我国上市公司资本结构决定因素及动态调整研究
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摘要
资本结构是指企业各种资金来源的构成及其比例关系,企业通过各种融资方式融资的结果形成了企业的资本结构。企业融资的资金来源主要包括债务、股权和混合性证券。资本结构直接决定着公司所利用资本整体风险和融资成本的大小,由此资金来源对公司来讲具有重要的意义,并且直接影响着公司的整体价值与股东的财富。尤其是在金融危机发生之后,各国经济形势和金融势力突变,公司资本结构决策的重要性日益凸显。
我国资本结构的研究始于国有企业的高负债。为降低国有企业的负债率,我国政府进行了积极的尝试。例如,1990年上海、深圳证券交易所的相继成立标志着我国证券市场的诞生。经过20多年的洗礼和历练,我国资本市场结构不断完善,包括主板、中小板、创业板、代办股份转让市场在内的多层次市场体系框架已基本形成。截至2011年12月底,我国上市公司共2342家,股权融资总额达8972.43亿元。但在我国法律体系不完善、制度环境不理想以及债券市场不发达的环境下,企业产权关系不清楚,企业运行面临着预算软约束和信贷软约束,缺乏有效的投资者保护机制。可见,我国企业融资的基本环境离成熟的市场经济环境还相距甚远,这种运行环境的差异导致了西方资本结构理论不能完全适合我国的实际情况。研究表明,我国上市公司具有较为明显的股权融资倾向,并且受利益最大化的驱使过度追求融资数量,这不仅阻碍了我国上市公司资本结构达到最优,还进一步影响了公司长期发展。
在这一背景下,本文从资本结构相关理论和研究文献入手,分析了我国上市公司资本结构的主要特征,并以2012年之前在我国股票市场发行A股,财务报表以人民币为计价单位的669家上市公司作为研究样本,采用静态面板和动态面板分析方法实证分析了上市公司资本结构的影响因素以及上市公司资本结构的动态调整,在此基础上,提出了我国上市公司融资决策的合理目标及相关政策建议,从而在为实务界和监管当局提供决策依据的同时,也为国内学者的后续研究提供有益参考和借鉴。
全文分为七章,每章的研究内容如下：
第一章,导论。本章在研究背景、研究意义的基础上,阐明了本文的研究思路和研究方法,最后对本文的研究框架以及创新和不足之处进行了介绍。
第二章,相关理论与文献综述。本章从资本结构的相关理论出发,主要对资本结构的影响因素、资本结构的动态调整及融资决策的合理目标进行较为系统的文献回顾与评述,为文章后续的理论以及实证分析提供了主要依据。
第三章,我国上市公司资本结构的特征分析。本章首先描述了我国上市公司资本结构的变化趋势,在此基础上,对36个国家(地区)上市公司的资本结构进行了比较和分析,并重点对我国上市公司股权融资倾向的成因进行了总结。
第四章,我国上市公司资本结构决定因素的实证分析。本章首先对上市公司资本结构的影响因素进行了理论上的探讨,在此基础上,提出研究假设,并采用固定效应的面板分析方法考察了我国上市公司资本结构的主要影响因素。最后通过实证检验进一步分析和确定政府管制和公司治理因素对其他影响因素的制约。
第五章,我国上市公司资本结构动态调整实证分析。本章采用系统GMM估计方法对上市公司资本结构的动态调整进行了实证研究。在测算出上市公司资本结构调整速度的基础上,通过对啄序理论和惰性理论模型的稳健性检验进一步分析和确定我国上市公司资本结构动态调整的变化特征。
第六章,我国上市公司资本结构动态调整中的融资决策目标实现。本章基于传统公司金融理论对融资决策目标的定义,对我国上市公司资本结构与融资目标之间的动态关系进行了实证分析,在此基础上,提出了上市公司融资决策较为合理的目标,并阐述了该目标在我国的合理性和适用性。以上为我国资本结构决策的制定和资本结构的动态管理提供了重要的借鉴和合理的依据。
第七章,结论建议及研究展望。综合本文研究结果得出基本结论,并提出相关政策建议。最后结合论文中存在的不足,提出了今后我国上市公司资本结构的研究方向。
经过理论分析和实证检验,本文得到以下几组研究成果：
(1)关于我国上市公司资本结构特征,本文给出如下解释：
第一,我国上市公司主要以股权融资(37.66%)为主,其次分别为内部留存融资(18.20%)、商业信用融资(17.76%)、长期债务融资(14.64%)和短期债务融资(11.74%)。这也充分反映了我国上市公司较为明显的股权融资倾向。
第二,按照法律体系的分类列出了36个国家(地区)非金融类上市公司债务比例的相关数据,通过国际比较得出,我国长期债务比例在36个国家(地区)中是排名最低的,这说明我国上市公司绝大部分债务融资来源于短期债务融资。
第三,我国上市公司股权融资倾向的主要原因包括股权融资成本较低、自由现金流对管理层的内在激励以及债券市场的不发达。
(2)关于我国上市公司资本结构决定因素,本文通过实证研究得出以下结论：
第一,公司规模、资产有形性、行业杠杆率中值、国有股和国有法人股与杠杆率之间是显著的正向关系；盈利性、折旧比例、股票收益率、独立董事比例与杠杆率之间是显著的负向关系；而成长性、高管持股比例和董事会规模与杠杆率之间的关系并不显著。
第二,行业杠杆率中值对杠杆率的影响最为显著,即目标杠杆率对我国上市公司资本结构的影响最为显著。但政府管制和公司治理因素对上市公司资本结构的调整速度却产生了负面影响,使其调整速度有所降低。
