资本结构与异常报酬

发布时间：2018-03-31 13:25

本文选题：股票报酬　切入点：企业负债率　出处：《新疆财经大学》2012年硕士论文

【摘要】：长期债务与权益资本的结合形成了企业的资本结构，权衡债务带来的收益和风险，达到合理的最优资本结构，实现企业价值最大化是资本结构的决策内容。资本结构决策是企业融资决策的核心问题，它直接决定企业融资方式的选择及各种融资方式所占的比重，从而影响股东、债权人等相关利益主体对企业控制的程度。随着我国上市公司日益成为我国经济运行中一个重要组成部分，对上市公司资本结构的研究，不仅有利于企业自身价值最大化，同时对推动国内经济理论与国际研究同步，健全和完善我国的资本市场体系都具有重要的意义。随着中国经济的快速发展，资本市场改革也取得了很大的进步，资本市场的日益完善使得股票市场已经成为专家学者们重点关注领域。但在股票报酬方面却研究甚少。任何一个企业的股票价格每天都在变化，，股票的报酬率也在发生变化，而导致这个变化的因素有两个：一是个股的特殊性，二是市场的一般因素。本文的首要任务就是确定由于个股的特殊性而导致的异常报酬率，确定异常报酬率的计算公式。本文论证的是资本结构与异常报酬之间的关系，验证这个关系的同时关注了企业所在的行业对这个关系的影响。企业负债率与累积异常报酬是正相关关系，行业平均负债率与累积异常报酬也是正相关关系。将一个行业里外部融资平均水平与单个企业的负债率分开考虑是重要的。本文重点关注行业特色，行业集中度低、竞争激烈的行业，行业负债率越低，异常报酬率越高。在行业集中度高的行业，负债率与异常报酬正相关，由于样本容量的限制相关性不显著。在受管制的行业行业负债率与异常报酬是负相关关系，在不受管制的行业，行业负债率与异常报酬是正相关关系，由此可见行业特色对负债率与异常报酬关系的影响。
[Abstract]:The combination of the long - term debt and equity capital forms the capital structure of the enterprise , trade off the benefits and risks brought by the debt , achieves the reasonable optimal capital structure , and realizes the maximization of the enterprise value is the decision - making content of the capital structure . As the listed company of China is becoming an important part of the economic operation of our country , the research on the capital structure of the listed company is beneficial not only to the maximization of the value of the enterprise itself , but also to the promotion of the domestic economic theory and the international research synchronization , perfecting and perfecting the capital market system of our country .

With the rapid development of China ' s economy , the reform of capital market has made great progress , and the increasing of capital market has made the stock market become the focus area of experts and scholars . However , the stock price of any one enterprise changes every day , and the rate of return of stock has changed . The first task of this paper is to determine the abnormal return rate due to the particularity of individual shares and to determine the calculation formula of abnormal return rate .

This paper demonstrates the relationship between capital structure and abnormal remuneration , and also pays attention to the influence of the industry on this relationship . The debt ratio of the industry is positively correlated with the accumulated abnormal compensation . The higher the debt ratio of the industry and the abnormal remuneration , the lower the limit of the sample size , the higher the debt ratio of the industry and the abnormal remuneration are positive correlation . In the unregulated industry , the debt ratio of the industry is positively correlated with the abnormal remuneration . Therefore , the influence of the industry characteristic on the relationship between the debt ratio and the abnormal remuneration is seen .

【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

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