资本结构决定与市场择时——来自中国上市公司的经验证

华中科技大学硕士学位论文资本结构决定与市场择时——来自中国上市公司的经验证据姓名：陈静申请学位级别：硕士专业：会计学指导教师：张兆国20080427I1234IIAbstractBasedonbehavioralfinance,themarkettimingtheoryofcapitalstructurediscussestheactualselectionofcapitalstructureunderthepreconditionthattheinvestorsareirrationalwhilethemanagersarerelativelyrational.Fortheshorthistoryandsystematicdefects,theirrationalbehaviorsareverycommoninChinesecapitalmarket.Therefore,itisofgreattheoreticalsignificancesthatvalidatesmarkettimingtheorysampledonChineselistedcompaniesandofveryprofoundpracticalsignificancesthatfurtherdiscussesthefinancialactsofChineselistedcompaniesbasedonmarkettimingtheory.Inthispaper,weaimtoempiricallytesttheadaptationofmarkettimingtheoryinChinathatsampledonChineselistedcompanies.Afterreviewingtheexistingworks,weconsiderthatacompleteempiricallytestingofmarkettimingtheoryshouldincludethefollowingfourprogressivelevels:Atfirst,provetheexistenceofmarkettimingeffect;Secondly,provethatthemarkettiminghaveashort-termeffectoncapitalstructure;Thirdly,provethatthemarkettiminghavealong-termeffectoncapitalstructure;Atlast,throughthedynamicadjustmentmodeltoprovidetheevidenceforthattheEnterprisedoesnothavethetargetofcapitalstructureortheadjustmentspeedtothegoalisveryslow.Basedontheframework,thispapersampledonChineselistedcompanies,provideevidencefortheexistenceofmarkettimingeffect,theshort-termeffectofmarkettimingoncapitalandthepersistenceoftheeffect,totesttheadaptationofmarketingtheoryinChina.Thispapershowsthat,althoughthereisastrongmarkettimingeffectandtheeffectcanaffectthecapitalstructureinshortterm,inthelongterm,markettiminghavenoeffectonChineselistedcompanies.TheevidencesfromChineselistedcompaniesdonotsupportthemarkettimingtheory.Keywords:CapitalStructureMarketTimingChineseListedcompanies111.11958ModiglianiMiller[1]MMModiglianiMill1963JensenMeckling1976Myers1977Ross1977Stulz1990HartMoore1995MyersMajluf1984Shyam-SunderMyers1999BakerWurgler200212231.21.2.1————3IPO1.2.21241.31.3.1————12345BakerWurgler2002561.3.21BakerWurgler2002————2IPO3B-W62MMMM2002BakerWurgler2.12.1.1BakerWurgler2002Stein1996B-WTaggart1977Marsh1982JalivandHarris1984AsquithMullins1986KorajczykLucasMcDonald1991RajanZingales1995JungKimStulz1996PaganoPanettaZingales1998HovakimianOplerTitman2001M/B1996Stein[2]72.1.22002BakerWurglerB-WM/BM/BEFWAMBM/B10BakerWurgler[3]B-WHovakimian2006BarkerWurlgerEFWAMBEFWAMBHovakimianEFWAMB[4]HovakimianAlti2006M/BAltiIPOBakerWurglerAltiIPO[5]AltiM/BM/BM/BM/B8M/BChenZhao2004logitM/BChenZhaoM/B[6]HuangRitter2005HuangRitterHuangRitterHuangRitter[7]2.1.3FamaFrench2002[8]Welch2004[9]LemmonRobertZender2005IPO20[10]LearyRoberts2005[11]FlanneryRangan2006[12]KayhanTitman20079[13]2.22005B-W19982003IPO[14]2006M/BM/B[15]2006B-WM/B[16]2007AltiIPOIPO33IPO[17]2.3BakerWurgler200210M/BM/BEFWAMB10BakerWurgler20022.1.31133.1BakerWurgler2002M/BAlti2003IPOAltiIPOAltiIPOIPOHOTIPOCOLDIPOM/BChenZhao2004M/BM/BHuangRitter2004Hovakimia20043M/B112Hovakimia200420072Alti20033ChenZhao2004HuangRitter20042005IPOIPOIPOAlti2003IPOIPOIPOIPOIPO3.220083IPO20083CCER20083IPO133.10100020003000400050006000700090-1291-691-1292-692-1293-693-1294-694-1295-695-1296-696-1297-697-1298-698-1299-699-1200-600-1201-601-1202-602-1203-603-1204-604-1205-605-1206-606-1207-607-120102030405060IPOIPO3.1——IPO1IPOIPOIPOIPOIPOIPOIPO2IPO1997649199319982007105954.76IPOIPOIPOIPOIPO141997IPO2007IPOIPOIPO——IPOIPO1544.1BakerWurgler2002M/BM/BM/BAlti2006IPOHOTHOTM/B2005BakerWurgler2002M/BIPOM/B2007Alti2006HOTHOT16H04.24.2.1HOTAlti2003M/BBakerWurgler2002M/B1M/BM/B2ChenZhao2004logitM/BM/BMB14.2.21999200020022002200220022004112005=A++-20051719992002H12DeAngeloMasulis19802002H23MMJensen19862000H34Timan181984TimanWessels19882005H4519992002H56Warner1997AngcluaMeconnel19821998199920022002H67200519H781H89104.112005204.1D/AD/A=÷M/BM/BM/B=+-÷PPE=--÷Dp/A=-÷EBITD/A=+++÷SE=÷GROW=-÷SIZEInTAX=÷SP=A÷D1D24.2.3()DMcXuABαβ=+++4.14.1XM/BuβM/B4.1X()()()()()()()()()(11)(12)(13)(14)(15)(16)(21)DMPPEDpEBITDabcdefSEgGROWABAAAhSIZEiTAXjSPkDlDmDnDoDpDqDu=+++++++++++++++++4.24.2H021b4.34.3.11994~2004112BH2341994~200435M/B104CCER4.24.2IPO19905IPO+4~IPO+1419911IPO+3~IPO+1319927IPO+2~IPO+12199348IPO+1~IPO+11199447IPO+0~IPO+10199511IPO+0~IPO+91996122IPO+0~IPO+81997148IPO+0~IPO+7199885IPO+0~IPO+6199983IPO+0~IPO+52000117IPO+0~IPO+4200165IPO+0~IPO+3200261IPO+0~IPO+2200360IPO+0~IPO+1200496IPO+0~IPO+09561200520052BHAA3STPT4BakerWurgler200222CSRS104.34.3CSRSA313.24%D16B161.67%C60463.18%D11D383.97%D15E202.09%F272.82%G495.13%D14H666.90%D12J202.09%K262.72%L70.73%M525.44%D1395614.3.2IPOIPO+1IPOIPO+2IPOIPO+3IPOIPO+4IPOIPO+5IPOIPO+6IPOIPO+74.2OLS14.3Eviews5.11IPO+1IPO+7M/B1%H01IPO+ttIPO+8240IPO+7IPO-234.3M/BPPE/ADp/AEBITD/ASEGROWSIZETAXSPD21Adj-R2-0.0330***-0.05660.1039-0.2648***-0.07450.0381***0.0297***-0.0435-0.1217*-0.00390.2242IPO+1845(-9.0669)(-0.5611)(0.6864)(-3.8925)(-1.0576)(4.3735)(5.4539)(-0.9078)(-1.9606)(-0.3921)-0.0332***-0.04210.1197-0.2557***-0.06010.0393***0.0260***-0.0271-0.1352**-0.00110.2181IPO+2785(-8.9294)(-0.4133)(0.7766)(-3.7390)(-0.8357)(4.3852)(4.6332)(-0.5251)(-2.1466)(-0.105