第三,对于盈利性较高的公司来说,内部融资优先于债务融资；而对于盈利性较低的公司来说,资产的有形性是决定债务融资数量的一个非常重要的因素。
第四,高管持股比例过低、独立董事制度不健全等都说明了政府应推进股权多元化以及进一步完善和整合我国上市公司的公司治理机制,以便建立有效的公司控制权市场。
(3)关于我国上市公司资本结构动态调整,本文通过实证研究得出以下结论：
第一,我国上市公司资本结构的调整速度为48.55%,这说明上市公司只需要一年就可弥补当前实际杠杆率与目标杠杆率之间缺口的一半左右。较快的调整速度表明我国资本市场的摩擦程度并不比西方有些国家大。
第二,虽然高杠杆率公司和低杠杆率公司较快地调整当期杠杆率偏离目标杠杆率的缺口,但高杠杆率公司和低杠杆率公司的资本结构调整速度具有非对称性,由此我们也无法确定我国上市公司较快的杠杆率调整速度是由杠杆率均值回归所决定的。
第三,通过对啄序理论和惰性理论模型的进一步检验,其结果更加能够确定我国上市公司资本结构的动态调整比较支持权衡理论。从对我国上市公司资本结构的影响来看,虽然啄序理论为本文提供了有关我国上市公司资本结构变化的信息,但该理论很难对上市公司杠杆率的动态调整产生一定的说服力,可见啄序理论仅可以归为广义权衡理论中的一个特例。此外,对惰性理论模型的检验表明相比国外上市公司,我国上市公司的股价波动效应对杠杆率的影响更加短暂,并且管理层更加积极主动地对杠杆率进行调整。
(4)关于我国上市公司资本结构动态调整中的融资决策目标实现,本文给出如下解释：
本文通过实证研究得到我国上市公司不断调整杠杆率的目标是实现股东利益最大化。在此基础上,本文在我国资本市场弱有效的特征下,提出了“在股票价格最大化的条件下(P1),实现公司长期价值(V1)的最大化(MaxV1/MaxP1)"目标在公司金融领域的适用性,其假设条件是市场具有预见性,并且这种预期是无系统偏见的。根据本文的逻辑推理,无系统偏见的资本市场有两种可能：一是该市场不是有效的,但具有较好的预期能力；二是该市场是有效的,但是一种有效程度不高的资本市场。从某种程度上来说,笔者更同意后者,当然相关的数据和实证支持是本文以后的研究方向之一。
本文的研究主要在以下两个方面有所创新：
第一,在经验分析的基础上,本文采用静态面板和动态面板分析方法对我国上市公司资本结构动态调整进行稳健性检验,证明了权衡理论能够更好地解释以上现象,并认为从对资本结构的影响角度来看,啄序理论仅是广义权衡理论中的一个特例。同时在惰性理论的基础上,采用GMM估计方法测算出股票价格非预期波动对杠杆率的影响,从而为目标杠杆率的动态管理提供有价值的借鉴。
第二,本文从传统公司金融理论对公司融资决策目标的定义出发,通过对融资决策目标与资本结构之间的关系进行实证研究,进一步证实了我国上市公司具有较为明显的股权融资倾向。在此基础上,通过逻辑推理和理论阐述提出了在我国资本市场弱有效的特征下,上市公司融资决策的合理目标(MaxV1/Max P1),并分别从有效资本市场的假设限制、信息的不对称和管理层的激励机制三个方面分析了该目标的合理性和适用性。
此外,受研究时间和篇幅所限,本文主要存在以下两点不足,以待今后的研究中继续深入。
一是在对我国上市公司资本结构决定因素的实证研究中,由于数据的不易获得,未考虑资本成本、宏观经济层面等相关因素对资本结构的影响。
二是本文仅是从理论层面深入阐述和分析了融资决策目标的合理性,缺少对融资决策目标合理性的实证分析和检验。
Capital structure refers to the composition and proportion of firms' various sources of funding. The result of firms' financing through a variety of sources comprises the capital structure. The funding sources of firms include debt, equity and hybrid securities. Capital structure directly determines the overall risk and cost of the capital firms'take advantage of and has a direct impact on the overall value of the company and shareholders'wealth. Thus the source of funding is of great significance for the company. Especially in the aftermath of the financial crisis, with the mutation of countries'economic situation and financial forces, the company's capital structure decisions are increasingly important.
