运营杠杆影响股票预期收益的实证研究

发布时间：2018-06-18 21:51

本文选题：运营杠杆 + 在位资产　；参考：《电子科技大学》2017年硕士论文

【摘要】：固定运营成本导致的运营杠杆会通过放大在位资产的系统风险而影响股票预期收益,同时企业对在位资产的收缩则通过改变资产的相对构成和运营杠杆的水平而进一步作用于运营杠杆和股票预期收益的关系。此外,运营杠杆作用下在位资产和增长期权系统风险的大小关系,决定了增长期权执行对股票预期收益的动态影响可能不同于已有研究结论。本文在阐述研究背景和文献综述的基础上,选取1997-2014年间我国沪深两市2416家非金融业的A股上市企业为样本,以经典的Fama-French三因素定价模型为基础,分别考察运营杠杆对股票预期收益的直接影响和间接影响,以及在考虑收缩期权和增长期权情形下进一步考察运营杠杆对股票预期收益的影响作用。研究结果表明:运营杠杆是通过调节市场贝塔、市值规模、账面市值比三个定价因素和股票预期收益的关系而间接作用于股票预期收益率,但运营杠杆本身尚不足以单独作为三因子之外的一个新定价因子。进一步,考虑收缩期权和增长期权情形下运营杠杆影响作用,实证结果表明:一方面,由于收缩期权的贝塔为负,进而在位资产嵌入的收缩期权会削弱运营杠杆对股票预期收益的正向调节作用,收缩期权较低的样本中运营杠杆对三因子和股票预期收益率关系的调节作用更易显现;另一方面,由于运营杠杆会放大在位资产的风险,在位资产和增长期权系统风险的大小关系并非确定,当运营杠杆较低时消耗增长期权的投资支出对股票预期收益率的负向影响才易显现。
[Abstract]:Fixed operating cost leverage can affect the expected return on stocks by amplifying the systemic risk of the assets in question. At the same time, the contraction of the incumbent assets by changing the relative composition of assets and the level of operational leverage further affect the relationship between operating leverage and expected return of stocks. In addition, the relationship between the system risk of existing assets and growth options under operational leverage determines that the dynamic impact of the implementation of growth options on the expected returns of stocks may differ from the existing research conclusions. Based on the research background and literature review, this paper selects 2416 non-financial A-share listed companies in Shanghai and Shenzhen stock markets from 1997 to 2014 as samples, based on the classical Fama-French three-factor pricing model. The direct and indirect effects of operational leverage on expected stock returns are investigated, and the effects of operational leverage on expected stock returns are further investigated under the consideration of contractile options and growth options. The results show that the operating lever acts indirectly on the stock expected return by adjusting the market beta, market value scale, book market value ratio and the relationship between the three pricing factors and the expected return of the stock. But operational leverage itself is not enough to be a new pricing factor in addition to three factors. Furthermore, considering the influence of operational leverage in the case of contractile option and growth option, the empirical results show that, on the one hand, because of the negative beta of contractile option, Furthermore, the embedded contractile option of in-situ assets will weaken the positive adjustment of operating lever to the expected return of stock. In the sample of lower contractile option, the adjusting effect of operating lever on the three-factor and the expected return relationship of stock is easier to show. On the other hand, since the operational leverage magnifies the risk of a sitting asset, the magnitude of the risk between the active asset and the growth option system is not certain. When the operating leverage is low, the negative impact of the investment expenditure that consumes the growth option on the expected return on the stock is easy to show.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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