我国上市公司的融资约束对资产定价的影响研究

发布时间：2018-03-16 07:22

本文选题：上市公司　切入点：融资约束　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国作为一个新兴经济体国家，，一方面，融资体系尚不健全导致企业的多元化融资需求无法得到有效满足，但另一方面，随着利率市场化程度不断提高，市场主体的定价权却进一步强化。这其中的矛盾就是资金供需双方如何对资金的价格达成一致，使得资金价格更趋于合理化，以达到资金的优化配置。本文的主旨就是研究融资约束对资产定价的影响。本文选取我国上证A股非ST企业自2003年至2012年的月度数据进行实证研究。首先，借鉴KZ指数的构造方法，变量选取上创新性地综合考虑企业的财务指标以及企业的所有权性质，运用Logistic回归模型构造出度量融资约束的多元综合指数。然后，借鉴FamaFrench构造组合的方法构造出融资约束组合以及融资约束因子，得出不同融资约束组合之间的收益率差异及其系统风险差异。最后运用多因素模型来检验融资约束因子与其他风险因子的关系。实证结果表明，融资约束提高了上市公司股票收益率的系统性风险，并能够带来正的风险溢价，且融资约束因子没有被三因素模型中市场因子、规模因子、账市比因子所覆盖。
[Abstract]:As an emerging economy, China, on the one hand, has not been able to meet the diversified financing needs of enterprises due to the imperfect financing system, but on the other hand, with the increasing degree of interest rate marketization, However, the pricing power of the main body of the market is further strengthened. The contradiction is how to reach an agreement on the price of funds between supply and demand, so as to make the price of funds more reasonable in order to achieve the optimal allocation of funds. The main purpose of this paper is to study the impact of financing constraints on asset pricing. This paper selects monthly data of non-St companies in Shanghai Stock Exchange A from 2003 to 2012 to conduct empirical research. First of all, we use the construction method of KZ index for reference. The variable selection synthetically considers the financial index and the ownership property of the enterprise, and uses the Logistic regression model to construct the multivariate composite index to measure the financing constraint. The financing constraint combination and the financing constraint factor are constructed by using the method of FamaFrench structure combination. Finally, we use multi-factor model to test the relationship between financing constraint factors and other risk factors. The empirical results show that, Financing constraint increases the systemic risk of stock return of listed companies and can bring positive risk premium, and the financing constraint factor is not covered by market factor, scale factor and book-market ratio factor in the three-factor model.
【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】：F224;F275;F832.51

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