The research on China's capital structure began in the context of the high debt of state-owned enterprises. In order to reduce the debt ratio of state-owned enterprises, the Chinese government has made an active attempt. For example, the establishment of Shanghai and Shenzhen Stock Exchanges mark the birth of China's securities markets in1990. With the baptism and experience of over20years, the structures of China's capital markets continue to improve, and the multi-level market system framework has been basically formed, including the main board, the SME board, the GEM board, the agency share transfer market. Until the end of December2011, the listed companies in China totals2342, with the equity financing of897.243billion yuan. But under the circumstances of imperfect legal system, unsound institutional environment and underdeveloped bond markets, it causes the unclear business ownership relationship, soft budget constraints and soft credit constraints for the enterprise running, and the lack of effective investor protection mechanism. It is seen that the basic corporate finance environment in China is far from a mature market economy environment. This operating environment differences led to the fact that the western capital structure theories cannot be entirely suitable for the actual situation in China. The study shows that with more obvious tendency for equity financing, the listed companies in China excessively pursue the amount of financing driven by the maximization of the benefits, which not only hinders the optimal capital structure, but also affects long-term development of listed companies in China.
In this context, it starts from the relevant capital structure theories and research literature and analyzes the main features of capital structure of Chinese listed companies. Using669listed companies issuing A shares in China's stock markets before2012, with the financial statements denominated in RMB as a sample, it conducts an empirical analysis on the impact factors and dynamic adjustment of the capital structure of listed companies, through static panel and dynamic panel analysis methods respectively. On this basis, it proposes the reasonable objective of financing decisions for listed firms and related policy recommendations to provide a basis for decision making for the practitioners and regulatory authorities, as well as a useful reference for the follow-up study of domestic scholars.
It is divided into seven parts and the research contents of each part are as follows.
The first chapter is the introduction. It defines the research scope and research methods based on the research background and significance. Finally, it demonstrates the research framework, innovation and shortcomings.
The second chapter is relevant theories and literature review. This section starts with the relevant theories of capital structure and comments the literature on the impact factors, the dynamic adjustment of capital structure and the reasonable objective of financing decisions in a more systematic way. It provides the proof for the theories and empirical analysis afterwards.
The third chapter is the analysis of the characters of capital structure of Chinese listed firms. It first describes the change trend of capital structure of listed firms in China. On this basis, it carries out a comparison and analysis on the capital structure of listed companies in36countries (regions) and focuses on the reasons of equity financing tendency of listed companies in China.
The fourth chapter is the empirical analysis of the determinants of the capital structure of listed companies in China. This chapter begins with the theoretical discussion of impact factors of the capital structure of listed companies. On this basis, it proposes the research assumptions to examine the main impact factors of the capital structure of listed companies in China by means of fixed effects panel methods. Finally, through the empirical test, it further analyzes and determines the constraints of government control and corporate governance factors on other influencing factors.
The fifth chapter is the empirical analysis of dynamic adjustment of the capital structure of listed companies in China. This chapter provides an empirical research on the dynamic adjustment of the capital structure of listed companies using the system GMM method. On the basis of the estimated adjustment speed of capital structure of listed companies, it conducts a robustness test on the pecking order theory and the stock price mechanics model, to further analyze and determine the variation features of dynamic adjustment of the capital structure of listed companies in China.
The sixth chapter is the objective achievement of financing decisions for Chinese listed companies during the dynamic adjustment of capital structure. This chapter empirically analyzes the dynamic relationship between the capital structure and the goal of financing decisions of Chinese listed companies, on the premise of the definition of the goal of financing decisions from the traditional corporate finance theories. On this basis, it puts forward more reasonable objective of financing decisions and elaborates the rationality and applicability of this goal in China. The above provides an important reference and reasonable basis for the capital structure decision-making and the dynamic management of capital structure.
The last chapter is the conclusion and research prospects. It gives the basic conclusions and policy recommendations based on the research results. It subsequently puts forward the research direction for the capital structure of listed firms in China, combined with the shortcomings of the dissertation.
Through the theoretical analysis and empirical testing, it reveals the following research conclusions.
(1)It gives the following explanation concerning the characteristics of the capital structure of listed companies in China.
First, Chinese listed companies focus on the equity financing (37.66%), followed by internal financing (18.20%), commercial credit financing (17.76%), long-term debt financing (14.64%) and short-term debt financing (11.74%). This also fully reflects more obvious equity financing tendency of China's listed companies.
Secondly, it gives the relevant data of debt ratios of non-financial listed companies in36countries (regions) in accordance with the classification of the legal system. Through the international comparisons, the average long-term debt ratio in China is the lowest within36countries (regions). This shows that most of the debt financing of listed companies in China comes from the short-term debt financing.
Thirdly, the main reasons of equity financing tendency of listed companies in China include the lower cost of equity financing, the intrinsic motivation for free cash flows of managers and the underdevelopment of bond markets.
(2)It gives the following conclusions through the empirical research on the determinants of the capital structure of listed companies in China.
First, the firm size, asset tangibility, the industry leverage medium, the proportions of state-owned shares and state-owned legal person shares have a significantly positive relationship with the leverage ratio. The profitability, depreciation ratio, stock return and the percentage of independent directors have a significantly negative relationship with the leverage ratio. The firm growth, the percentage of executive stock ownership and board size are not significant.
