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债务融资对制造业经营绩效的影响效应研究基于广义矩法估计的动态面板数据分析褚玉春刘建平(暨南大学经济学院)!本文以2001~2007年沪深两市485家制造业企业相应指标构成的平衡面板数据集为研究总样本,通过构造DynamicPanelData模型应用广义矩法估计(GMM),探究债务融资对我国制造业上市公司经营绩效的影响效应主要结论是:∀负债保守型#和∀负债激进型#企业之间,经营绩效存在显著差异,我国制造业公司的债权治理效应未能得到充分发挥;制造业上市公司经营绩效与债务融资比率呈近似∀倒U形#关系债务融资公司治理企业绩效GMM估计稳健性检验F2766AAStudyontheImpactofDebtFinancingonBusinessPerformanceinManufacturingAbstract:Thispaperchooses485manufacturinglistedcompaniesfromShanghaiandShenzhenstockexchangesandregardscorrespondingbalancedpaneldatasetsassampleThearticleanalyzestheimpactofdebtfinancingonbusinessperformancebasedondynamicpaneldatawithfirstdifferencedGMMestimationThreemainconclusionsareultimatelyobtained:Firstly,businessperformanceexistsdistinctdiscrepancydependingoncompaniesdebtfinancingpolicyisconservativeorjacobinical,corporategovernanceeffectofdebtfinancingisrestrictedbysomefactorsSecondly,manufacturinglistedcompaniesbusinessperformancechangesin∀converseU#waywiththedebtproportionbecominghigherKeywords:DebtFinancing;CorporateGovernance;BusinessPerformance;GMMEstimation;StabilizationTest,,∃79∃债务融资对制造业经营绩效的影响效应研究∀#,ModiglianiMiller(1958)MM:,,,,,,,();,,,;,,,,,,,:(2003),∀#;(2006)(),,;(2006),,:∀U#30%,,:(1),(),(),(),(2)OLS,OLS,:(1)(2003),,,,(2006),,(2)(2006),,,,DeAngeloMasulis(1980),;,,,,DynamicPanelData,,:∃80∃%数量经济技术经济研究&2009年第9期∋∀#∀#(,)∀U#,1变量选择和定义(1)()(Roe)(Roa)=/=/RoeRoa,(2)(),,(DA)=/(3),,,(),,,1(lnsize)(Tr)(:)(Cf)(Dk),Dk(k=2003~2007)2模型设定和估计方法(1),,,,,,,,,DynamicPanelData:∋Roeit=+Roei,(t-1)+1DAit+2lnsizeit+3Trit+4Cfit+5Dk+!it∃81∃债务融资对制造业经营绩效的影响效应研究([0,04](04,1]∀#∀#)Roait=∀+#Roai,(t-1)+∃1DAit+∃2lnsizeit+∃3Trit+∃4Cfit+∃5Dk+%it,i=1,2,∗,N;t=2,3,∗,T;k=2003,2004,∗,2007)(∀#(),DA+,,7:(0,DA,02(14);+02DA,03(45);−03DA,04(75);.04DA,05(109);/05DA,06(131);006DA,07(79);107DA,1(32),,∋()),,∀U#(2)(OLS),;(WithinGroups),;(IV),,(GMM)ArellanoBond1991,,(3)GMMGMM:(;+,,,∋:yit=+yi,(t-1)+2xit+vi+vt+eit(1),y,x,vivt,eit(1),:yit-yi,(t-1)=(yi,(t-1)-yi,(t-2))+2(xit-xi,(t-1))+(vt-vt-1)+(eit-ei,(t-1))(2),(2)(1)vi(2),,yi,(t-1)-yi,(t-2)eit-ei,(t-1),eit,:E[yi,(t-s)(eit-ei,(t-1))]=0s32;t=3,4,∗,T(3)E[xi,(t-s)(eit-ei,(t-1))]=0s32;t=3,4,∗,T(4)(3)(4):s32,yi(t-s)xi(t-s)(2)yi,(t-1)-yi,(t-2)xit-xi,(t-1)∃82∃%数量经济技术经济研究&2009年第9期(+,,DA2001~2007,∀#GMM,,SarganSargan:,,Sarganr-k&2(r,k)EviewsJr(JSargan),scalarpvar=@chisq(J,r-k)P005,P005,,;P005,,1样本选择与数据来源(1),,2001~2007,:(1)STPT;(2)1;(3)4857(2),()()2DA1234567[0,1][0,02](02,03](03,04](04,05](05,06](06,07](07,1]Roeit0049(0534)0047(0177)0065(0080)0056(0090)0050(0120)0059(0333)0042