市场择时对我国双重上市公司资本结构影响研究

发布时间：2018-05-08 16:52

本文选题：市场择时 + 双重上市　；参考：《华侨大学》2012年硕士论文

【摘要】：市场择时理论基于非有效市场和有限理性个体，研究外部市场条件对企业资本结构的影响。自Baker和Wurgler（2002）的市场择时理论提出以来，建立在市场有效假说基础上的现代资本结构理论就不断受到质疑,众多学者开始从市场择时角度展开对资本结构的探讨，并取得可观的成果。当前，国内学者对资本结构市场择时理论的研究尚处于起步阶段，研究对象以沪深两市进行IPO的公司和A股市场股权再融资公司为主，尚未有学者就中国双重上市公司市场择时行为对资本结构的影响进行实证研究。基于此，本文选取我国双重上市公司为研究样本，探讨市场择时是否会持久作用于资本结构，并以此验证市场择时理论的中国适用性。理论方面，本文首先对国内外关于市场择时的理论研究和实证结果进行对比分析。分析结果表明，国内外学者的研究主要围绕市场择时行为的存在性、市场择时指标的选取、市场择时对资本结构的持久效应三个方面展开，研究结果基本肯定了择时模式的存在性，但对市场择时代理指标的选择和“市场择时持久作用于资本结构”这一结论存在争议。其次，本文对与文章较为相关的资本结构理论进行回顾，对行为金融理论成果进行介绍。并在此基础上，对基于非理性模型框架的市场择时理论形成机制进行了阐述，即投资者的非理性预期造成公司股票误价，存在融资机会窗口，理性管理者能意识到这种机会并调整自己的融资决策，在股价高估阶段发行权益，低估阶段回购权益，市场择时通过改变企业融资方式，而对资本结构产生影响。实证方面，本文首先采用统计数据分析的方法，以首日市场回报率衡量市场行情，通过对比不同首日市场回报率下，返回境内发行A股的H股公司数量和融资规模，检验市场择时行为存在性。统计结果显示，双重上市公司确实存在股权融资市场择时。其次，，借鉴Baker和Wurgler（2002）研究方法，使用资产市净率和外部融资加权平均M/B值作为择时指标，以资产负债变化率为因变量，结合公司规模、盈利能力、有形资产率建立多元回归模型，就上市后五年市场择时对双重上市公司融资行为和资本结构的影响进行检验。检验结果表明，H股公司决定返回内地A股双重上市时，存在市场择时行为，并在上市当年显著影响资本结构，但从长期来看，市场择时与资本结构之间不存在相关关系，资本结构不是公司过去对资本市场进行市场择时的累积结果。基于我国双重上市公司的经验数据不支持市场择时理论。
[Abstract]:Based on non-efficient market and limited rational individuals, the market timing theory studies the influence of external market conditions on the capital structure of enterprises. Since the theory of market timing was put forward by Baker and Wurgler 2002, the modern capital structure theory, which is based on the market efficiency hypothesis, has been constantly questioned. Many scholars have begun to discuss the capital structure from the perspective of market timing. And achieved considerable results. At present, the domestic scholars' research on the timing theory of capital structure market is still in its infancy. The main research objects are the IPO companies in Shanghai and Shenzhen stock markets and the equity refinancing companies in the A-share market. There is no empirical study on the influence of market timing behavior on capital structure of dual listed companies in China. Based on this, this paper selects the dual listed companies as the research sample, discusses whether the market timing will act on the capital structure for a long time, and verifies the applicability of the market timing theory in China. In theory, this paper firstly makes a comparative analysis of the theoretical and empirical results of market timing at home and abroad. The results show that the researches of domestic and foreign scholars mainly focus on the existence of market timing behavior, the selection of market timing indicators, and the lasting effect of market timing on capital structure. The research results confirm the existence of timing model, but there is controversy about the choice of market timing agent index and the conclusion that market timing has a lasting effect on capital structure. Secondly, this paper reviews the capital structure theory related to the article and introduces the achievements of behavioral finance theory. On this basis, the formation mechanism of market timing theory based on the framework of irrational model is expounded, that is, the irrational expectation of investors results in the mispricing of the company's stock, and there is a window of financing opportunities. Rational managers can realize this opportunity and adjust their own financing decisions, issue equity in the stage of overvaluation of stock price, undervalue the stage of repurchase of rights and interests, and influence the capital structure by changing the financing mode of enterprises in the market. In the empirical aspect, this paper first uses the statistical data analysis method, measures the market price by the first day market return rate, through the contrast under the different first day market return rate, returns the domestic A-share issued the H share company quantity and the financing scale, Test the existence of market timing behavior. Statistical results show that dual listed companies do exist stock financing market timing. Secondly, using the method of Baker and Wurgler 2002 as reference, using the ratio of assets to book value and the weighted average M / B value of external financing as timing index, taking the change rate of assets and liabilities as the dependent variable, combining with the company size, profitability and tangible assets ratio, the multiple regression model is established. This paper examines the effects of market timing on the financing behavior and capital structure of dual listed companies in five years after listing. The test results show that when H-share companies decide to return to mainland A shares, they have market timing behavior and have significant influence on capital structure in the year of listing, but in the long run, there is no correlation between market timing and capital structure. Capital structure is not the cumulative result of past market timing. The empirical data of dual listed companies in China do not support the theory of market timing.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F275

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