Secondly, the industry leverage medium has the most significant impact on the leverage ratio, namely, the target leverage ratio has the most significant impact on the capital structure of listed companies in China. But the government regulation and corporate governance factors have a negative impact on the adjustment speed of listed companies, which causes the adjustment speed to decrease.
Thirdly, for the higher profitability firms, the internal financing takes priority over debt financing. While for the lower profitability firms, the asset tangibility is a very important factor to determine the amount of debt financing.
Fourthly, the much lower executive stock ownership ratios and the imperfect independent director system show that the government should promote the diversified equity and further improve and integrate the mechanism of corporate governance of listed companies in China, in order to establish an effective corporate control market.
(3)It gives the following conclusions through the empirical research on the dynamic adjustment of capital structure of listed companies in China.
First, the adjustment speed of capital structure of listed companies in China is48.55%, indicating that the listed companies only need a year to make up about half of the gap between the actual leverage ratio and target leverage ratio. The faster adjustment speed shows that the degree of friction of China's capital markets is not larger than some countries in the west.
Secondly, although the high leverage and low leverage firms quickly adjust the gap of current leverage ratio deviated from the target leverage ratio, the adjustment speed of capital structure of the high leverage and low leverage firms is not symmetric. Thus we cannot confirm that the faster adjustment speed of the leverage ratio of China's listed firms is determined by the mean reversion of the leverage ratio.
Thirdly, through the further test of the pecking order theory and stock price mechanics model, the result is more able to confirm that the dynamic adjustment of the capital structure of listed companies in China better supports the trade-off theory. From the impact on the capital structure of listed companies in China, although the pecking order theory provides some information on the changes in the capital structure of listed companies in China, this theory is difficult to explain the dynamic adjustment of the leverage of listed companies. It is seen that the pecking order theory can only be classified as a special case of the generalized trade-off theory.In addition, the test of stock price mechanics model shows that compared with foreign listed companies, the listed companies' stock price volatility effects on leverage are more short-term, and managers are more proactive to adjust the leverage in China.
(4)It gives the following explanations on the objective achievement of financing decisions for Chinese listed companies during the dynamic adjustment of capital structure.
Through the empirical research, it shows that the goal of constantly adjusting the leverage ratio of Chinese listed companies is the maximization of shareholders' benefits. On this basis, from the characteristics of China's weak efficient capital market, it proposes that "to maximize the value of the company subject to maximizing the stock price (Max V1/Max P1)" and its applicability in the field of corporate finance. The assumption of this goal is that the market has foresight, and it is unbiased. According to the logical reasoning, there are two possibilities for the unbiased capital market. First, the market is not efficient, but has better foresight. Secondly, the market is efficient, but not high efficient. To some extent, the latter would be more reasonable. Surly, the related data and empirical support would be the direction of future research.
The innovations of this dissertation are mainly the following two aspects.
First, based on the empirical analysis, it conducts a robustness test on the dynamic adjustment of capital structure of listed companies in China using the static panel and dynamic panel analysis methods. It testifies that the trade-off theory can better explain the above phenomenon and from the perspective of the impacts on capital structure, the pecking order theory can only be classified as a special case of the generalized trade-off theory. Meanwhile, on the basis of stock price mechanics theory, it measures the impacts on the leverage of the unexpected variations of stock prices using GMM estimation method, which provides valuable lessons for the dynamic management of the target leverage.
Secondly, it starts from the objective of the company's financing decisions defined by the traditional corporate finance theories. It further confirms more obvious equity financing tendency of listed companies in China by the empirical research on the relationship between the goal of financing decisions and capital structure. On this basis, it puts forward the reasonable objective of financing decisions of listed companies in China (MaxV1/Max P1) under the characters of weak efficient capital markets by logical reasoning and theoretical explanations. Besides, it explores the rationality and applicability of this goal from the assumption constraints of efficient capital markets, information asymmetry and management incentives three aspects.
In addition, because of the limited research time and space, there are mainly two shortcomings in this dissertation, which needs continued in-depth study in the future.
First, in the empirical study of the determinants of the capital structure of listed companies in China, due to not readily available data, it does not consider the factor impacts on the capital structure such as the costs of capital structure, macroeconomic level and so on.
Secondly, it only elaborates and analyzes the reasonableness of the goals of financing decisions from the theoretical level, lacking the empirical analysis and testing on the reasonableness of the financing decision objective.
