零杠杆上市公司的股票长期收益趋势研究

发布时间：2018-06-04 05:10

本文选题：零杠杆 + 长期超额收益　；参考：《山西大学》2017年硕士论文

【摘要】：随着全球经济的高速发展,企业在融资方面面临的形势也日趋错综复杂,资本结构理论也在不同时期呈现了不同形式的演变,其中广受专家学者推崇的两大经典理论分别是最优权衡理论及融资有序理论,它们一致认为企业在安排其融资来源时应该首先适度选择负债融资方式。然而,近年来一些学者在研究中发现以美国为首的G-7发达资本市场中存在大量零(低)杠杆公司,并围绕此现象展开了一系列研究以期揭开零(低)杠杆现象背后的神秘面纱,但是多数研究仅停滞于财务角度,对其后期市场收益表现分析非常罕见,尤其是在持续零(低)杠杆情形下。与此同时,在经济新常态新形势下,面临持续高涨的企业负债及不断增长的财务风险,中央适时提出了供给侧结构性改革,并将去杠杆政策作为重中之重,然而这些政策的制定是否适合企业的持续发展尚缺乏实证支撑。基于1992-2015年沪深两市全部A股上市公司的财务报表数据,本文深入分析了我国零(低)杠杆公司的分布现状及其财务特征,并初步讨论了企业债务融资决策对其价值、超额收益的影响。研究发现,与国际发达的资本市场类似,我国公司也存在零(低)杠杆现象并呈现不断扩大化的趋势;而在区域分布上,东部地区中的此类现象更为凸显;另外,虽然零(低)杠杆公司广泛分布于所有行业,但仍存在行业特质现象。而财务特征分组检验表明零(低)杠杆公司具有规模小、上市年限短、市账比高、投资水平低及盈利性好等共同特征;进一步研究还发现,债务融资决策对企业当期乃至下期的价值存在显著抑制作用,同时对企业下期的股票超额收益会产生显著促进效应。在此基础上,结合企业股票月度数据,本文使用事件研究法与日历时间组合法重点讨论了零(低)杠杆公司及其投资组合的股票长期收益情况。研究结果表明,相较非零(高)杠杆公司或投资组合,连续三(五)年零(低)杠杆公司或投资组合不论是在市值匹配还是在市账比匹配情况下均存在显著的长期超额收益,而这也表明目前的资本资产定价模型因子(比如市场风险、规模及成长因子)并未能完全预测股票的预期收益,间接说明持续的极端财务保守政策对于股票收益具有重要的影响作用。综上所述,本文以中国资本市场建立以来的连续三(五)年持续使用零(低)杠杆公司为研究主体,结合其财务特征及月度股票收益率等数据,深入分析了我国上市公司中的零(低)杠杆现象及其股票超额收益趋势。研究结论从市场收益角度推动了零(低)杠杆现象之谜的破解,进一步也充实资本结构相关理论及其研究文献,同时从实证视角支持了政府提出的“去杠杆”等政策,给企业未来融资政策决策提供了参考依据,也对广大股民选择投资对象等行为具有实际指导意义。
[Abstract]:With the rapid development of the global economy, the situation faced by enterprises in financing is becoming more and more complicated, and the theory of capital structure has evolved in different forms in different periods. The two classical theories are the optimal tradeoff theory and the financing order theory. They agree that enterprises should first choose the debt financing method when arranging their financing sources. However, in recent years, some scholars have found that there are a large number of zero (low) leverage companies in the G-7 developed capital markets led by the United States, and have carried out a series of studies around this phenomenon in order to uncover the mystery behind the zero (low) leverage phenomenon. However, most of the studies only stagnate in financial terms, and it is very rare to analyze the performance of late market returns, especially in the case of persistent zero (low) leverage. At the same time, under the new normal and new situation of the economy, the central government has put forward the supply-side structural reform at the right time and put the deleveraging policy as the top priority in the face of rising enterprise debts and increasing financial risks. However, whether these policies are suitable for the sustainable development of enterprises is still lack of empirical support. Based on the data of financial statements of all A-share listed companies in Shanghai and Shenzhen stock markets from 1992 to 2015, this paper analyzes the distribution and financial characteristics of zero (low) leverage companies in China, and discusses the value of debt financing decision in China. The effect of excess returns. The study found that, similar to the developed international capital markets, Chinese companies also have zero (low) leverage phenomenon and showing a trend of continuous expansion; in terms of regional distribution, this phenomenon is more prominent in the eastern region; in addition, Although zero (low) leverage companies are widely spread across all industries, industry traits still exist. The grouping test of financial characteristics shows that zero (low) leverage companies have the common characteristics of small scale, short listed life, high market to book ratio, low investment level and good profitability. The debt financing decision has a significant inhibitory effect on the current and even the next period value of the firm, and also has a significant promoting effect on the stock excess return in the next period. On this basis, combining with monthly stock data, this paper focuses on the long-term returns of zero (low) leverage companies and their portfolios by using the event research method and calendar time combination method. The results show that, compared with non-zero (high) leverage companies or portfolios, there are significant long-term excess returns for three (5) years of zero (low) leverage companies or portfolios, both in market value matching and in market-to-book ratio matching. This also shows that the current capital asset pricing model factors (such as market risk, size and growth factors) do not fully predict the expected return on stocks. Indirect explanation of the persistence of extreme financial conservatism has an important impact on stock returns. To sum up, this paper takes the continuous use of zero (low) leverage companies in three (5) consecutive years since the establishment of the Chinese capital market as the main body of the study, combining its financial characteristics and monthly stock returns and other data. This paper analyzes the zero (low) leverage phenomenon and the trend of stock excess return in listed companies in China. The conclusion of the study promotes the solution of the riddle of zero (low) leverage from the perspective of market returns, further enriches the theory of capital structure and its research literature, and supports the "deleveraging" policy proposed by the government from an empirical perspective. It provides a reference basis for the future financing policy decision of the enterprise, and also has practical guiding significance for the investors to choose the investment object and so on.
【学位授予单位】：山西大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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