上市公司的杠杆率与股价波动的关联性研究

发布时间：2018-05-15 18:59

本文选题：上市公司 + 杠杆率　；参考：《湖南大学》2014年硕士论文

【摘要】：自2008年国际金融危机爆发以来，欧美金融机构遭受巨大损失和面临破产威胁，迫使各国政府纷纷出台大规模注资、不良资产担保等措施。纵观此次金融危机，过度使用高杠杆、资产负债表过度膨胀是造成危机的重要原因。上市公司的杠杆率所反映出的是公司的资本结构，，而上市公司的股票价格则体现了公司的实际价值，二者之间的关联性研究并不是一个新的话题。但是，通过分析两者之间的关系并辅以实际数据进行研究，从而论证不同经营状况的公司在不同时期的杠杆水平，并据此反向分析出杠杆水平对股票价格所带来的影响，具有非常重大的理论和现实意义。本文旨在结合上市公司的杠杆率与市盈率之间的相关性，探讨杠杆率的变动对上市公司股票价格和公司价值的影响。首先分析资本结构和股价效应假说的相关理论基础；其次对中小板上市公司杠杆率和市盈率的现状进行分析；接着根据理论基础和实际情况提出存在最佳杠杆率区间的假设；然后以中小板上市公司的收益率作为公司价值的衡量指标，对杠杆率的变动对市盈率的影响进行实证研究；最后给出实证结果并根据实证结果提出相关建议。在实证研究中，本文选取了中小板上市公司中2010年1季度至2013年3季度间持续上市的371家公司共5565个平衡面板数据作为样本，分行业分类别进行了分类讨论，得出了上市公司的杠杆率对股票价格和公司价值的影响趋势。通过对实证结果的分析，得出了如下结论：（1）中小板上市公司的杠杆率与市盈率普遍呈现出曲线相关关系，并且二次项系数普遍小于零，这就证明了在中小板上市公司中确实存在一个最优杠杆率水平区间使得市盈率保持在一个理想状态。（2）不同行业的二次回归方程中各项系数有很大差别，这说明不同行业的上市公司最优杠杆率水平存在着较大的差异，而且不同行业的企业发展水平也有着一定差别。
[Abstract]:Since the outbreak of the international financial crisis in 2008, European and American financial institutions have suffered huge losses and faced the threat of bankruptcy, forcing governments to introduce large-scale capital injection, non-performing asset guarantees and other measures. Throughout the financial crisis, excessive use of high leverage, balance sheet expansion is an important cause of the crisis. The leverage ratio of the listed company reflects the capital structure of the company, while the stock price of the listed company reflects the actual value of the company. The research on the correlation between the two is not a new topic. However, by analyzing the relationship between the two and studying with actual data, the paper demonstrates the leverage levels of companies with different operating conditions in different periods, and then analyzes the impact of leverage levels on stock prices. It is of great theoretical and practical significance. The purpose of this paper is to discuss the influence of the change of leverage ratio on the stock price and company value of listed companies by combining the correlation between the leverage ratio and the price-earnings ratio of listed companies. Firstly, it analyzes the theoretical basis of the hypothesis of capital structure and stock price effect; secondly, it analyzes the current situation of leverage ratio and price-earnings ratio of small and medium-sized listed companies, and then puts forward the hypothesis of the best leverage ratio range according to the theoretical basis and the actual situation. Then take the return rate of the small and medium board listed companies as the measure of corporate value, and make an empirical study on the influence of the change of leverage ratio on the price-earnings ratio. Finally, the empirical results are given and the relevant suggestions are put forward according to the empirical results. In the empirical study, we select 555 balanced panel data from 371 listed companies from the first quarter of 2010 to the third quarter of 2013 as samples, and discuss them by industry classification. The influence trend of leverage ratio on stock price and company value is obtained. Through the analysis of the empirical results, the following conclusions are drawn: (1) the leverage ratio of the small and medium-sized board listed companies generally presents a curve correlation relationship with the price-earnings ratio, and the quadratic coefficient is generally less than zero. This proves that there really exists an optimal leverage ratio horizontal range in small and medium-sized listed companies to keep the P / E ratio in an ideal state) the coefficients in the quadratic regression equations of different industries are very different. This shows that there are great differences in the optimal leverage ratio of listed companies in different industries, and there are some differences in the development level of enterprises in different industries.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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