投资者情绪对公司资本结构影响的实证研究

发布时间：2018-01-09 03:09

本文关键词：投资者情绪对公司资本结构影响的实证研究　出处：《浙江大学》2014年硕士论文　论文类型：学位论文

【摘要】：公司资本结构一直是现代公司金融理论中的热点问题。资本结构的选择对公司自身的发展乃至金融市场的稳定都有着至关重要的作用。传统金融理论基于有效市场假说,提出了包括MM理论、静态权衡理论、融资优序理论在内的一系列资本结构决定理论。但有效市场假说在实践中,无法解释股票价格过度波动、股权溢价之谜、日历效应等各种异象。在这样的背景下,行为金融学引入心理学和行为学,试图对这些异象作出解释,它的出现给原有的理性框架带来了前所未有的冲击。投资者情绪研究作为行为金融学理论的重要组成部分,认为人不总是理性的,他们的行为会受到自身情绪的影响。情绪的存在使投资者对未来的预期偏离基本面水平,而这种个体偏离通过一系列机制作用于市场,并最终影响公司资本结构。这无疑为公司资本结构的研究提供了崭新的视角。此外,由于我国股票市场仍处于发展阶段,容易受到非理性的投资者情绪的冲击。因此,研究投资者情绪以及其对公司资本结构的影响具有理论意义和现实意义。为了考察投资者情绪对公司资本结构的影响,本文首先在文献回顾的基础上,定义投资者情绪,并借鉴国内外投资者情绪度量方法,以主成分分析法构造投资者情绪度量综合指数。其次,本文认为投资者情绪与公司资本结构之间存在相关性,通过实证检验,证明投资者情绪的存在确实会对我国公司资本结构带来影响,投资者情绪越高,公司资产负债率越低。再者,本文进一步从理论上探讨投资者情绪对公司资本结构的影响机制,提出两条影响路径：一是交易行为路径,即投资者情绪会通过影响投资者交易行为进而影响公司资本结构；二是交易心理路径,认为投资者情绪会通过影响管理层心理,影响管理层市场择时决策,进而影响公司资本结构。最后,实证检验结果证实了这两条路径的可行性。已知投资者情绪的存在,不仅对金融市场有深刻影响,同时也会影响实体经济,影响公司投融资行为,因此本文结合我国情况,提出相关的政策建议。首先对个人来说,应加强投资者教育,抑制其非理性情绪带来的不良影响；其次,对公司来说,公司在作出投融资决策之前,要正视投资者情绪所带来的影响；最后,对市场监管者来说,在制定相关政策时也应充分考虑投资者情绪因素。
[Abstract]:Corporate capital structure has always been a hot issue in modern corporate finance theory. The choice of capital structure plays an important role in the development of the company itself and the stability of the financial market. The traditional financial theory is based on the effective market. Field hypothesis. This paper puts forward a series of capital structure decision theories including MM theory, static tradeoff theory and financing priority theory. But in practice, the efficient market hypothesis can not explain the excessive volatility of stock price and the riddle of equity premium. In this context, behavioral finance introduces psychology and behaviorism to explain these anomalies. As an important part of behavioral finance theory, investor sentiment research is not always rational. Their behavior is influenced by their own emotions, which cause investors' expectations for the future to deviate from fundamental levels, and this individual deviation acts on the market through a series of mechanisms. And ultimately affect the corporate capital structure. This undoubtedly provides a new perspective for the study of corporate capital structure. In addition, because the stock market in China is still in the stage of development. Therefore, it is of theoretical and practical significance to study investor sentiment and its influence on corporate capital structure. In order to investigate the impact of investor sentiment on the capital structure of the company, this paper firstly defines investor sentiment on the basis of literature review, and draws lessons from the domestic and foreign measurement methods of investor sentiment. The principal component analysis is used to construct the comprehensive index of investor sentiment measurement. Secondly, this paper argues that there is a correlation between investor sentiment and the capital structure of the company. It proves that the existence of investor sentiment does have an impact on the capital structure of Chinese companies. The higher the investor sentiment, the lower the ratio of assets and liabilities. This paper further discusses the influence mechanism of investor sentiment on the capital structure of the company in theory, and puts forward two influence paths: one is the path of transaction behavior. That is, investor sentiment will affect the company's capital structure by influencing the investor's trading behavior; Second, the path of transaction psychology, that investor sentiment will affect management psychology, management market timing decision, and then affect the company's capital structure. Finally. The empirical results confirm the feasibility of these two paths. The existence of known investor sentiment not only has a profound impact on the financial market, but also will affect the real economy and corporate investment and financing behavior, so this paper combines the situation of our country. First of all, we should strengthen the education of investors to restrain the negative effects of irrational emotions. Secondly, for the company, before making the investment and financing decision, we should face up to the impact of investor sentiment. Finally, for market regulators, investor sentiment should also be taken into account when formulating relevant policies.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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