中国上市公司股权融资偏好解析

3?(100871):,,,,,Logit,,,,,,:3A,,01BJY091(,2001;,2001),,,,(Myers,1984;MyersMajluf,1984)?,,(,2001;,2000),,,,,,,,(HarrisRaviv,1991;Tirole,2001),,,,,:(1)?(2),?,,(IPO),:IPO,,05:©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.(Zingales,1995),IPO,;IPO,IPO,,IPO,:()11,,Gordon2Shapiro,,,,(Wippern,1966),Gebhardt,LeeSwaminathan(2003),,,:,,,,:Pt=6i=1Et(Dt+i)(1+re)i:Pt,Et(Dt+i)tt+i(cleansurplus),,:Pt=Bt+6i=1Et[NIt+i-reBt+i-1](1+re)i=Bt+6i=1Et[(ROEt+i-re)Bt+i-1](1+re)i:Bt=t;Et[.]=t;NIt+i=t+i;re=;ROEt+i=t+i(ROEt+iNIt+iPBt+i-1),,,,(terminalvalue),:Pt=Bt+FROEt+1-re(1+re)Bt+FROEt+2-re(1+re)2Bt+1+FROEt+3-re(1+re)3Bt+2+TV:Pt=;,1520044,©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.()Bt=t,,,,,Bt=Bt+1-(EPSt+1-DPSt+1),Bt+1,EPSt+1,DPSt+1re=()FROEt+i=t+i,,t+iROE,ROE:NIt+iPBt+i-1Bt+i=Bt+i-1+EPSt+i-DPSt+iDPSt+i=k3EPSt+i,kTV,:TV=6T-1i=4FROEt+i-re[1+re]iBt+i-1+FROEt+T-rere(1+re)T-1Bt+T-112(T=12),12ROEROE,,,,t+4t+11ROEROEROE,,21ROE19912000ROE,ROE,,,ROE,(6000%),re,21,,,(),,,:rd=I(1-t),I,t(),19982000,:(1)199711A;(2)19982000-;(3)1998200025:1%2%,,5%,,5105%511%,Gebhardt,LeeSwaminathan(2003),12,,T=12(1999),,,©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.()-,;,,,,,(),442-(),(),:(1);(2);(3),11(19982000):%19981999200031192373512403518895511470513799719610516295511439614666t(p)-61595(01000)01575(01569)01006(01995)-31602(01000)()3(9168%)12(63116%)10(43148%)25(34125%)633041134512438417743318849417229718275519573514149616706t(p)-101028(01000)-31603(01001)-51099(01000)-91752(01000)()7(11111%)11(36167%)7(17107%)25(18166%)627994235510132414394314177411821719589517999512484611489t(p)-91835(01000)-61484(01000)-101820(01000)-131031(01000)()4(6145%)17(21152%)15(15196%)36(15132%):,;+++++,1,,(1t0105),3520044©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,19992000(t),,,,24115%[=(25+25)P(73+134)],1999,,63116%2000,1016%,4198%,2113,,,,?,:,;,,;,,,(HarrisRaviv,1991;Tirole,2001),:Logit;,()01,LogitLogit:Lnp1-p=f(),p=,,1,0,,11ModiglianiMiller(1958),,:(statictrade2offmodel)(peckingorderhypothesis),,,,,,,(Myers,1984;MyersMajluf,1984),,45:©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,21,,:,;,;,(EBIT-2s-I)PEBIT,:EBIT,s19972000EBIT,I,EBIT(EBIT-2s)9715%,0,9715%,,,,,31JaffeeRussell(1976)StiglitzWeiss(1981),,(),(),(),,,,,,,,,(creditrationing),(debtcapacity)Tirole(2001),,,,,,,,41JensenMeckling(1976),;,,,,;,,,,Hart(1995),,,,,HarrisRaviv(1991),,,,,,,,:,,552004419972000,,1997,,,19972000©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,(),,,HarrisRaviv(1991),,,;,,(2001),:,,Kaplan(1989)Hall(1990)R&D,R&DR&D,,R&D,R&D,,51,,(Zingales,1994;ShleiferandVishny,1997),,,,,,(HarrisRaviv,1988):,()Logit2:,,;,,,,,,,,,Hart(1995)HarrisRaviv(1991),,,,,(),,,,,,,,,,,,,,,(),OplerTitman(1993)KaplanStein(1993),,65:©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,,2LogitPP?3117030128460181801116-2117093330100000136333301000+-010522017729-0102701386--01032401705401001101943-0115060125830102201311--01388433010104-010573301029+13172403330100002133733301000--611841333010000-015333301012+010085018349-01002601717+-217606012707-0161301129+01021433301002101003433301005X2=931910F=91268P=010000P=01000Cox&SnellR2=01209R2=01192NagelkerkeR2=01279R2=01172:3331%;335%,(),,(2002)(2002),,,,,,,,22,,,Logit,,,,7520044©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,,,,,:(1),,,,,(2),,,,,(3),(),,,,,(4),,,,,R2,,,,,,,,,,,,,,,,2000:,8,2001:,11,2001:,5,2002:,,2001:,9Gebhardt,W.,C.,LeeandB.Swaminathan,2003,TowardanImpliedCostofCapital,JournalofAccountingResearch,Forthcoming.Hall,B.,1990,TheImpactofCorporateRestructuringonIndustrialResearchandDevelopment,BrookingsPapersonEconomicActivity:Microeconomics,85124.Harris,M.andA.Raviv,1988,CorporateControlContestsandCapitalStructures,JournalofFinancialEconomics20,5586.Harris,M.andA.Raviv,1991,TheTheoryofCapitalStructure,JournalofFinance46,297355.Hart,Oliver,1995,Firms,ContractsandFinancialStructure,OxfordUniversityPress.Jaffee,D.andT.Russell,1976,ImperfectInformation,Uncertainty,andCreditRationing,QuarterlyJournalofEconomics90,651666.85:©1995-2005TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.Jensen,M.andW.Meckling,1976,TheoryoftheFirm:ManagerialBehavior,AgencyCostandOwnershipStructure,JournalofFinancialEconomics,October,305360.Kaplan,Steven,1989,TheEffectsofManagementBuyoutsonOperationsandValue,JournalofFinancialEconomics24,217254.Kaplan,S.andJ.Stein,1993,TheEvolutionofBuyoutPricingandFinancialStructureinthe1980s,QuarterlyJournalofEconomics108,313358.Modigliani,F.andM.Miller,1958,TheCostofCapital,CorporateFinance,andtheTheoryofInvestment,AmericanEconomicReview,June,261297.Myers,S.,1984,TheCapitalStructurePuzzle,JournalofFinance39,573592.Myers,S.andN.Majluf,1984,CorporateFinancingandInvestmentDecisionsWhenFirmsHaveInformationthatInvestorsDoNotHave,JournalofFinanceandEconomics13,187221.Opler,T.andS.Titman,1993,TheDeterminantsofLeveragedBuyoutActivity:FreeCashFlowvs.FinancialDistressCosts,JournalofFinance48,19851999.Shle