【作者】 黄驷群；

【导师】 刘春杰；

【作者基本信息】 浙江大学 ， 金融学， 2004， 硕士

【摘要】 现有的关于资本结构决定因素的实证研究文献多以英美等发达国家的数据来测试不同的理论模型,而近些年国内逐渐增多的实证研究文献也多是在静态框架下以单一时期的横截面数据对实际观察的财务杠杆和一系列的解释变量做回归分析。本文以我国655家上市公司1995-2002年的非平衡面板数据为研究样本,在动态框架下考察资本结构的决定问题。在静态模型基础上扩展的变参数模型和动态调整模型的引入使我们能够考察资本结构决定的动态变化以及资本结构的调整过程。本文的研究结果显示:对西方发达国家公司资本结构有影响的四个关键因素盈利能力、抵押价值、成长机会和公司规模同样显著地影响我国上市公司的资本结构;随着时间的推移,各个解释变量对资本结构的作用方向和影响程度都发生了显著的变化;交易成本同样影响我国上市公司的资本结构选择;我国上市公司长期负债的交易成本比短期负债低;与英美等西方发达国家相比,我国各种期限债务的交易成本一般都偏低;除了个别年份外,调整速度较之上一年都加快了;盈利性、成长机会和公司规模都影响我国上市公司资本结构的调整速度。更多还原

【Abstract】 Existing empirical research on the determination of capital structure has been largely confined to the United States and a few other developed countries. In recent years, domestic studies on capital structure have been increasing. However, the focus is, empirically, on studying the association between observed leverage and a set of explanatory variables within the context of a static ’snapshot’ framework due to the poor cross-sectional variation in data. Consequently, the analysis in this paper seeks to determine the dynamic nature of capital structure and its determinants for Chinese listed companies with panel data methodology, which combines cross-section and time-series information. The sample consists of 655 firms over the period of 1995 to 2002 and is drawn from a newly developed database CSMAR. The time-varying-parameter model and the partially adjustment model based on the fixed effect regression allow to analyze the changes of capital structure decisions and the adjustment processes taking place over time. The main findings of this study are that the level of profitability, tangibility, growth opportunities and the company size affects the choice of capital structure significantly, and that the relationship between the various debt ratios and the level of independent variables has changed over time. Also, the results confirm the existence of restructuring costs in attaining an optimal capital structure. What’s more, the adjustment model suggests a differential cost of restructuring for long-term and short-term debt and a faster adjustment compared to the companies of developed countries. We also find that the adjustment speed has changed over time, and that the level of profitability, growth opportunities and the company size affects the adjustment speed significantly.更多还原