我国上市企业债务融资与绩效关系的实证研究

发布时间：2018-08-04 11:23

【摘要】：公司金融作为金融学领域的重要分支,具有举足轻重的地位。在这个领域,国内外的研究者已经取得了丰硕的成果。在理论方面,主要有M-M理论、权衡理论、优序融资理论和代理理论等重要理论。最初的M-M理论在十分严格的假设前提下,得出两个重要结论：一是企业价值与资本结构无关论,二是企业负债越多,价值越大。这明显与实际情况不符,因而后续的研究者对该理论进行了修正,并产生了权衡理论、优序融资理论和代理理论等优秀的理论成果。在实证研究方面,国内外的研究方法相似,其中,国外的实证结果基本上与理论预测一致,而国内的实证研究存在着不同的结论。在这里,我们不得不承认这样一个事实：在西方发达的市场经济国家,企业的独立性强、自主性高,而且很多大型企业发展历史较长,被认为是自由追逐利润的主体；而我国真正意义上的企业诞生于改革开放之后,上市企业则出现得更晚,民营企业的发展历史也较短,另外,我国的国有企业虽然已经基本上完成股份制改造,但是,仍然受到行政权力的干预,其市场独立性不够高。因此,从债务融资与企业绩效之间的关系入手,将民营企业和国有企业对比研究,通过比较它们二者债务融资的经济效益的不同之处、以及债务融资受到企业绩效不同的约束程度,可以得知企业的所有制属性对企业绩效与债务融资关系的影响,·并提出相关对策,这既提供了研究我国企业绩效与资本结构的一个新的视角,也具有重要的现实意义。本文定量分析与定性分析相结合,理论分析与实证分析相结合,首先介绍了企业金融理论,然后选取1997年之前上市的民营企业和国有企业各32家企业作为研究样本,计算相关变量,加以实证分析。文章逻辑结构分为五步：第一步,导论部分,介绍本文的研究背景、研究目的、研究结构和研究方法；第二步,文献部分,阐述M-M理论及其修正理论,为本文提供理论背景和理论来源；第三步,确定自变量、因变量、控制变量和样本数据。具体阐述如下：首先,确定企业绩效的衡量指标,以确定因变量。从不同的利益相关者角度出发,企业绩效有不同的判断指标,本文确定了股东、债权人两个主要的利益相关者。因为企业绩效势必影响到企业是否有能力按期偿还债务,这涉及到债权人的利益；同时,也影响到企业的净资产是否增值,这涉及到股东的利益。企业绩效指标包括绝对量指标和相对量指标,绝对量指标有市场价值、市场价值增加值、权益价值、现金流现值和净利润,相对量指标有资产收益率、净资产收益率、市净率、市盈率和每股收益。其中,绝对量指标都着重衡量企业的价值增量,对于不同企业来讲,可能存在价值增量相同而产生该增量的资本投入量不同的现象；即使是同一企业,也可能存在不同时期的价值增量相同而资本投入量不同的情况,也就是说,绝对量指标忽略了产生经济效益的资本量,具有重要缺陷。而相对量指标中,除了每股收益以外,都能够克服这一缺陷,因为每股收益也无法反映产生经济效益所对应的每股净资产份额。相对量指标中的其他四个指标,市盈率和市净率除了受到财务状况的影响外,还受到投资者的行为、经济形势和金融市场的影响,因此,不适合作为本文的企业绩效衡量指标；而净资产收益率和资产收益率可以通过财务数据直接计算得到,受其他因素的影响较小,而且还可以反映企业的增长潜力和投资价值,因此,作为本文的企业绩效衡量指标。其次,确定资本结构的衡量指标,以确定自变量。目前较为常用的资本结构概念包括三个：一是实收资本、资本公积、盈余公积和未分配利润的内部比例关系；二是各主要股东的持股比例关系；三是资产、负债与权益之间的比例关系。鉴于本文提出的四大假设前提和研究课题,选取资产、负债与权益之间的比例关系作为资本结构的衡量指标,具体指标为资产负债率、短期负债率和长期负债率。再次,确定控制变量。本文参照之前的文献的方法,将企业的成长性和规模作为控制变量。其中,采用企业的主营业务增长率衡量企业的成长性,采用企业总资产的自然对数值衡量企业规模。最后,选取我国上市企业的样本数据。本文选取在沪深A股上市的235家国有企业和91家民营企业作为研究样本,以这些企业1997年到2011年之间的、共15年的年度面板数据为研究的数据基础。在选取样本企业时,涉及到两个重要的问题：首先,明确界定民营企业和国有企业。将上市企业按其上市代码从小到大排序,利用“同花顺”炒股软件查找企业的资本资料,重点考察其最终控制人以及是否在近期发生过资产重组,如果企业的最终控制人为国资委或者国有企业,并且该企业不是近期由民营企业重组为国有企业的,则认定该企业为国有企业；如果企业的最终控制人为自然人或者民营企业,并且该企业不是近期由国有企业重组为民营企业的,则视为民营企业。另外,剔除了三类企业,即金融类企业、ST类企业、第二步和第三步中计算财务比率时值为零或者不存在的企业。其次,确定15年的时间跨度和235家国企与91家民企的样本规模。之前的文献选用面板数据时,纵向的时间T的跨度较短,大多数为3年到5年,这导致数据分析的结果不理想。此外,国内外的经验表明,一个企业从初期创业发展到基本成熟,大多需要10多年的时间。因此,选择15年的时间跨度,基本上可以见证一家企业从高速成长到稳定增长的过程。另外,本文选取的面板数据的样本企业是所有在沪深A股上市的企业,在进行筛选后得出的样本,无论从样本量本身还是从行业代表性方面,都可以满足实证研究对于数据量的要求。第四步,在第三步的基础上加以实证分析。先用线性模型对自变量与因变量之间的关系进行分析；再检验本文的样本数据是否存在之前的文献所得出的结论：以资产负债率为横轴、以企业绩效为纵轴的坐标系中,企业绩效与资产负债率存在倒U形的二次曲线关系。具体的分析方法和步骤如下：首先,针对面板数据的三种基本模型,利用个体随机效应模型进行回归分析,并利用Hausman检验确定模型的类型,结果显示,所有的模型都应该采用个体随机效应模型：然后,针对各个自变量进行T检验、针对整个模型进行F检验,以确定是否通过显著性检验,同时,通过考察DW值以确定模型是否存在随机扰动项的自相关问题,若存在这个问题,则引入差分进行分析以克服自相关；再次,对面板数据进行单位根检验和协整检验,以确定各个变量的平稳性及变量之间的关系。另外,在实证过程中,还要考虑可决系数值,只有当可决系数值比较大时,方才认为变量之间存在一定的关系,以保证拟合优度和自变量对因变量的解释力度。第五步,得出结论。本文的结论主要有四个：一是民营企业和国有企业的企业绩效与资产负债水平均不存在二次曲线关系。二是企业的所有制属性对企业的负债融资与绩效之间的关系存在较大程度的影响,只有民营企业的资产收益率与整体负债水平、短期负债和长期负债存在一次线性关系。