美国纽约证券交易所上市公司价值时间效应实证检验

发布时间：2018-03-01 19:03

本文关键词： 时间效应公司价值企业生命周期上市公司　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着金融学的不断演进，现代金融学产生了很多核心理论，公司价值便是其中之一，它被用来衡量企业给予其股东、债务人及其他利益相关者回报的能力，是公司金融决策的核心判别依据。现有的企业生命周期理论将公司价值随着时间的变化联系起来。企业如同一个有机的生命体，它需要不断地成长与发展来让自己变得越来越强。企业的使命是公司价值最大化，因此自企业注册成立的那天起，它就开始不断追求成长和发展，和其他生命体一样，企业的发展也要经历不同的生命周期。企业的生命周期论述的是企业价值从无到有，由小到大，到了成熟期后其价值渐渐衰弱，最后逐渐消亡的过程。本篇论文主要讨论公司金融领域的相关内容，本文的思路为：首先用面板数据模型来研究公司价值时变特征，然后根据对美国纽约证券交易所1996-2010年325家上市公司价值随时间变化的一般性规律，通过不同上市年度样本和不同上市周期长度样本来考察上市公司价值是否存在时变效应，最后，对上述上市公司的财务数据进行实证检验，探寻究竟是哪些财务指标能解释公司价值时变特征。结果表明： 1.无论是否剔除宏观因素的影响，无论是否采用不同上市年度样本和不同上市周期长度样本，美国纽约证券交易所上市公司价值随时间变化均呈现出典型的U型曲线特征，与前人对中国上海证券交易所上市的314家上市公司价值进行的时间效应检验结果相比，结论是基本一致的，，但略有不同，体现在美国纽约证券交易所上市公司价值随时间变化呈现的U型曲线特征并不如中国上市公司随时间变化呈现的U型曲线特征结果明显。这可能是因为中国公司上市前粉饰报表的动机较强，导致公司价值虚高，公司上市后真实的公司价值指标开始显现，导致公司价值下滑，最后又由于公司上市后获得了较低成本的融资，推动了公司的发展，因此公司价值又逐渐上升所致。 2.无论是否采用不同上市年度样本或者不同上市周期长度样本，剔除宏观因素后得到的回归结果都要优于未剔除宏观因素得到的回归结果，这可以说明上市公司价值确受宏观因素影响。从不同上市周期长度样本得到的实证结果，上市年份越长，回归结果就越显著。说明上市公司价值确实会随着时间跨度变长而呈现出明显的U型特征。 3.通过对美国上市公司的财务数据进行实证检验，结果表明，资产周转率、净股利的总回报指数、加权平均资本成本股本成本和加权平均资本成本债务成本这四个数据共同解释了上市公司价值随时间变化呈现出典型U型曲线特征的原因。
[Abstract]:With the continuous evolution of finance, modern finance has produced many core theories, one of which is corporate value, which is used to measure the ability of an enterprise to give returns to its shareholders, debtors and other stakeholders. It is the core judgment basis of corporate financial decision. The existing enterprise life cycle theory connects the value of the company with the change of time. The enterprise is like an organic organism. It needs to grow and grow to make itself stronger and stronger. The mission of the enterprise is to maximize the value of the company, so it has been pursuing growth and development since the day the company was registered, just like other living things. The enterprise life cycle discusses the process of enterprise value from nothing to existence, from small to large, after mature period, its value gradually weakens and finally dies out. This paper mainly discusses the related contents in the field of corporate finance. The ideas of this paper are as follows: firstly, we use the panel data model to study the time-varying characteristics of corporate value. Then, according to the general law of the value of 325 listed companies in the New York Stock Exchange from 1996 to 2010, the time-varying effect of the value of listed companies is investigated by using different annual samples and samples of different periods of listing. Finally, the financial data of the listed companies are empirically tested to find out which financial indicators can explain the time-varying characteristics of corporate value. The results show that:. 1. Whether or not the influence of macro factors is excluded, whether or not the samples of different annual listing years and different listing cycles are used, the value of listed companies on the New York Stock Exchange of the United States shows a typical U-shaped curve with the change of time. Compared with the time effect test results of 314 listed companies listed on Shanghai Stock Exchange, the conclusion is basically the same, but slightly different. The value of listed companies in the New York Stock Exchange of the United States of America shows a U-curve characteristic that changes with time, which is not as obvious as that of Chinese listed companies over time. This may be due to the fact that Chinese companies have shown the characteristics of U-shaped curves. The motivation to whitewash the statements before going to the market is stronger, As a result of the high value of the company, the real index of the value of the company after listing began to appear, which led to the decline of the value of the company. Finally, because of the low cost of financing after the listing of the company, it promoted the development of the company. As a result, the value of the company is gradually rising again. 2. Whether or not different annual samples are used or not, the regression results obtained after removing macro factors are better than those obtained without macro factors. This can show that the value of listed companies is really influenced by macro factors. The longer the year of listing, the longer the empirical results obtained from samples of different listing cycles. The more significant the regression result is, the more obvious the U shape characteristic of the listed company value is with the time span increasing. 3. An empirical test on the financial data of listed companies in the United States shows that the asset turnover, the total return index of net dividend, The four data of weighted average capital cost equity cost and weighted average capital cost debt cost together explain why the value of listed companies shows the typical U-shaped curve characteristics over time.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F837.12;F224

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