上市公司价值的时间效应及其内生性特征

发布时间：2017-12-30 19:03

本文关键词：上市公司价值的时间效应及其内生性特征　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：公司价值作为现代金融学理论最重要的概念和研究课题之一,是公司决策的核心判别依据,可以测度企业能够给予其利益相关者回报的效果。已有的相关研究文献主要集中于公司价值的界定、度量及其影响因素等方面,较少涉及企业上市后公司价值随时间变化是否存在一般性时变规律的问题。本文选取2002年3月至2016年9月中国沪深A股市场全样本季度数据,基于横截面固定效应面板模型,实证判别企业上市后公司价值的时变特征,并基于实证结果给出理论猜想解释上市公司价值存在内生性时变规律的经济学原因。实证结果表明:上市公司价值具有显著且稳健的时间效应,随着上市时间的变化公司价值特征呈现U型曲线时变规律,先下降再上升,拐点大约出现在6年左右的时间位置;即使引入资本结构、破产风险、委托代理成本和盈利能力等可能的影响因素作为控制变量,上市公司价值的时变规律仍然显著且稳健;在区分公司规模和盈利能力条件下,公司价值仍具有显著且稳定的U型曲线时间效应;小规模公司的拐点比大规模公司提前,可能是因为大规模公司对自身财务指标调整较小公司更加稳健而缓慢,进而导致上市后大规模公司的价值变化速度明显慢于小规模公司;盈利能力低公司的拐点比盈利能力高公司提前,可能是因为盈利能力低公司管理层受到市场、股东和债权人的压力,更愿意尽早进行财务调整,因而公司价值变化速度更快。理论猜想认为:第一,上市融资(IPO)成功必然加剧管理层的投资冲动,管理层的上市亢奋使得以往不会涉及的风险性项目可能会被采纳,不谨慎投资和过度投资会导致公司价值在企业上市后的最初阶段呈现下降趋势;第二,企业上市后管理层目标偏离和上市激励消失所带来的委托代理问题,在上市初期同样会导致公司价值下滑;第三,由于强制信息披露机制和股东及市场投资者的有效监督,在经历一段时间的非理性选择和委托代理问题之后,管理层发现尽职尽责才是最终的理性选择,此时委托代理成本开始下降,进而导致公司价值上升;第四,虽然债务的税盾效应能够提升公司价值,但当较高资本结构引发的破产风险影响明显大于负债的税盾效应时,管理层会适时调整资本结构的选择策略,降低破产风险,因此上市公司价值在经历了一段时间的下降后再度开始回升。
[Abstract]:As one of the most important concepts and research topics in modern financial theory, corporate value is the core basis of corporate decision-making. Can measure the enterprise can give its stakeholders return effect. The existing relevant research literature mainly focus on the definition of corporate value, measurement and its impact factors and so on. Less involved in the issue of whether there is a general time-varying rule of corporate value over time after listing. This paper selects the full sample quarterly data of Shanghai and Shenzhen A share market from March 2002 to September 2016 in China. Based on the cross-section fixed effect panel model, the time-varying characteristics of corporate value after listing are empirically identified. Based on the empirical results, the theoretical conjecture is given to explain the economic reasons for the existence of endogenous time-varying law in the value of listed companies. The empirical results show that the value of listed companies has a significant and robust time effect. With the change of the time of listing, the value characteristic of the company presents the time-varying law of U-shaped curve, which decreases first and then rises, and the inflection point appears in the time position of about 6 years. Even with the introduction of capital structure, bankruptcy risk, principal-agent cost and profitability as control variables, the time-varying law of the value of listed companies is still significant and robust. Under the condition of regional branch size and profitability, the value of the company still has a significant and stable time effect of U-curve. The inflection point of small companies is earlier than that of large ones, probably because large companies adjust their own financial indicators more steadily and slowly than smaller ones. Then it leads to the value change speed of large scale companies is obviously slower than that of small scale companies; The inflection point of low profitability companies is earlier than that of high profitability companies, possibly because the management of low profitability companies is more willing to make financial adjustments as soon as possible under the pressure of the market, shareholders and creditors. As a result, the value of the company changes faster. The theoretical conjecture is that: first, the success of IPO is bound to aggravate the investment impulse of management. The exuberant listing of management may lead to the adoption of risky items which will not be involved in the past. Improper investment and overinvestment will lead to a downward trend of corporate value in the initial stage after listing. Secondly, the principal-agent problem caused by the deviation of management target and the disappearance of listing incentive will also lead to the decline of corporate value at the initial stage of listing. Third, due to the mandatory information disclosure mechanism and effective supervision of shareholders and market investors, after a period of time of irrational choice and principal-agent problems, management found that due diligence is the ultimate rational choice. At this time, the cost of principal-agent begins to decrease, which leads to the rise of company value. 4th, although the tax shield effect of debt can enhance the value of the company, when the bankruptcy risk caused by higher capital structure is obviously greater than the tax shield effect of debt, the management will adjust the choice strategy of capital structure at the right time. Reduce bankruptcy risk, so the value of listed companies after a period of decline began to recover again.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275;F832.51

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