民营企业的负债融资与企业绩效的关系表现为：从整体负债水平看,上一期的负债对本期的企业绩效有积极影响,本期的负债对企业绩效有消极影响；从负债的期限结构看,偏向于短期负债,其负债融资既提高了企业绩效,同时也受到企业绩效的制约,另外,虽然民营企业同一期的短期负债和长期负债都对企业绩效有相同方向的影响,但是,长期负债对企业绩效的影响更大；而国企偏向于长期负债,其负债融资未能有效地提高企业业绩,其负债融资的规模也没有受到企业绩效的强有力的制约。三是净资产收益率与企业的负债水平之间不存在线性关系。四是当期的企业负债对企业绩效有负向影响,上一期的负债对企业绩效有正向影响。本文的主要贡献是：第一,就实证所采用的数据而言,本文采用符合条件的A股所有企业共15年的面板数据,时间跨度较长,而且数据较新,研究结果更让人信服；第二,将民营企业和国有企业两种不同所有制属性的企业进行对比研究,发现了所有制属性对企业债务融资的规模及债务期限结构的影响,从另一个角度发现了国有企业存在的“融资软约束”问题；第三,本文通过实证说明了一个事实：负债对于企业来讲,从短期看是负担,从长远看有利于提高企业绩效。
[Abstract]:As an important branch of the field of finance, corporate finance plays an important role. In this field, researchers at home and abroad have achieved fruitful results. In theory, there are important theories, such as M-M theory, trade-offs theory, optimal order financing theory and agency theory. The first M-M theory is based on very strict assumptions. There are two important conclusions: first, the theory of enterprise value and capital structure is irrelevant, the two is that the more the enterprise is in debt and the greater the value. This is obviously not consistent with the actual situation, so the following researchers have corrected the theory and produced the excellent theoretical results, such as the theory of trade-offs, the theory of optimal order financing and the theory of agent theory. The external research methods are similar, among them, the empirical results of foreign countries are basically consistent with the theoretical prediction, while domestic empirical studies have different conclusions. Here, we have to admit the fact that in western developed market economy countries, enterprises have strong independence, high autonomy, and many large enterprises have a long history of development. It is thought to be the main body of free pursuit of profit, and the real enterprise of our country was born after the reform and opening up, the listed enterprises appeared later, and the development history of the private enterprises was short. In addition, although the state-owned enterprises in our country had basically completed the reform of the shareholding system, they were still subject to the interference of the administrative power and their market independence. Therefore, starting with the relationship between debt financing and enterprise performance, the comparative study of private and state-owned enterprises, by comparing the differences in the economic benefits of their two party debt financing, and the degree of debt financing under different corporate performance, can be used to learn that the ownership property of the enterprise is to the enterprise performance and debt. The influence of business financing relationship, and the relevant countermeasures are put forward, which not only provides a new perspective to study the performance and capital structure of China's enterprises, but also has important practical significance.
