發(fā)布時間：2018-02-09 20:26

  本文關鍵詞： 上市公司 資本成本 時間效應 內生性　出處：《吉林大學》2017年碩士論文　論文類型：學位論文

【摘要】：由經(jīng)典的時間序列自回歸模型可知經(jīng)濟變量的滯后項對其本身有較好的解釋能力,因而可以猜想時間因素本身可能是導致經(jīng)濟變量發(fā)生變化的重要原因之一。同時,歷慮到外生沖擊對經(jīng)濟變量的影響可能存在一定的反映周期,因而研究時間變動對經(jīng)濟變量影響的存在性和具體路徑對更好的了解相關經(jīng)濟指標的變動趨勢有極強的理論意義。此外,資本成本與公司的生產(chǎn)經(jīng)營及投融資活動息息相關,它不僅是限制公司籌資總額的重要因素,更是評價和選擇投資項目以及衡量企業(yè)資金使用效率的重要標準。因而探討公司資本成本的變動路徑對引導投資行為、完善公司監(jiān)管以及理解公司行為具有積極的現(xiàn)實意義。基于研究理論和現(xiàn)實上價值的歷量,本文選取公司資本成本作為研究對象,實證探討公司資本成本隨上市時間變化是否具有一般規(guī)律性波動的特征。梳理相關文獻可以發(fā)現(xiàn),現(xiàn)有對公司資本成本的研究主要集中在資本成本的界定、度量和影響因素方面,較少涉及資本成本隨公司上市時間變化體現(xiàn)”的內生性時變規(guī)律。本文針對我國上市公司加權平均資本成本指標建立面板數(shù)據(jù)模型,提取自公司首次公開募股(IPO)時刻起的上市周期項T來刻畫影響資本成本波動的時間變量,截取相同的上市周期建立平衡面板數(shù)據(jù)并基于相同的上市周期將樣本分組,實證研究公司資本成本隨上市時間變化的一般性時變規(guī)律,驗證其內生性特征的存在性,并基于實證回歸結果給”相應的理論猜想。具體而言,本文選取中國滬深A股上市公司2002-2016年全樣本季度數(shù)據(jù),計算公司加權平均資本成本指標,基于面板數(shù)據(jù)模型相關理論合理選擇估計方法進行模型回歸估計,實證檢驗上市公司資本成本的一般性時變規(guī)律。實證結果表明:資本成本隨公司上市時間變化呈現(xiàn)先上升后下降再上升的顯著N型曲線特征;第一個拐點大致”現(xiàn)在上市后第20季度(5年),第二個拐點大致”現(xiàn)在上市后的第48季度(12年);即使加入了可能影響資本成本的其它因素作為控制變量并轉換資本成本的度量指標之后,上述實證結果依然穩(wěn)健。因此,上市公司資本成本具有內生性時間效應。理論猜想認為:資本成本隨上市時間增加表現(xiàn)”的內生性波動可能包含了管理層的情緒因素,管理層上市亢奮情緒是公司資本成本在上市后上升并到達第一個拐點的可能原因,此外,市場監(jiān)管、上市公司融資方式選擇以及委托代理成本的變動則可能是導致公司資本成本隨上市時間變化呈現(xiàn)N型曲線特征的重要原因。本文實證結論驗證了公司資本成本具有隨時間變化的內生性規(guī)律猜想,從時變角度擴展了以往研究公司資本成本影響因素的分析模型。實證結果的穩(wěn)健性證明了公司上市時間因素本身對資本成本內生性變動具有較強的解釋能力。如果本文實證結論可以推廣到公司金融領域其他公司指標變量,也許可以為日后公司治理的研究提供一種新的視角。
[Abstract]:From the classical time series autoregressive model shows the economy lagged variables in itself have better explanatory ability, so it can guess time factor itself may be an important cause of economic variables change. At the same time, the calendar according to the impact of exogenous shocks on economic variables may have some theoretical significance extremely reflect cycle. Strong trend of time and changes in the economic variables of the existence and the specific path to a better understanding of the relevant economic indicators. In addition, the cost of capital and the company's production operations and financing activities are closely related, it is not only an important factor restricting the total financing, it is an important criterion for the evaluation and selection of investment projects and measures the enterprise capital efficiency. Therefore the discussion on the capital costs of the company changes path to guide investment behavior, improve supervision and public understanding Is of great realistic significance to our behavior. Research on theoretical and practical value. Based on the capital costs of the company as the research object, an empirical study on the characteristics of the company cost of capital with the listing time whether changes with the general regularity of fluctuations. Combing the relevant literature can be found, the existing Research on the capital costs of the company mainly focused on the definition of capital the cost of the measure and influence factors, endogenous capital cost less involved with the company time to market changes reflect the changes. "In view of our country's weighted average cost of capital indicators to establish a panel data model, extracted from the company's initial public offering (IPO) from the moment of listing cycle T to describe the effect of the cost of capital the fluctuation of the time variable, the same period of interception establish balanced panel data and the same period based on the sample grouping, empirical research The variation law of capital cost the company generally with time to market changes, to verify the existence of the endogenous characteristics, and the empirical regression results to the theory based on the corresponding conjecture. Specifically, this paper selects 2002-2016 years full sample of quarterly data Chinese Shanghai and Shenzhen A shares of listed companies, to calculate the weighted average cost of capital index, panel data the model based on the theory of rational choice of estimation methods for regression estimation, the variation law of general capital cost empirical test of listed companies. The empirical results show that: the capital cost of listed company changes with time first increased and then decreased significant features of N curve and then increased; the first inflection point roughly "now (5 years after the listing of the twentieth quarter second)," now inflection point roughly after the listing of the forty-eighth quarter (12 years); even if other factors may affect the cost of capital as the control variables and turn After the measure of the cost of capital transfer, the empirical results are still robust. Therefore, the cost of capital is endogenous. The theory assumes that the time effect: endogenous fluctuations in capital cost with the increase time to market performance "may include emotional factors of management, management of listed companies is likely to cause excitement, the rise of the cost of capital and after the listing to reach the first inflection point in the market supervision, the mode of financing of listed companies and agency cost change may be an important cause of the company cost of capital is the characteristics of N curve with time to market changes. The empirical results verify the company cost of capital is endogenous guess rules with time, the previous research on capital cost factors analysis model from the angle variable. The robustness of the empirical results proved that the listing of the company The time factor itself on the cost of capital endogenous change has strong explanatory power. If the empirical conclusions can be extended to the field of corporate finance company other variables, may provide a new perspective on the study of corporate governance.

