相对杠杆与股票收益的相关性研究——来自中美市场的实证分析

发布时间：2019-01-14 10:08

【摘要】：本文结合考虑公司融资决策参考依赖特征及资本结构动态调整行为,构造相对杠杆这一新的财务杠杆度量指标重新检视了财务杠杆在资产定价中发挥的作用,并将中美市场进行对比分析.研究表明,相较于实际杠杆,相对杠杆能更好地解释股票溢价,在中美市场均表现出对股票收益的显著正向影响,但同时也存在差异性.在中国市场账面相对杠杆的股票溢价解释能力较弱,而在美国市场账面相对杠杆仍与股票收益显著正相关;在中国市场过度杠杆对股票收益的影响明显强于杠杆不足,而在美国市场两者表现出较为对称的影响;同时在中美市场以不同方式在Fama-French三因素模型中引入相对杠杆定价因子所得到的定价模型能显著提升原模型的定价能力,有更好的定价表现.
[Abstract]:Considering the characteristics of corporate financing decision reference dependence and the dynamic adjustment of capital structure, this paper constructs relative leverage, a new measure of financial leverage, to re-examine the role of financial leverage in asset pricing. And the comparative analysis of the market between China and the United States. The results show that relative leverage can explain the stock premium better than the actual leverage, and it has a significant positive impact on stock returns in both China and the United States, but there are also differences. In China, the paper relative leverage has a weak ability to explain the stock premium, while in the US, the relative leverage is still positively related to the stock return. In China, the influence of excessive leverage on stock returns is obviously stronger than that of insufficient leverage, while in the American market, the impact of excessive leverage is more symmetrical. At the same time, the pricing model obtained by introducing the relative leverage pricing factor into the Fama-French three-factor model in different ways in the Sino-US market can significantly improve the pricing ability of the original model and have a better pricing performance.
【作者单位】：华中科技大学管理学院;华中科技大学土木工程与力学学院;
【基金】：国家自然科学基金资助项目(71231005) 教育部博士点基金资助项目(20110142110068)
【分类号】：F275.1

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