In this paper, quantitative analysis and qualitative analysis are combined, theoretical analysis and empirical analysis are combined. First, the theory of enterprise finance is introduced. Then 32 enterprises of private and state-owned enterprises before 1997 are selected as research samples, and the relevant variables are calculated and analyzed. The logical structure of the article is divided into five steps:
The first part, introduction, introduces the background, purpose, structure and research of this study.
Method;
The second step is to explain the M-M theory and its amendment theory in the literature part, and provide the theoretical background and theoretical source for this article.
The third step is to identify independent variables, dependent variables, control variables and sample data.
First, determine the measure of enterprise performance to determine the dependent variable. From the point of view of different stakeholders, the enterprise performance has different judgment indicators. This paper determines the shareholders and the two main stakeholders of the creditor. Because the enterprise performance is bound to affect the ability of the enterprise to repay the debt on time, which involves the benefit of the creditor. At the same time, it also affects the value added of the net assets of the enterprise, which involves the interests of the shareholders. The performance index of the enterprise includes the absolute quantity index and the relative quantity index, the absolute index has the market value, the value added value of the market value, the value of equity, the present value of cash flow and the net profit, and the asset return rate, the net asset return rate and the market net ratio on the quantity index. The price earnings ratio and earnings per share. Among them, the absolute value index is to measure the value increment of the enterprise. For different enterprises, there may be the phenomenon that the increment of capital input varies with the same value increment. Even the same enterprise, there may be the same value increment in different period and the different capital input. That is to say, the absolute index neglects the amount of capital that produces economic benefits and has an important defect. In the relative quantity index, in addition to earnings per share, it can overcome this defect, because earnings per share can not reflect the net capital per share corresponding to economic benefits. The other four indicators in the relative index, the price earnings ratio and the price earnings per share index. In addition to the influence of the financial situation, the market net rate is also influenced by the behavior of the investors, the economic situation and the financial market. Therefore, it is not suitable to be used as the performance measurement index of this article, while the net assets yield and the asset yield can be calculated directly through the financial data, and are less influenced by other factors, and can also be used. It reflects the growth potential and investment value of enterprises. Therefore, it is the indicator of corporate performance in this paper.
Secondly, to determine the index of capital structure to determine the independent variable. At present, the more commonly used concepts of capital structure include three: one is the internal proportion of capital, capital stock, surplus stock and undistributed profit; two is the proportion of the main shareholders; the three is the proportion of assets, liabilities and rights and interests. The four premise and research topic proposed by Yu Benwen, select the proportion of assets, liabilities and rights and interests as the measure index of capital structure, the specific index is the asset liability ratio, the short-term debt rate and the long-term debt rate.
Thirdly, the control variable is determined. In this paper, the growth and scale of the enterprise are considered as control variables. The growth rate of the enterprise is measured by the growth rate of the main business of the enterprise, and the scale of the enterprise is measured by the natural value of the total assets of the enterprise.