我国资本结构的研究始于国有企业的高负债。为降低国有企业的负债率,我国政府进行了积极的尝试。例如,1990年上海、深圳证券交易所的相继成立标志着我国证券市场的诞生。经过20多年的洗礼和历练,我国资本市场结构不断完善,包括主板、中小板、创业板、代办股份转让市场在内的多层次市场体系框架已基本形成。截至2011年12月底,我国上市公司共2342家,股权融资总额达8972.43亿元。但在我国法律体系不完善、制度环境不理想以及债券市场不发达的环境下,企业产权关系不清楚,企业运行面临着预算软约束和信贷软约束,缺乏有效的投资者保护机制。可见,我国企业融资的基本环境离成熟的市场经济环境还相距甚远,这种运行环境的差异导致了西方资本结构理论不能完全适合我国的实际情况。研究表明,我国上市公司具有较为明显的股权融资倾向,并且受利益最大化的驱使过度追求融资数量,这不仅阻碍了我国上市公司资本结构达到最优,还进一步影响了公司长期发展。
在这一背景下,本文从资本结构相关理论和研究文献入手,分析了我国上市公司资本结构的主要特征,并以2012年之前在我国股票市场发行A股,财务报表以人民币为计价单位的669家上市公司作为研究样本,采用静态面板和动态面板分析方法实证分析了上市公司资本结构的影响因素以及上市公司资本结构的动态调整,在此基础上,提出了我国上市公司融资决策的合理目标及相关政策建议,从而在为实务界和监管当局提供决策依据的同时,也为国内学者的后续研究提供有益参考和借鉴。
全文分为七章,每章的研究内容如下：
第一章,导论。本章在研究背景、研究意义的基础上,阐明了本文的研究思路和研究方法,最后对本文的研究框架以及创新和不足之处进行了介绍。
第二章,相关理论与文献综述。本章从资本结构的相关理论出发,主要对资本结构的影响因素、资本结构的动态调整及融资决策的合理目标进行较为系统的文献回顾与评述,为文章后续的理论以及实证分析提供了主要依据。
第三章,我国上市公司资本结构的特征分析。本章首先描述了我国上市公司资本结构的变化趋势,在此基础上,对36个国家(地区)上市公司的资本结构进行了比较和分析,并重点对我国上市公司股权融资倾向的成因进行了总结。
第四章,我国上市公司资本结构决定因素的实证分析。本章首先对上市公司资本结构的影响因素进行了理论上的探讨,在此基础上,提出研究假设,并采用固定效应的面板分析方法考察了我国上市公司资本结构的主要影响因素。最后通过实证检验进一步分析和确定政府管制和公司治理因素对其他影响因素的制约。
第五章,我国上市公司资本结构动态调整实证分析。本章采用系统GMM估计方法对上市公司资本结构的动态调整进行了实证研究。在测算出上市公司资本结构调整速度的基础上,通过对啄序理论和惰性理论模型的稳健性检验进一步分析和确定我国上市公司资本结构动态调整的变化特征。
第六章,我国上市公司资本结构动态调整中的融资决策目标实现。本章基于传统公司金融理论对融资决策目标的定义,对我国上市公司资本结构与融资目标之间的动态关系进行了实证分析,在此基础上,提出了上市公司融资决策较为合理的目标,并阐述了该目标在我国的合理性和适用性。以上为我国资本结构决策的制定和资本结构的动态管理提供了重要的借鉴和合理的依据。
第七章,结论建议及研究展望。综合本文研究结果得出基本结论,并提出相关政策建议。最后结合论文中存在的不足,提出了今后我国上市公司资本结构的研究方向。
经过理论分析和实证检验,本文得到以下几组研究成果：
(1)关于我国上市公司资本结构特征,本文给出如下解释：
第一,我国上市公司主要以股权融资(37.66%)为主,其次分别为内部留存融资(18.20%)、商业信用融资(17.76%)、长期债务融资(14.64%)和短期债务融资(11.74%)。这也充分反映了我国上市公司较为明显的股权融资倾向。
第二,按照法律体系的分类列出了36个国家(地区)非金融类上市公司债务比例的相关数据,通过国际比较得出,我国长期债务比例在36个国家(地区)中是排名最低的,这说明我国上市公司绝大部分债务融资来源于短期债务融资。
第三,我国上市公司股权融资倾向的主要原因包括股权融资成本较低、自由现金流对管理层的内在激励以及债券市场的不发达。
(2)关于我国上市公司资本结构决定因素,本文通过实证研究得出以下结论：
第一,公司规模、资产有形性、行业杠杆率中值、国有股和国有法人股与杠杆率之间是显著的正向关系；盈利性、折旧比例、股票收益率、独立董事比例与杠杆率之间是显著的负向关系；而成长性、高管持股比例和董事会规模与杠杆率之间的关系并不显著。
第二,行业杠杆率中值对杠杆率的影响最为显著,即目标杠杆率对我国上市公司资本结构的影响最为显著。但政府管制和公司治理因素对上市公司资本结构的调整速度却产生了负面影响,使其调整速度有所降低。
第三,对于盈利性较高的公司来说,内部融资优先于债务融资；而对于盈利性较低的公司来说,资产的有形性是决定债务融资数量的一个非常重要的因素。
第四,高管持股比例过低、独立董事制度不健全等都说明了政府应推进股权多元化以及进一步完善和整合我国上市公司的公司治理机制,以便建立有效的公司控制权市场。
(3)关于我国上市公司资本结构动态调整,本文通过实证研究得出以下结论：
第一,我国上市公司资本结构的调整速度为48.55%,这说明上市公司只需要一年就可弥补当前实际杠杆率与目标杠杆率之间缺口的一半左右。较快的调整速度表明我国资本市场的摩擦程度并不比西方有些国家大。
第二,虽然高杠杆率公司和低杠杆率公司较快地调整当期杠杆率偏离目标杠杆率的缺口,但高杠杆率公司和低杠杆率公司的资本结构调整速度具有非对称性,由此我们也无法确定我国上市公司较快的杠杆率调整速度是由杠杆率均值回归所决定的。
第三,通过对啄序理论和惰性理论模型的进一步检验,其结果更加能够确定我国上市公司资本结构的动态调整比较支持权衡理论。从对我国上市公司资本结构的影响来看,虽然啄序理论为本文提供了有关我国上市公司资本结构变化的信息,但该理论很难对上市公司杠杆率的动态调整产生一定的说服力,可见啄序理论仅可以归为广义权衡理论中的一个特例。此外,对惰性理论模型的检验表明相比国外上市公司,我国上市公司的股价波动效应对杠杆率的影响更加短暂,并且管理层更加积极主动地对杠杆率进行调整。
(4)关于我国上市公司资本结构动态调整中的融资决策目标实现,本文给出如下解释：
本文通过实证研究得到我国上市公司不断调整杠杆率的目标是实现股东利益最大化。在此基础上,本文在我国资本市场弱有效的特征下,提出了“在股票价格最大化的条件下(P1),实现公司长期价值(V1)的最大化(MaxV1/MaxP1)"目标在公司金融领域的适用性,其假设条件是市场具有预见性,并且这种预期是无系统偏见的。根据本文的逻辑推理,无系统偏见的资本市场有两种可能：一是该市场不是有效的,但具有较好的预期能力；二是该市场是有效的,但是一种有效程度不高的资本市场。从某种程度上来说,笔者更同意后者,当然相关的数据和实证支持是本文以后的研究方向之一。
本文的研究主要在以下两个方面有所创新：
第一,在经验分析的基础上,本文采用静态面板和动态面板分析方法对我国上市公司资本结构动态调整进行稳健性检验,证明了权衡理论能够更好地解释以上现象,并认为从对资本结构的影响角度来看,啄序理论仅是广义权衡理论中的一个特例。同时在惰性理论的基础上,采用GMM估计方法测算出股票价格非预期波动对杠杆率的影响,从而为目标杠杆率的动态管理提供有价值的借鉴。
第二,本文从传统公司金融理论对公司融资决策目标的定义出发,通过对融资决策目标与资本结构之间的关系进行实证研究,进一步证实了我国上市公司具有较为明显的股权融资倾向。在此基础上,通过逻辑推理和理论阐述提出了在我国资本市场弱有效的特征下,上市公司融资决策的合理目标(MaxV1/Max P1),并分别从有效资本市场的假设限制、信息的不对称和管理层的激励机制三个方面分析了该目标的合理性和适用性。
