上市公司资本成本的时间效应及其内生性

发布时间：2018-02-09 20:26

本文关键词： 上市公司资本成本时间效应内生性　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：由经典的时间序列自回归模型可知经济变量的滞后项对其本身有较好的解释能力,因而可以猜想时间因素本身可能是导致经济变量发生变化的重要原因之一。同时,历虑到外生冲击对经济变量的影响可能存在一定的反映周期,因而研究时间变动对经济变量影响的存在性和具体路径对更好的了解相关经济指标的变动趋势有极强的理论意义。此外,资本成本与公司的生产经营及投融资活动息息相关,它不仅是限制公司筹资总额的重要因素,更是评价和选择投资项目以及衡量企业资金使用效率的重要标准。因而探讨公司资本成本的变动路径对引导投资行为、完善公司监管以及理解公司行为具有积极的现实意义。基于研究理论和现实上价值的历量,本文选取公司资本成本作为研究对象,实证探讨公司资本成本随上市时间变化是否具有一般规律性波动的特征。梳理相关文献可以发现,现有对公司资本成本的研究主要集中在资本成本的界定、度量和影响因素方面,较少涉及资本成本随公司上市时间变化体现”的内生性时变规律。本文针对我国上市公司加权平均资本成本指标建立面板数据模型,提取自公司首次公开募股(IPO)时刻起的上市周期项T来刻画影响资本成本波动的时间变量,截取相同的上市周期建立平衡面板数据并基于相同的上市周期将样本分组,实证研究公司资本成本随上市时间变化的一般性时变规律,验证其内生性特征的存在性,并基于实证回归结果给”相应的理论猜想。具体而言,本文选取中国沪深A股上市公司2002-2016年全样本季度数据,计算公司加权平均资本成本指标,基于面板数据模型相关理论合理选择估计方法进行模型回归估计,实证检验上市公司资本成本的一般性时变规律。实证结果表明:资本成本随公司上市时间变化呈现先上升后下降再上升的显著N型曲线特征;第一个拐点大致”现在上市后第20季度(5年),第二个拐点大致”现在上市后的第48季度(12年);即使加入了可能影响资本成本的其它因素作为控制变量并转换资本成本的度量指标之后,上述实证结果依然稳健。因此,上市公司资本成本具有内生性时间效应。理论猜想认为:资本成本随上市时间增加表现”的内生性波动可能包含了管理层的情绪因素,管理层上市亢奋情绪是公司资本成本在上市后上升并到达第一个拐点的可能原因,此外,市场监管、上市公司融资方式选择以及委托代理成本的变动则可能是导致公司资本成本随上市时间变化呈现N型曲线特征的重要原因。本文实证结论验证了公司资本成本具有随时间变化的内生性规律猜想,从时变角度扩展了以往研究公司资本成本影响因素的分析模型。实证结果的稳健性证明了公司上市时间因素本身对资本成本内生性变动具有较强的解释能力。如果本文实证结论可以推广到公司金融领域其他公司指标变量,也许可以为日后公司治理的研究提供一种新的视角。
[Abstract]:From the classical time series autoregressive model shows the economy lagged variables in itself have better explanatory ability, so it can guess time factor itself may be an important cause of economic variables change. At the same time, the calendar according to the impact of exogenous shocks on economic variables may have some theoretical significance extremely reflect cycle. Strong trend of time and changes in the economic variables of the existence and the specific path to a better understanding of the relevant economic indicators. In addition, the cost of capital and the company's production operations and financing activities are closely related, it is not only an important factor restricting the total financing, it is an important criterion for the evaluation and selection of investment projects and measures the enterprise capital efficiency. Therefore the discussion on the capital costs of the company changes path to guide investment behavior, improve supervision and public understanding Is of great realistic significance to our behavior. Research on theoretical and practical value. Based on the capital costs of the company as the research object, an empirical study on the characteristics of the company cost of capital with the listing time whether changes with the general regularity of fluctuations. Combing the relevant literature can be found, the existing Research on the capital costs of the company mainly focused on the definition of capital the cost of the measure and influence factors, endogenous capital cost less involved with the company time to market changes reflect the changes. "In view of our country's weighted average cost of capital indicators to establish a panel data model, extracted from the company's initial public offering (IPO) from the moment of listing cycle T to describe the effect of the cost of capital the fluctuation of the time variable, the same period of interception establish balanced panel data and the same period based on the sample grouping, empirical research The variation law of capital cost the company generally with time to market changes, to verify the existence of the endogenous characteristics, and the empirical regression results to the theory based on the corresponding conjecture. Specifically, this paper selects 2002-2016 years full sample of quarterly data Chinese Shanghai and Shenzhen A shares of listed companies, to calculate the weighted average cost of capital index, panel data the model based on the theory of rational choice of estimation methods for regression estimation, the variation law of general capital cost empirical test of listed companies. The empirical results show that: the capital cost of listed company changes with time first increased and then decreased significant features of N curve and then increased; the first inflection point roughly "now (5 years after the listing of the twentieth quarter second)," now inflection point roughly after the listing of the forty-eighth quarter (12 years); even if other factors may affect the cost of capital as the control variables and turn After the measure of the cost of capital transfer, the empirical results are still robust. Therefore, the cost of capital is endogenous. The theory assumes that the time effect: endogenous fluctuations in capital cost with the increase time to market performance "may include emotional factors of management, management of listed companies is likely to cause excitement, the rise of the cost of capital and after the listing to reach the first inflection point in the market supervision, the mode of financing of listed companies and agency cost change may be an important cause of the company cost of capital is the characteristics of N curve with time to market changes. The empirical results verify the company cost of capital is endogenous guess rules with time, the previous research on capital cost factors analysis model from the angle variable. The robustness of the empirical results proved that the listing of the company The time factor itself on the cost of capital endogenous change has strong explanatory power. If the empirical conclusions can be extended to the field of corporate finance company other variables, may provide a new perspective on the study of corporate governance.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275;F832.51

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