香港联合交易所上市公司价值的时间效应研究

发布时间：2018-03-15 07:05

本文选题：公司价值　切入点：面板数据模型　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：公司价值是公司金融领域的核心内容，也是金融学科中最重要的概念之一，它不仅是公司管理者和投资者非常关注的指标，也是国内外学者进行科学研究的重要方面。前人对公司价值的研究已取得了很多重要的成果，例如生命周期理论以及MM定理等等，这些研究多集中在公司价值的测度以及影响公司价值的原因上。此外，公司价值有波动性特点，这是理论研究和典型事实已经证明了的结论。但本文研究的视角是排除外在因素的影响，单纯的看公司面临相似的外部环境的情况下，其价值本身是否会随上市年龄变化，若是，那么其变化规律又将是怎样的。本文就对这一点进行实证研究。研究结果不仅具有理论意义，更具有一定的实践意义。不论是对公司决策者，投资者还是市场监管者，本文都能够提供更加科学的依据和更加可靠的数据支持。本文实证研究所使用的样本是香港联合交易所上市公司的全样本价值指标数据。之所以选择香港上市公司的数据是因为香港证券市场拥有开放的、竞争性的交易环境，健全的监管机制及良好的监管环境，加之香港政府实行有利于投资的的税收政策，使得香港证券市场更加接近于有效市场。研究所使用的计量方法是面板数据分析方法，被解释的变量为所选取的上市公司的各个价值指标及其经过适当调整后的变量，解释变量为以季度计算的上市年龄T以及它的二次幂、三次幂和四次幂。为排除各种外部环境因素的干扰，确保实证结果的稳健性，本文拟采用两种数据处理方法来对上市公司价值进行研究。一种是基于不同IPO时间，分别对从2000年到2009年在香港联合交际所IPO的上市公司的全样本数据进行面板数据模型回归，研究不同IPO时间上公司价值的变化趋势；另一种是基于不同上市时间长度，分别对上市时间满三年到十年的所有上市公司运用面板数据模型回归，研究不同时间长度上公司价值的变化趋势。对这两种方式处理的数据，本文都将从三个方面进行实证分析，一个是直接使用各个价值指标利用各个价值指标数据做面板模型回归；一个是将各个价值指标除以股票指数（本文选取的是当期的恒生指数）来去除市场趋势的影响，然后再回归；最后是对市场价值变化趋势的稳健性检验。实证分析结果表明，回归方程中时间项T的最高次幂为二次幂的面板数据回归模型刻画的上市公司价值的变动规律与实际变动情况最为相符，二次项系数回归结果中正数个数占绝大多数。说明上市公司价值随时间的变化服从系数为正的二次分布，，即公司选择发行上市后，其价值不会立即上升，而是先呈现出一定程度下降的趋势然后才会不断上升，在图像上表现为正U型变化趋势。另外，公司价值受外部环境的影响十分敏感，公司选择有利上市时间点（即在有利的外部环境条件下发行上市），对公司价值及公司将来的发展都有非常重要的作用。
[Abstract]:The value of the company is the core content of the corporate finance, the concept is one of the most important financial subjects, it is not only the company managers and investors are very concerned about the index, but also an important aspect of domestic and foreign scholars to conduct scientific research. The research on the value of the company's predecessors have obtained many important achievements, such as the life cycle theory and MM why measure theorem etc., the research mainly concentrates on the value of the company and affect the company's value. In addition, the volatility of the characteristic value of the company, which is the theoretical research and typical facts have proved that the conclusion. But the perspective of this paper is to exclude the impact of external factors, the company faced similar external environment under the condition of the value itself is listed with the change of age, if so, what will be the changes. This article on this point by empirical research. The results not only have theoretical significance, but also have practical significance. This paper can provide more scientific basis and more reliable data support for company decision makers, investors or market regulators.
By using the research sample of this paper is the full sample value index data of companies listed on the Hongkong stock exchange. The Hong Kong listed companies chose data because the Hongkong stock market has open, competitive trading environment, a sound regulatory mechanism and good regulatory environment, coupled with the government of Hongkong to implement the investment tax policy making the Hongkong stock market is more close to the market. The effective measurement method used is the study of panel data analysis, each value index is selected as the explanatory variables of listed companies and the properly adjusted variables and explanatory variables for the listed age T in order to calculate the quarter and the two power, three power and a power of four.
To exclude the interference of various factors in the external environment, to ensure the robustness of the empirical results, this paper uses two kinds of data processing methods to study the value of the listed companies. One is IPO based on different time, the sample data of listed companies from 2000 to 2009 in the Hongkong United Communication IPO respectively for panel data regression model the change trend of time, the effect of different IPO on the value of the company; the other is a different time to market based on length of time to market, respectively for three years to ten years of all listed companies using panel data regression model, the research different time length on the value of the company. The changes of the two types of data in this paper. Will be from the three aspects of empirical analysis, one is the direct use of various value index panel regression using each value index data; one is the value of each index By dividing the stock index (the current Hang Seng Index) is chosen to remove the influence of market trend, and then return, and finally, it is a robustness test of the trend of market value change.
The empirical results show that changes in the law and the actual changes of highest power time T regression equation for the two panel data regression models describe the power value of listed companies is most consistent, two coefficient regression results the number of positive majority. Explain the value of listed companies change with time obeys coefficient for the two time distribution is, the company issued after the listing, its value will not rise immediately, but first showed a trend of decrease then rising in the images showed positive U trends. In addition, the company value is affected by the external environment is very sensitive, listed companies choose favorable time points (that is listed in the external environment under the favorable conditions), has a very important effect on the value of the company and the company's development in the future.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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