此外,受研究时间和篇幅所限,本文主要存在以下两点不足,以待今后的研究中继续深入。
一是在对我国上市公司资本结构决定因素的实证研究中,由于数据的不易获得,未考虑资本成本、宏观经济层面等相关因素对资本结构的影响。
二是本文仅是从理论层面深入阐述和分析了融资决策目标的合理性,缺少对融资决策目标合理性的实证分析和检验。
Capital structure refers to the composition and proportion of firms' various sources of funding. The result of firms' financing through a variety of sources comprises the capital structure. The funding sources of firms include debt, equity and hybrid securities. Capital structure directly determines the overall risk and cost of the capital firms'take advantage of and has a direct impact on the overall value of the company and shareholders'wealth. Thus the source of funding is of great significance for the company. Especially in the aftermath of the financial crisis, with the mutation of countries'economic situation and financial forces, the company's capital structure decisions are increasingly important.
The research on China's capital structure began in the context of the high debt of state-owned enterprises. In order to reduce the debt ratio of state-owned enterprises, the Chinese government has made an active attempt. For example, the establishment of Shanghai and Shenzhen Stock Exchanges mark the birth of China's securities markets in1990. With the baptism and experience of over20years, the structures of China's capital markets continue to improve, and the multi-level market system framework has been basically formed, including the main board, the SME board, the GEM board, the agency share transfer market. Until the end of December2011, the listed companies in China totals2342, with the equity financing of897.243billion yuan. But under the circumstances of imperfect legal system, unsound institutional environment and underdeveloped bond markets, it causes the unclear business ownership relationship, soft budget constraints and soft credit constraints for the enterprise running, and the lack of effective investor protection mechanism. It is seen that the basic corporate finance environment in China is far from a mature market economy environment. This operating environment differences led to the fact that the western capital structure theories cannot be entirely suitable for the actual situation in China. The study shows that with more obvious tendency for equity financing, the listed companies in China excessively pursue the amount of financing driven by the maximization of the benefits, which not only hinders the optimal capital structure, but also affects long-term development of listed companies in China.
In this context, it starts from the relevant capital structure theories and research literature and analyzes the main features of capital structure of Chinese listed companies. Using669listed companies issuing A shares in China's stock markets before2012, with the financial statements denominated in RMB as a sample, it conducts an empirical analysis on the impact factors and dynamic adjustment of the capital structure of listed companies, through static panel and dynamic panel analysis methods respectively. On this basis, it proposes the reasonable objective of financing decisions for listed firms and related policy recommendations to provide a basis for decision making for the practitioners and regulatory authorities, as well as a useful reference for the follow-up study of domestic scholars.
