In the non-efficient market where the market information is asymmetric and the investors' irrational emotion exists generally, the investor's emotion can satisfy the conditions of the new shares issuance only if the investor's sentiment is higher than a certain degree, and this condition of the good company is even more strict. Irrational managers are more demanding for additional corporate offerings, but looser for debt financing. Investor sentiment has an impact on the market value of the company after increasing its capital. The innovation of this paper lies in: firstly, the existing literature focuses on empirical research, which proves that the irrational emotions of investors and managers have an impact on the corporate financing decision and the market value of equity. But the theoretical analysis of the system is less. This article will relax the efficient market hypothesis in the traditional theory, and improve and perfect the traditional capital structure theory. Secondly, the theoretical framework of behavioral corporate finance is studied from two paths: investor irrationality and manager irrationality. The combination of these two kinds of irrationality is an important direction for the future development of behavioral company finance.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F830

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