基于市场微观结构视角的我国上市公司融资行为研究
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摘要
有效市场理论忽略了市场机制等市场微观结构因素在定价和价格变化方面所起的作用。市场微观结构理论认为,市场并非无摩擦,不同的市场机制对实际价格的形成有不同影响。评价市场微观结构重要性的文献主要集中于资产定价方面,这些资产定价理论开始将市场流动性、非系统波动性和信息非对称等风险因素作为资产价格的重要影响因素加以考虑。本文的目的是基于市场微观结构资产定价(资本成本)理论,考察市场环境和市场价格行为如何影响公司的融资决策。本文的研究既有助于从市场价格行为的角度来理解和评价公司的融资行为,同时对于拓展公司资本结构理论又可以提供重要的经验依据。
围绕公司股票价格行为对其融资的影响这条主线,本文主要包括以下几个方面的内容:(1)运用面板数据回归分析,从静态和动态角度考察了上市公司股票流动性与资本结构之间的关系。研究发现:上市公司前一期股票流动性越高,其后一期负债相对越少;股票市场流动性越高公司越倾向于调低其杠杆率,流动性越低则公司越倾向于调高其杠杆率。基于Probit二元选择模型,进一步考察了流动性对资本结构及其变化的影响机理。结果表明,随流动性增加,上市公司以债务方式进行融资的概率是下降的,以股权方式进行融资的概率是上升的。(2)运用VAR模型、Granger因果关系检验、脉冲响应分析与方差分解技术,检验了我国上市公司个股波动性对其融资行为的影响。研究发现,随股价波动增加,公司股权融资水平相对下降;公司股价波动性和外部利率变化对不同规模公司的融资行为有不同影响,相对于大公司而言,小规模公司的融资行为对股价波动性和利率变化都更为敏感。(3)检验了时变的信息不对称对我国上市公司股权和债务融资行为的影响。基于Wilcoxon秩和检验、方差比检验以及Fama-MacBeth回归方法的研究发现:我国上市公司倾向于在信息披露之后公告新股发行;我国上市公司发行公告前后两个定期报告皆具有信息含量,但发行公告之前的定期报告没有向市场传递更好的信息;随信息不对称程度增加,我国上市公司外部融资中债务融资所占比重是增加的;当公司财务赤字水平较高时,信息不对称与债务比率显著正相关。(4)啄序理论认为信息不对称是影响公司融资优序的根本动因。在对样本进行信息不对称程度大小分组的基础上,以有序probit模型和似然比检验法估计了我国上市公司的融资优序。研究表明,我国上市公司有明显的股权融资偏好,而且该偏好不受信息不对称程度的影响。关于股利政策与公司融资偏好之间关系的研究表明,发放股票股利有利于上市公司进行股权再融资,市场上投资者对股票股利的追捧又进一步强化了上市公司的股权融资偏好。
Effective Market Hypothesis ignores the effect of market microstructure on asset pricing and price variation. Market microstructure theory suggests that there are various frictions in financial markets, and different market trading mechanism has different impact on price behavior. Literatures about market microstructure have mainly developed asset pricing theory in recent years. And these asset pricing theories have taken market liquidity, non-systematic volatility and asymmetric information risks into account. Basing on market microstructure asset pricing theories, the purpose of this study is to investigate how stock market environments and market price behaviors impact the financing decision of Chinese listed companies. Our study is in favor of understanding and evaluating listed companies’financing decision from the point of stock market price behavior, as well as providing empirical evidences to extend existing capital structure theories.
