市场微观结构视角下公司资本结构与二级市场风险研究

发布时间：2018-03-07 18:13

本文选题：资本结构　切入点：流动性风险　出处：《天津大学》2014年博士论文　论文类型：学位论文

【摘要】：公司融资方式的确定是公司财务理论中最重要的部分，也是公司经营过程中首要解决的问题。不同资本结构情况不仅影响公司的融资成本和股东的表决权，对于公司经营过程和投资决策也具有重要意义。公司融资的环境决定了其融资方式，，本文从金融市场环境出发，探讨股票市场中的不同风险对于公司融资成本和资本结构选择的影响，并结合我国融资环境的基本情况和资本结构理论来指导上市公司的融资决策，解释上市公司融资结构的现状，以此争取为投资者的投资决策提供理论和现实依据。本文研究的主要内容可以分为以下四个部分：一、股票波动性风险与企业资本结构关系研究。该部分主要将资产收益波动风险分解成特质波动风险和系统波动风险，基于此分析这两类风险对资本结构的影响。运用我国A股上市公司财务数据和交易数据，探究它们对资本结构以及资本结构调整速度的影响。二、二级市场信息风险对上市公司资本结构的影响研究。该部分基于EKOP模型度量市场信息风险，引入二级市场流动性指标和可能影响资本结构的财务指标作为资本结构的解释变量。将样本按照信息风险大小进行分组，讨论信息风险不同的公司其资本结构及相关影响因素是否存在差异，以进一步探讨信息与资本结构之间的关系。三、股票流动性风险与公司融资行为研究。该部分用股票收益率对流动性非预期变化的敏感度作为流动性风险衡量方法，首先从静态和动态角度分别分析了流动性风险对市值杠杆与账面杠杆的影响。然后，用Probit模型研究股票流动性风险对企业融资行为偏好的影响。四、中国证券市场各类风险对资本成本的影响研究。该部分运用O’Hanlon和Steele（2000）改进的剩余收益增长率方法直接度量资本成本，进而研究中国证券市场波动性风险、流动性风险以及信息风险对上市公司企业资本成本的影响。
[Abstract]:The determination of corporate financing mode is the most important part of corporate finance theory, and it is also the most important problem to be solved in the course of corporate operation. Different capital structure not only affects the financing cost of the company and the voting rights of the shareholders, but also affects the financing cost of the company and the voting rights of the shareholders. It is also of great significance to the management process and investment decision of the company. The financing environment of the company determines its financing mode, this paper starts from the financial market environment, This paper probes into the influence of different risks in the stock market on the financing cost and the choice of the capital structure of the company, and combines the basic situation of the financing environment and the theory of the capital structure of our country to guide the financing decision of the listed company. In order to provide theoretical and practical basis for investors' investment decisions, this paper explains the current situation of listed companies' financing structure. The main contents of this paper can be divided into the following four parts:. First, the relationship between stock volatility risk and enterprise capital structure. This part mainly decomposes asset return volatility risk into idiosyncratic volatility risk and systemic volatility risk. Based on the analysis of the impact of these two kinds of risks on the capital structure, the financial data and transaction data of A-share listed companies in China are used to explore their influence on the capital structure and the speed of capital structure adjustment. Second, the impact of secondary market information risk on the capital structure of listed companies. This part measures market information risk based on EKOP model. The secondary market liquidity index and the financial index which may affect the capital structure are introduced as the explanatory variables of the capital structure. The samples are grouped according to the size of the information risk. This paper discusses whether there are differences in capital structure and related influencing factors of companies with different information risks, in order to further explore the relationship between information and capital structure. Third, the study of stock liquidity risk and corporate financing behavior. This part uses the sensitivity of stock return rate to unexpected changes in liquidity as a measure of liquidity risk. Firstly, the paper analyzes the influence of liquidity risk on market value leverage and book leverage from static and dynamic angles, and then uses Probit model to study the influence of stock liquidity risk on corporate financing behavior preference. Fourth, the study on the impact of various kinds of risks on the capital cost in China's securities market. This part directly measures the capital cost by using the method of residual income growth rate improved by Ohn Hanlon and Steele 2000, and then studies the volatility risk of China's securities market. The influence of liquidity risk and information risk on the capital cost of listed companies.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F275;F832.51

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