(0309)-0012(1862)Roait0027(0065)0040(0116)0049(0056)0036(0055)0028(0062)0027(0048)0015(0076)-0002(0089)DAit0486(0168)0147(0087)0257(0085)0358(0091)0453(0096)0547(0102)0642(0097)0743(0104)lnsizeit19921(1123)19024(0652)19811(1146)19657(0871)19841(1101)20054(1229)20177(1169)20181(0885)Trit4953(8910)3618(3228)3766(3284)5908(12379)5351(13729)4919(3906)4721(4530)4318(8050)Cfit0055(0073)0061(0084)0062(0065)0056(0070)0057(0069)0056(0073)0052(0078)0037(0080)339598315525763917553224:,∃83∃债务融资对制造业经营绩效的影响效应研究2描述性统计分析(2):485,RoeitRoait00490027,486%,199214953005517():RoeitRoait(12),(02,03](00650049);,;,(59080062)(03,04](02,03](3):2001~2005,RoeiRoai,,20062007RoeiRoai,20012007485433%451%476%515%534%557%56%,;2001~2004,50%,∀#,2005,,,,,∃84∃%数量经济技术经济研究&2009年第9期34852001200220032004200520062007Roei0065(0261)0058(0455)0070(0215)0071(0364)0068(0282)0090(1198)0125(0159)Roai0037(0066)0032(0067)0037(0070)0034(0062)0032(0063)0040(0053)0055(0071)DAi0433(0163)0451(0162)0476(0164)0515(0165)0534(0167)0557(0165)0560(0166)lnsizei19510(1009)19672(0995)19827(1019)19992(1033)20093(1094)20162(1186)20190(1311)Tri3799(3931)4348(7151)4706(5393)5162(8815)5304(10972)5436(12003)5912(10758)Cfi0055(0074)0069(0072)0060(0073)0064(0068)0078(0066)0072(0079)0057(0076):,3独立样本t检验∋,:∀#(0,DA,04)∀#(04DA,1)SPSSt,H0:44tLevenetFSigtDfSig(2tailed)Roe130470000232836663393276292600200000Roa122602687778778433931697542000000004,∀#∀#(RoeRoa)LeveneF130471226,Sig00000268,005,Roe,Roa,RoeRoat36667778,Sig0000,t,∋:∀#∀#,,∀#(0,DA,04)t,,∀#;,70%∃85∃债务融资对制造业经营绩效的影响效应研究,4模型的估计与实证分析5,∋7,Sarganp:0611045505230792017801500214,005,,,5GMM(Roeit)DA∋1∋2∋3∋4∋5∋6∋7[0,02](14)(02,03](45)(03,04](75)(04,05](109)(05,06](131)(06,07](79)(07,1](32)Roeit(-1)0343(0297)0291***(0000)0116**(0011)-0111(0134)-0212***(0000)-0234***(0000)-0790***(0000)DAit-1015(0251)0135**(0023)-0011(0899)-1338***(0000)-2683***(0000)-2722***(0000)-8491***(0000)lnsizeit0267(0260)0020*(0098)0011(0747)-0064(0203)-0053(0539)0200**(0029)-3136***(0001)Trit0040(0432)-0006***(0002)-0001***(0002)0003(0153)0108***(0000)0219***(0000)-0071*(0090)Cfit1603***(0003)0429***(0004)0066(0644)-0071(0570)3803***(0000)0721(0184)-7586**(0045)D2003-0056(0419)-0001(0925)0009(0267)0027**(0049)0134***(0000)0017(0737)0640***(0000)D20040001(0967)0006(0268)-0002(0698)0064***(0000)0059(0218)-0060(0256)0228(0122)D20050034(0368)-0014*(0100)-0008(0266)0032**(0021)0068**(0048)-0033(0600)1006***(0000)D2006-0002(0952)0010(0121)0018***(0007)0034***(0003)0015(0652)0069(0257)-0710***(0005)D2007-0073(0469)0025***(0001)002