A股上市公司融资租赁公告对股价超额收益的影响及原因分析

发布时间：2018-02-28 15:09

本文关键词： 融资租赁超额收益事件研究公告效应　出处：《南京理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：近年来我国融资租赁作为企业的一种新兴的融资工具发展十分迅速,我国上市公司通过融资租赁工具进行融资也变得越来越频繁和普遍。本文以2007-2016年A股公告开展融资租赁业务的上市公司为研究对象,对A股上市公司近十年来开展融资租赁业务的财务公告进行搜集整理,并对数据进行分析,使读者能够对我国上市公司开展融资租赁业务的现状有整体把握。同时,本文采用事件研究法实证研究融资租赁的公告效应,运用市场模型,对上市公司融资租赁财务公告能否对其股票产生累积平均超额收益进行实证分析,结果表明:A股上市公司融资租赁公告能够带来显著为正的超额收益。接着本文对样本数据进行分类比较分析的研究发现:直接租赁比售后回租能够带来更高的超额收益;具有关联交易关系的融资租赁业务能够给股价带来更高的超额收益;小盘股的融资租赁财务公告的超额收益更明显;融资金额与总股本比率大于20%的公司更容易产生较高的超额收益;非产能过剩行业的融资租赁行为更被投资者看好,从而可以带来更高的超额收益。本文最后对融资租赁公告超额收益产生的影响因素进行分析,利用横截面回归分析法进行多元回归,结果表明:融资租赁公告的超额收益与税率的相关性不是特别显著,呈弱相关关系;融资租赁超额收益与破产成本显著正相关、与是否存在关联交易关系也显著正相关;对债务替代及债务互补型的公司进行回归的结果表明,债务互补型的公司开展融资租赁业务会降低公司的价值,而债务替代型的公司开展融资租赁业务则不会降低公司价值;另外,我国资本市场的信息不对称问题并不会对融资租赁超额收益产生明显影响。从不同的分类回归来看,破产成本因素和关联交易因素均与超额收益有较为显著且稳健的相关关系,而且基本不会受到样本分类类型的影响。售后回租、中盘股和金额股本比小于20%的样本均有较好的回归结果,各影响因素均显示较好的解释力。
[Abstract]:In recent years, China's financial leasing as a new financing tool for enterprise development is very rapid, has become more and more frequent and widespread in China listed companies through leasing financing tools. This paper takes 2007-2016 years A shares announcement to carry out financial leasing business of listed companies as the research object, the A shares of listed companies in ten to carry out financial leasing business financial announcements are collected, and analyze the data to enable the reader to the status quo of China's listed companies to carry out financial leasing business has an overall grasp. At the same time, the announcement effect of using event study method, the empirical research of financial leasing, the market model of the listed company's financial leasing can notice cumulative average excess return on the stock of empirical analysis, the results show that the A shares of listed companies financing lease announcement can bring significant positive abnormal returns. Then this paper research on the sample data classification comparative analysis found that customer service can bring direct lease leaseback than higher excess returns; related transactions with the relationship between the financing and leasing business to bring the share price higher excess returns; financial leasing announcement abnormal returns of the small cap stocks is more obvious; the total amount of financing and equity ratio more than 20% companies are more likely to have higher excess returns; non financial leasing industry overcapacity behavior more optimistic investors, which can lead to higher excess returns. At the end of this paper, the factors that influence financial leasing announcement excess revenue generating analysis, using cross-sectional regression analysis multiple regression results show that correlation excess returns and tax financing lease notice is not particularly significant, showed a weak correlation; financing lease excess return and bankruptcy cost positively Related, and whether there is an association relationship also positively related to debt and debt; complementary alternative results based company regression shows that debt complementary companies to carry out financial leasing business will reduce the value of the company, and the debt alternative type of company to carry out financial leasing business will not reduce the value of the company; in addition, the problem of asymmetric information China's capital market will not have a significant impact on the financing lease of excess income. From the different classification and regression, bankruptcy cost factors and related transaction factors have significant correlation with steady and excess returns, but basically not affected by the sample classification. Customer service leaseback, disk shares and amount of equity ratio of sample less than 20% have better regression results, each factor showed good explanatory power.

【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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