自由现金流与资本结构调整速度的实证研究

发布时间：2018-09-05 14:11

【摘要】：自从MM理论提出以来,对于资本结构的研究日益成熟,学者们分别从资本结构影响因素和资本结构调整速度角度进行了研究。最近的研究主要集中到了资本结构调整速度上来,他们分别从内、外部环境的角度来研究对资本结构调整速度的影响因素。我们知道影响资本结构调整速度的因素可以总结为随机因素和资本结构调整成本。然而资本结构调整成本却是一个难以量化的指标,对于它的研究学者们还没有得出一个较为合理的一致结论,所以对其研究将具有重大意义。 Fauldender and Smith(2007)认为,由于自由现金流的大小与资本结构的变动紧密相关,而资本结构的变动很大程度上又受调整成本的制约,因此自由现金流可作为衡量调整成本大小的尺度。本文将参考Fauldender and Smith研究设计的思路,利用沪、深上市公司8001个样本,首先以自由现金流为分层标准,将总样本分为高、中、低三个子样本,再分别对其回归,得出资本结构调整速度,比较各个样本组调整速度的大小,以此来研究自由现金流与资本结构调整速度之间的关系。为了检验上述关系在特定环境下的稳健性和使研究更具实际意义,在本文第五章,我们选取董事会特征的董事会规模、独立董事人数、两职兼任情况三个特征对样本进行了首先分层,也即将样本分为了三种不同内部环境,然后再以自由现金流为分层标准对子样本进行再次分层,以此来进一步检验自由现金流与资本结构调整速度关系在不同环境下的稳健性。本文的实证研究发现,高等自由现金流的公司其资本结构调整速度大于中等自由现金流的公司,低等自由现金流的公司其资本结构调整速度大于中等自由现金流的公司,也即本文的假设一与假设二得到验证,而本文的假设三,低等自由现金流的公司其资本结构调整速度大于高等自由现金流的公司,只能够得到部分的验证。在本文的稳健性检验方面,无论在哪种董事会特征的内部环境下,本文的假设一与假设二都能得到检验,而本文的假设三只能部分得到验证。上述实证结果说明了自由现金流可以作为调整成本一个度量指标,也即自由现金流与资本结构调整速度之间存在着紧密联系。这一研究结论将对一直以来资本结构调整成本难以量化提供借鉴。
[Abstract]:Since the theory of MM was put forward, the study of capital structure has become more and more mature. Scholars have studied the influence factors of capital structure and the speed of capital structure adjustment respectively. Recent studies mainly focus on the speed of capital structure adjustment. They study the factors that affect the speed of capital structure adjustment from the angle of internal and external environment. We know that the factors affecting the speed of capital structure adjustment can be summed up as random factors and capital structure adjustment costs. However, the cost of capital structure adjustment is a difficult index to quantify, and the researchers have not reached a reasonable conclusion yet, so the study of capital structure adjustment cost will be of great significance to. Fauldender and Smith (2007). Because the size of free cash flow is closely related to the change of capital structure, and the change of capital structure is largely restricted by adjustment cost, free cash flow can be used as a measure of adjustment cost. This paper will refer to the idea of Fauldender and Smith research and design, using 8001 samples of listed companies in Shanghai and Shenzhen. Firstly, the total sample will be divided into three sub-samples: high, middle and low, and then regressed respectively, taking free cash flow as the stratified standard. The speed of capital structure adjustment is obtained and the adjustment speed of each sample group is compared to study the relationship between free cash flow and the speed of capital structure adjustment. In order to test the robustness of the relationship and make the research more practical, in the fifth chapter, we select the size of the board of directors and the number of independent directors. The sample is divided into three different internal environments, and then the free cash flow is used as the stratification criterion to delaminate the subsample again. In order to further test the relationship between free cash flow and the speed of capital structure adjustment in different environments. The empirical study of this paper finds that the firms with higher free cash flow adjust their capital structure faster than those with medium free cash flow, and those with lower free cash flow adjust their capital structure faster than those with medium free cash flow. In other words, hypotheses 1 and 2 of this paper are verified. In this paper, the firms with lower free cash flow can adjust their capital structure more quickly than those with higher free cash flow, which can only be partially verified. In the robustness test of this paper, no matter in any internal environment of board characteristics, the hypothesis 1 and hypothesis 2 can be tested, but hypothesis 3 in this paper can only be partially verified. The above empirical results show that free cash flow can be used as a measure of adjustment cost, that is, there is a close relationship between free cash flow and the speed of capital structure adjustment. This conclusion will provide reference to the cost of capital structure adjustment.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51

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