Along the clue of effects of stock price behavior on corporate financing, the main contents of this study are as follows: (1) Based on panel data regression methods, the dissertation investigates the relationship between stock liquidity and corporate capital structure from static and dynamic point of view. The results demonstrate that the higher the previous liquidity of listed company’s stock, the less debt the company has. And when the stock liquidity is higher, the listed company tends to adjust lower its leverage, and vice versa. The dissertation further studies the mechanism of the impact of liquidity on capital structure and its change by employing Probit Binary Choice Model. And finds that the probability of debt financing decreases with stock liquidity, but the probability of equity financing increases with it. (2) Using Vector Autoregression, Granger casualty test, Impulse Responses Analysis and Variance Decomposition technology, we study the effect of stock volatility on corporate financing. We find that the level of corporate equity financing decreases with its stock volatility. And corresponding to large firms, the financing behavior of small firms is more sensitive to stock volatility and interest rate change. (3) The dissertation investigates the impact of time-varying asymmetric information on firm’s equity and debt financing. Based on Wilcoxon rank-sum test, variance ratio test and Fama-MacBeth regression methods, the study finds that Chinese listed companies tend to announce their equity issuing after information disclosure. The regular financial reports around issue announcement are informationative, but the previous report does not reveal better information to the market. And the ratio of debt increases with information asymmetry. When listed
围绕公司股票价格行为对其融资的影响这条主线,本文主要包括以下几个方面的内容:(1)运用面板数据回归分析,从静态和动态角度考察了上市公司股票流动性与资本结构之间的关系。研究发现:上市公司前一期股票流动性越高,其后一期负债相对越少;股票市场流动性越高公司越倾向于调低其杠杆率,流动性越低则公司越倾向于调高其杠杆率。基于Probit二元选择模型,进一步考察了流动性对资本结构及其变化的影响机理。结果表明,随流动性增加,上市公司以债务方式进行融资的概率是下降的,以股权方式进行融资的概率是上升的。(2)运用VAR模型、Granger因果关系检验、脉冲响应分析与方差分解技术,检验了我国上市公司个股波动性对其融资行为的影响。研究发现,随股价波动增加,公司股权融资水平相对下降;公司股价波动性和外部利率变化对不同规模公司的融资行为有不同影响,相对于大公司而言,小规模公司的融资行为对股价波动性和利率变化都更为敏感。(3)检验了时变的信息不对称对我国上市公司股权和债务融资行为的影响。基于Wilcoxon秩和检验、方差比检验以及Fama-MacBeth回归方法的研究发现:我国上市公司倾向于在信息披露之后公告新股发行;我国上市公司发行公告前后两个定期报告皆具有信息含量,但发行公告之前的定期报告没有向市场传递更好的信息;随信息不对称程度增加,我国上市公司外部融资中债务融资所占比重是增加的;当公司财务赤字水平较高时,信息不对称与债务比率显著正相关。(4)啄序理论认为信息不对称是影响公司融资优序的根本动因。在对样本进行信息不对称程度大小分组的基础上,以有序probit模型和似然比检验法估计了我国上市公司的融资优序。研究表明,我国上市公司有明显的股权融资偏好,而且该偏好不受信息不对称程度的影响。关于股利政策与公司融资偏好之间关系的研究表明,发放股票股利有利于上市公司进行股权再融资,市场上投资者对股票股利的追捧又进一步强化了上市公司的股权融资偏好。
Effective Market Hypothesis ignores the effect of market microstructure on asset pricing and price variation. Market microstructure theory suggests that there are various frictions in financial markets, and different market trading mechanism has different impact on price behavior. Literatures about market microstructure have mainly developed asset pricing theory in recent years. And these asset pricing theories have taken market liquidity, non-systematic volatility and asymmetric information risks into account. Basing on market microstructure asset pricing theories, the purpose of this study is to investigate how stock market environments and market price behaviors impact the financing decision of Chinese listed companies. Our study is in favor of understanding and evaluating listed companies’financing decision from the point of stock market price behavior, as well as providing empirical evidences to extend existing capital structure theories.
Along the clue of effects of stock price behavior on corporate financing, the main contents of this study are as follows: (1) Based on panel data regression methods, the dissertation investigates the relationship between stock liquidity and corporate capital structure from static and dynamic point of view. The results demonstrate that the higher the previous liquidity of listed company’s stock, the less debt the company has. And when the stock liquidity is higher, the listed company tends to adjust lower its leverage, and vice versa. The dissertation further studies the mechanism of the impact of liquidity on capital structure and its change by employing Probit Binary Choice Model. And finds that the probability of debt financing decreases with stock liquidity, but the probability of equity financing increases with it. (2) Using Vector Autoregression, Granger casualty test, Impulse Responses Analysis and Variance Decomposition technology, we study the effect of stock volatility on corporate financing. We find that the level of corporate equity financing decreases with its stock volatility. And corresponding to large firms, the financing behavior of small firms is more sensitive to stock volatility and interest rate change. (3) The dissertation investigates the impact of time-varying asymmetric information on firm’s equity and debt financing. Based on Wilcoxon rank-sum test, variance ratio test and Fama-MacBeth regression methods, the study finds that Chinese listed companies tend to announce their equity issuing after information disclosure. The regular financial reports around issue announcement are informationative, but the previous report does not reveal better information to the market. And the ratio of debt increases with information asymmetry. When listed
引文
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