中国上市公司盈余透明度对资本成本影响研究

发布时间：2018-04-25 23:33

本文选题：盈余透明度 + 权益资本成本　；参考：《江苏大学》2017年硕士论文

【摘要】：资本市场是满足资金供求双方各自需求的场所。投资者提供资金,获取资金的时间价值和风险补偿。融资者吸纳资金,获取资金的流动价值。在这一过程中,投资者根据融资者提供的信息评估风险,确定风险补偿数额。但投资者和融资者之间会因一定的因素产生信息不对称问题,导致风险定价不合理,进而影响资本成本。在上市公司提供的信息中,盈余信息是最受投资者关注的。根据Ohlson净盈余理论,如果上市公司的盈余能够反映出其权益真实的经济价值,则投资者就能依据盈余信息对股票进行合理定价。因此本文将对盈余展开研究,以获取我国资本市场盈余透明度情况。本文以1999年到2015年所有A股上市公司为研究样本,研究国内上市公司盈余透明度与资本成本的关系。本文借鉴Barth et al.提出的回归方法,对盈余收益模型进行分行业和分组两次回归,将两次回归所得调整R2之和作为盈余透明度。本文采用Fama-French三因素模型测算预期权益资本成本和超额收益率,根据利息支出测算债务资本成本,研究盈余盈余透明度与两类资本成本的关系。本文构建了盈余透明度与下期超额收益率,盈余透明与权益资本成本,盈余透明度与下期超额债务资本成本、盈余透明度与债务资本成本和盈余透明度对两类资本成本影响差异五个回归模型。采用混合回归和Fama-MacBeth回归两种方法,检验盈余透明度与下期超额收益率、预期权益资本成本,下期超额债务资本成本、债务资本成本的关系。采用内生选择模型检验盈余透明度对债务资本成本和权益资本成本的影响差异。结果表明盈余透明度与下期超额收益率显著负相关,盈余透明度与预期权益资本成本显著负相关,盈余透明度与下期超额债务成本称显著负相关,盈余透明度与债务资本成本显著负相关,盈余透明度对权益资本成本的影响强于对债务资本成本的影响。本文得出以下结论:(1)上市公司提高自身的盈余透明度,可以降低自身的资本成本;(2)以直接融资为主的上市公司,更需要关注自身的盈余透明度;(3)盈余透明度是三因子之外,另一个会影响权益资本成本的因素。
[Abstract]:The capital market is the place that meets the demand of both sides of capital supply and demand. Investors provide capital, access to the time value of the funds and risk compensation. The financier absorbs the funds and obtains the flowing value of the funds. In this process, the investor assesses the risk according to the information provided by the financier and determines the amount of risk compensation. However, the information asymmetry between investors and financiers will lead to unreasonable pricing of risk, which will affect the cost of capital. Among the information provided by listed companies, earnings information is the most concerned by investors. According to Ohlson net earnings theory, if the earnings of listed companies can reflect the real economic value of their equity, then investors can reasonably price stocks based on earnings information. Therefore, this paper will study the earnings in order to obtain the transparency of China's capital market earnings. This paper takes all A-share listed companies from 1999 to 2015 as a sample to study the relationship between earnings transparency and capital cost of domestic listed companies. This paper draws lessons from Barth et al. In this paper, the regression method is put forward, and the earnings return model is regressed twice by industry and group, and the sum of the adjusted R2 from the two regression results is regarded as the transparency of earnings. This paper uses the Fama-French three-factor model to calculate the expected equity capital cost and the excess return rate, calculates the debt capital cost according to the interest expenditure, and studies the relationship between the surplus transparency and the two kinds of capital cost. This paper constructs the transparency of earnings and the next excess return, the transparency of earnings and the cost of equity capital, the transparency of earnings and the capital cost of excess debt in the next period. There are five regression models of the effects of earnings transparency, debt capital cost and surplus transparency on the two types of capital costs. By using mixed regression and Fama-MacBeth regression, this paper examines the relationship between the transparency of earnings and the excess return rate, expected equity capital cost, excess debt capital cost and debt capital cost in the next period. The endogenetic selection model is used to examine the effect of earnings transparency on debt capital cost and equity capital cost. The results show that there is a significant negative correlation between earnings transparency and the next excess return, a significant negative correlation between earnings transparency and the cost of expected equity capital, and a significant negative correlation between earnings transparency and the cost of excess debt in the next period. The effect of earnings transparency on equity capital cost is stronger than that on debt capital cost. This paper draws the following conclusions: 1) if listed companies improve their earnings transparency, they can reduce their own capital cost. (2) listed companies with direct financing should pay more attention to their earnings transparency. Another factor that affects the cost of equity capital.
【学位授予单位】：江苏大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275;F832.51

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