It is divided into seven parts and the research contents of each part are as follows.
The first chapter is the introduction. It defines the research scope and research methods based on the research background and significance. Finally, it demonstrates the research framework, innovation and shortcomings.
The second chapter is relevant theories and literature review. This section starts with the relevant theories of capital structure and comments the literature on the impact factors, the dynamic adjustment of capital structure and the reasonable objective of financing decisions in a more systematic way. It provides the proof for the theories and empirical analysis afterwards.
The third chapter is the analysis of the characters of capital structure of Chinese listed firms. It first describes the change trend of capital structure of listed firms in China. On this basis, it carries out a comparison and analysis on the capital structure of listed companies in36countries (regions) and focuses on the reasons of equity financing tendency of listed companies in China.
The fourth chapter is the empirical analysis of the determinants of the capital structure of listed companies in China. This chapter begins with the theoretical discussion of impact factors of the capital structure of listed companies. On this basis, it proposes the research assumptions to examine the main impact factors of the capital structure of listed companies in China by means of fixed effects panel methods. Finally, through the empirical test, it further analyzes and determines the constraints of government control and corporate governance factors on other influencing factors.
The fifth chapter is the empirical analysis of dynamic adjustment of the capital structure of listed companies in China. This chapter provides an empirical research on the dynamic adjustment of the capital structure of listed companies using the system GMM method. On the basis of the estimated adjustment speed of capital structure of listed companies, it conducts a robustness test on the pecking order theory and the stock price mechanics model, to further analyze and determine the variation features of dynamic adjustment of the capital structure of listed companies in China.
The sixth chapter is the objective achievement of financing decisions for Chinese listed companies during the dynamic adjustment of capital structure. This chapter empirically analyzes the dynamic relationship between the capital structure and the goal of financing decisions of Chinese listed companies, on the premise of the definition of the goal of financing decisions from the traditional corporate finance theories. On this basis, it puts forward more reasonable objective of financing decisions and elaborates the rationality and applicability of this goal in China. The above provides an important reference and reasonable basis for the capital structure decision-making and the dynamic management of capital structure.
The last chapter is the conclusion and research prospects. It gives the basic conclusions and policy recommendations based on the research results. It subsequently puts forward the research direction for the capital structure of listed firms in China, combined with the shortcomings of the dissertation.
Through the theoretical analysis and empirical testing, it reveals the following research conclusions.
(1)It gives the following explanation concerning the characteristics of the capital structure of listed companies in China.
First, Chinese listed companies focus on the equity financing (37.66%), followed by internal financing (18.20%), commercial credit financing (17.76%), long-term debt financing (14.64%) and short-term debt financing (11.74%). This also fully reflects more obvious equity financing tendency of China's listed companies.
Secondly, it gives the relevant data of debt ratios of non-financial listed companies in36countries (regions) in accordance with the classification of the legal system. Through the international comparisons, the average long-term debt ratio in China is the lowest within36countries (regions). This shows that most of the debt financing of listed companies in China comes from the short-term debt financing.
Thirdly, the main reasons of equity financing tendency of listed companies in China include the lower cost of equity financing, the intrinsic motivation for free cash flows of managers and the underdevelopment of bond markets.
(2)It gives the following conclusions through the empirical research on the determinants of the capital structure of listed companies in China.
First, the firm size, asset tangibility, the industry leverage medium, the proportions of state-owned shares and state-owned legal person shares have a significantly positive relationship with the leverage ratio. The profitability, depreciation ratio, stock return and the percentage of independent directors have a significantly negative relationship with the leverage ratio. The firm growth, the percentage of executive stock ownership and board size are not significant.
Secondly, the industry leverage medium has the most significant impact on the leverage ratio, namely, the target leverage ratio has the most significant impact on the capital structure of listed companies in China. But the government regulation and corporate governance factors have a negative impact on the adjustment speed of listed companies, which causes the adjustment speed to decrease.
Thirdly, for the higher profitability firms, the internal financing takes priority over debt financing. While for the lower profitability firms, the asset tangibility is a very important factor to determine the amount of debt financing.
Fourthly, the much lower executive stock ownership ratios and the imperfect independent director system show that the government should promote the diversified equity and further improve and integrate the mechanism of corporate governance of listed companies in China, in order to establish an effective corporate control market.
(3)It gives the following conclusions through the empirical research on the dynamic adjustment of capital structure of listed companies in China.
First, the adjustment speed of capital structure of listed companies in China is48.55%, indicating that the listed companies only need a year to make up about half of the gap between the actual leverage ratio and target leverage ratio. The faster adjustment speed shows that the degree of friction of China's capital markets is not larger than some countries in the west.
Secondly, although the high leverage and low leverage firms quickly adjust the gap of current leverage ratio deviated from the target leverage ratio, the adjustment speed of capital structure of the high leverage and low leverage firms is not symmetric. Thus we cannot confirm that the faster adjustment speed of the leverage ratio of China's listed firms is determined by the mean reversion of the leverage ratio.