Finally, we select the sample data of the listed companies in China. This paper selects 235 state-owned enterprises and 91 private enterprises listed in Shanghai and Shenzhen A shares as the research samples, taking the annual panel data of these enterprises from 1997 to 2011 as the data basis of the annual panel data of 15 years. When selecting sample enterprises, there are two important issues involved:
First, it clearly defines private enterprises and state-owned enterprises. According to the listed companies' listed code from small to large, the listed enterprises are used to find the capital data of the enterprise by using the "Tong Shun" stock software to find out the final controller and whether the asset reorganization has occurred in the near future. If the final control of the enterprise is the SASAC or the state-owned enterprise, And the enterprise is not recently reorganized by a private enterprise as a state-owned enterprise, then it is identified as a state-owned enterprise. If the final control of the enterprise is a natural or a private enterprise, and the enterprise is not recently reorganized by a state-owned enterprise to a private enterprise, it is regarded as a private enterprise. In addition, three types of enterprises, that is, financial enterprises, S T enterprises, in the second and third steps, calculate the financial ratios that are zero or nonexistent.
Secondly, the time span of 15 years and the sample size of 235 state-owned enterprises and 91 private enterprises are determined. When the previous literature selects panel data, the span of the longitudinal time T is shorter, most of which are 3 to 5 years, which leads to the unsatisfactory results of data analysis. In addition, the experience at home and abroad shows that a enterprise has developed from initial start to basic maturity. It takes more than 10 years. Therefore, the time span of 15 years is basically a witness to the process of growth from high speed to steady growth. In addition, the sample enterprises selected by this article are all the companies listed in the Shanghai and Shenzhen stock market, and the samples are selected after screening, whether from the sample size itself or from the industry representative. In terms of sex, it can meet the requirements of empirical research for data volume.
The fourth step is to make an empirical analysis on the basis of the third step. First, the linear model is used to analyze the relationship between the independent variable and the dependent variable; and then the conclusion of the literature before the sample data exists: the enterprise performance and the asset liability in the coordinate system which takes the asset liability ratio as the horizontal axis and the enterprise performance as the longitudinal axis. The two curve relationship exists in the inverted U shape. The specific analysis methods and steps are as follows: first, according to the three basic models of panel data, the regression analysis is carried out by the individual random effect model, and the model is determined by Hausman test. The results show that all models should adopt the individual random effect model: then, needles The T test of each independent variable is carried out, and the whole model is tested by F to determine whether or not the significance test is passed. At the same time, by examining the DW value to determine whether the model exists the autocorrelation problem of the random disturbance, if there is this problem, the difference is introduced to analyze the autocorrelation of the model, and again, the unit root test of the panel data is carried out. And co integration test to determine the stability of each variable and the relationship between variables. In addition, in the empirical process, we should consider the number of decisive lines. Only when the numbers are relatively large, it is considered that there is a certain relationship between the variables so as to ensure the strength of the goodness of fitting and the explanation of the variable.
The fifth step is to draw a conclusion. There are four main conclusions in this paper.
First, there is no two degree relationship between the performance of enterprises and the level of assets and liabilities of private enterprises and state-owned enterprises.
The two is that the ownership property of the enterprise has a great influence on the relationship between the debt financing and the performance of the enterprise. Only the asset return of the private enterprise has a linear relationship with the overall debt level, the short-term debt and the long-term liabilities. The relationship between the debt financing and the enterprise performance is manifested in the overall debt. On the other hand, the debt of the previous period has a positive impact on the performance of this period. The liabilities of this period have a negative impact on the performance of the enterprise. From the term structure of debt, it is biased towards short-term liabilities, and its debt financing not only improves the performance of the enterprise, but also is restricted by the performance of the enterprise, while the short-term liabilities and long term liabilities of the private enterprises in the same period. Liabilities have the same influence on enterprise performance in the same direction, but long-term liabilities have greater impact on enterprise performance; while state-owned enterprises are biased towards long-term liabilities, their debt financing does not effectively improve enterprise performance, and the scale of debt financing has not been strongly restricted by corporate performance.
Three, there is no linear relationship between the net assets yield and the debt level of enterprises.
Four, corporate liabilities in the current period have a negative impact on corporate performance, and liabilities in the previous period have a positive impact on corporate performance.
The main contributions of this paper are: first, in terms of the data used in the empirical study, this paper adopts the panel data of all A shares of eligible A shares for a long time, and the data are relatively new and the results are more convincing. Second, the comparison of two different ownership enterprises of private enterprises and state-owned enterprises is carried out. The effect of ownership on the scale of corporate debt financing and the term structure of debt is presented. From another point of view, the problem of "financing soft constraints" in state-owned enterprises is found. Third, this paper shows a fact that debt is a burden to enterprises in the short term and is conducive to improving enterprise performance in the long run.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275;F272.5

【参考文献】