【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F275;F832.51

【參考文獻】

相關期刊論文 前10條

1 汪平;蘭京;;混合所有制會影響資本成本嗎?[J];經(jīng)濟與管理研究;2016年05期

2 鄒穎;汪平;張麗敏;;股權激勵、控股股東與股權資本成本[J];經(jīng)濟管理;2015年06期

3 肖紅軍;鄭若娟;鉉率;;企業(yè)社會責任信息披露的資本成本效應[J];經(jīng)濟與管理研究;2015年03期

4 林鐘高;鄭軍;卜繼栓;;環(huán)境不確定性、多元化經(jīng)營與資本成本[J];會計研究;2015年02期

5 丁志國;李甜;趙晶;;上市公司股利政策的時間效應及其內生性[J];中國工業(yè)經(jīng)濟;2014年10期

6 張淑英;楊紅艷;;會計穩(wěn)健性選擇、資本成本與企業(yè)價值[J];宏觀經(jīng)濟研究;2014年01期

7 袁光華;;資本成本估算:理論與實踐[J];會計之友;2013年08期

8 汪平;袁光華;李陽陽;;我國企業(yè)資本成本估算及其估算值的合理界域:2000-2009[J];投資研究;2012年11期

9 郭洪;何丹;;基于剩余收益價值模型的權益資本成本計量及其運用[J];管理世界;2010年01期

10 姜付秀;支曉強;張敏;;投資者利益保護與股權融資成本——以中國上市公司為例的研究[J];管理世界;2008年02期

，

本文編號：1498789