Thirdly, through the further test of the pecking order theory and stock price mechanics model, the result is more able to confirm that the dynamic adjustment of the capital structure of listed companies in China better supports the trade-off theory. From the impact on the capital structure of listed companies in China, although the pecking order theory provides some information on the changes in the capital structure of listed companies in China, this theory is difficult to explain the dynamic adjustment of the leverage of listed companies. It is seen that the pecking order theory can only be classified as a special case of the generalized trade-off theory.In addition, the test of stock price mechanics model shows that compared with foreign listed companies, the listed companies' stock price volatility effects on leverage are more short-term, and managers are more proactive to adjust the leverage in China.
(4)It gives the following explanations on the objective achievement of financing decisions for Chinese listed companies during the dynamic adjustment of capital structure.
Through the empirical research, it shows that the goal of constantly adjusting the leverage ratio of Chinese listed companies is the maximization of shareholders' benefits. On this basis, from the characteristics of China's weak efficient capital market, it proposes that "to maximize the value of the company subject to maximizing the stock price (Max V1/Max P1)" and its applicability in the field of corporate finance. The assumption of this goal is that the market has foresight, and it is unbiased. According to the logical reasoning, there are two possibilities for the unbiased capital market. First, the market is not efficient, but has better foresight. Secondly, the market is efficient, but not high efficient. To some extent, the latter would be more reasonable. Surly, the related data and empirical support would be the direction of future research.
The innovations of this dissertation are mainly the following two aspects.
First, based on the empirical analysis, it conducts a robustness test on the dynamic adjustment of capital structure of listed companies in China using the static panel and dynamic panel analysis methods. It testifies that the trade-off theory can better explain the above phenomenon and from the perspective of the impacts on capital structure, the pecking order theory can only be classified as a special case of the generalized trade-off theory. Meanwhile, on the basis of stock price mechanics theory, it measures the impacts on the leverage of the unexpected variations of stock prices using GMM estimation method, which provides valuable lessons for the dynamic management of the target leverage.
Secondly, it starts from the objective of the company's financing decisions defined by the traditional corporate finance theories. It further confirms more obvious equity financing tendency of listed companies in China by the empirical research on the relationship between the goal of financing decisions and capital structure. On this basis, it puts forward the reasonable objective of financing decisions of listed companies in China (MaxV1/Max P1) under the characters of weak efficient capital markets by logical reasoning and theoretical explanations. Besides, it explores the rationality and applicability of this goal from the assumption constraints of efficient capital markets, information asymmetry and management incentives three aspects.
In addition, because of the limited research time and space, there are mainly two shortcomings in this dissertation, which needs continued in-depth study in the future.
First, in the empirical study of the determinants of the capital structure of listed companies in China, due to not readily available data, it does not consider the factor impacts on the capital structure such as the costs of capital structure, macroeconomic level and so on.
Secondly, it only elaborates and analyzes the reasonableness of the goals of financing decisions from the theoretical level, lacking the empirical analysis and testing on the reasonableness of the financing decision objective.
引文
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① Fama(1978)将其规定为命题一的必要条件。
① 汪昌云.金融经济学[M].北京：中国人民大学出版社,2006。
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① 见Titman和Wessels (1988), Rajan和Zingales (1995), Fama和French (2002), Frank和Goyal (2007)。
① 本节融资方式的定义参考：周荣江.现代企业融资实务[M].山东：山东人民出版社,2011。
① 陆正飞等 中国上市公司融资行为与融资结构研究[M].北京：北京大学出版社,2005.PP120。
② 黄少安、张岗.中国上市公司股权融资偏好分析[J].经济研究,2001,(11)：12-27。
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④ 陆正飞等.中国上市公司融资行为与融资结构研究[M]北京：北京大学出版社，2005.PP120。
① 王立元.中国A股上市公司IPO募集投向变更动因与后果研究[D].博士学位论文,东北财经大学,2011。
② Williamson, O. E.,1988, "Corporate Finance and Corporate Governance", Journal of Finance, Vol.43, No.3, PP567-591.
① De Angelo, H., De Angelo, L. and Stulz, R.,2004, Dividend Policy, Agency Costs and Earned Equity, Working paper, University of Southern California.
② 王立元.中国A股上市公司IPO募集投向变更动因与后果研究[D].博士学位论文,东北财经大学,2011。
① 见Myers和Majluf,1984; Rajan和Zingales,1995; Baker和Wurgler; Welch,2004.
① 见Gilson,1997；Hull,1999；Hovakimian,Opler和Titam,2001:Faccio和Masulis,2005；Flannery和Rangan,2006.
① 黄辉.中国上市公司资本结构动态调整：速度、路径与效率[M].四川：西南财经大学出版社,2012。
① 据《国务院关于投资体制改革的决定》。
② 郭春丽.融资结构与公司价值研究——一个综合分析框架及其在中国上市公司的应用[M].北京：人民大学出版社,2006。
① 据《非金融企业债务融资工具注册文件表格体系》(简称《表格体系》)。
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① 本节融资方式的定义参考：周荣江.现代企业融资实务[M].山东：山东人民出版社,2011。
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① 据《国务院关于投资体制改革的决定》。
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① 据《非金融企业债务融资工具注册文件表格体系》(简称《表格体系》)。
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