中国上市公司资本结构

CSMAR(2001)10002000(1)(2)1(1)(2)(1)(2)ModiglianiMiller()()()()(ACES)(),,[e-mail]@hkusua.hku.hk2CSMAR(2001)10002000()(TEJ)H(HuangSong2001)G-7/2ModiglianiMiller(MM)1958(HarrisRaviv(1991),),HarrisRaviv(1ThePeckingOrderHypothesis)/HarrisRaviv(1991)HarrisRaviv(1988),Stulz(1988),Israel(1991)/BranderLewis(1986)BranderLewis(1986)(2000)/Titman(1984)Titman1(2002).3(TheStaticTradeoffModel)2.12.1.1ModiglianiMiller(1958,1963)(1)(2)(3)(4)(5)(6)VLVUTCBBTVVCUL+=TC0100%Miller(1977)TSTBMillerBTTTVVBSCUL⎥⎦⎤⎢⎣⎡----+=)1()1)(1(1VLVUTCTSTBB)1)(1()1(SCBTTT--=-2.1.2KrausLitzenberger(1973)Kim(1978)Bradley,JarrelKim(1984)42.1.3JensenMeckling(1976)HarrisRaviv(1991)JensenMeckling1984-1991CEO2.7%(Berger,OfekYermack,1997)Jensen(1986)GrossmanHart(1982)(firm-specifichumancapital)JensenMecklingHarrisRaviv(1990)()()Stulz(1990)()()(tradingoff)(underlyingassets)(putoption)(calloption,)(exerciseprice)(assetsubstitutioneffect)Diamond(1989)()522.2Ross(1977)MyersMajluf(1984)MyersMajluf(1984)MyersMajlufMyersMajlufKrasker(1986)BrennanKraus(1987)Narayanan(1988)Noe(1988)ConstantinidesGrundy(1989)HeinkelZechner(1990)Myers(1998)(1)(2)(3)(4)(quasi-equity)2.3Shyam-SunderMyers(1999)(statisticalpower)MyersChirinkoSingha(2000)FamaFrench(2002)Booth(2001)(cross-sectionaltest)TitmanWessels(1988)RajanZingales(1995)Wald(1999)Booth(2001)Wiwattanakantang(2001)2Ross(1977)6BradleyJarrellKim(1984)(1)(2)(3)TitmanWessels(1988)-(factor-analytictechnique)()BergerOfekYermack(1997)(entrenchment-shocks)Jensen(1986)RajanZingales(1995)()(Q)Wald(1999)G-7WaldBooth(2001)()GDPBooth(2001)Demirguc-KuntMaksimovic(1999)200020003RajanZingales(1995)G-73.12000CSMAR1000RajanZingales(1995)7(robustnessanalysis)()RajanZingales(1995)RajanZingales(1995)(G-7)(7.9%)50(IAS)(2000)G-77G-7(18.0%)(18.4%)G-7G-735-43%52%G-742%8.8%G-717.8%23.2—Masulis(1988,P1)()Megginson(1997,P305)BradleyJarrellKim(1984)20(1962-1981)TitmanWessels(1988)RajanZingales(1995)3(1)(non-equityliabilitiestototalassets)(2)(debttototalassets)(3)(debttonetassets)(4)(debttocapital)(5)(interestcoverageratio)EBIT/EBITDA/EBITEBITDA3,,(robustnesscheck).,,..8RajanZingales(1995)RajanZingales(1995)RajanZingales(1995)G-7Booth(2001)/G-74Booth()6%24%15%G-745%12%20009235.911.05.912001560%()()63.3()RajanZingales(1995)RajanZingalesG-7G-7()46ChenandXiong(2001)78%-86%,,.Q,.,Q..9G-7()()Myers(1984)(2002)3.4Miller(1977)(gainfromleverage))1()1)(1(1BSCTTTG----=TCTSTB(capitalgain)20%33%()16.25%33%15%(200015.6%)15%–6.25%(!)15%()RajanZingales(1995)G-715%G-7720002000(investmentpropensity)G-7710)11()1()1()(-=-=+=+==3.4G-73.4()G-744.1(JensenMeckling(1976)Jensen(1986))()AABHAB()()20013HAAAAAA100ABHBH()(ABH)11200038%60%0.017%66FriendLang(1988)10%CEO2.7%(BergerOfekYermack1997)B/H3.64.64.2Booth(2001)/GDP/GDPGDPMiller1727.5%GDP()GDP199932GDP19994.24AKruskal-WallisKruskal-Wallis1%(dummyvariable)BC(1999)31.1%33.4%(1999)57.6%52.6%0.54B47.1%43.6%40.1%8148(2001)21724124.3Bowen(1982)Bradley(1984)LongMalitz(1985)Kester(1986)()/Titman(1984)MaksimovicTitman(1991)200142250%50%30%Bradley(1984)Bradley(1984)21(C2)(B)(D)(C4)(C4)9%Bradley(1984)Bradley(1984)(ROA)9(B)200010.6%9.7%7.3%9135.5.1HarrisRaviv(1990)Wald(1999)1958ModiglianiMiller5.1.1Jensen(1986)Williamson(1988)Chang(1999)FriendLang(1988)TitmanWessels(1988)Kester(1986)(RajanZingales(1995)Wald(1999)Wiwattanakantang(1999)Booth(2001))LongMaltiz(1985)Wald(1999)/(EBIT)5.1.2MyersMajluf(1984)JensenMeckling(1976)Williamson(1988)HarrisRaviv(1990)Marsh(1982)LongMalitz(1985)FriendLang(1988)RajanZingales(1995)Wald(1999)(liabilities)()5.1.3(effectivemarginaltaxrate)MacKie-Mason(1990)/MacKie-Mason(14(taxlosscarry-forwards))/MMMacKie-Mason33%15%(losscarry-back)(liabilities)(non-debt)5.1.4Marsh(1982)FamaJensen(1983)RajanZingales(1995)HarrisRaviv(1990)Stulz(1990)Ross(1977)Noe(1988)Narayanan(1988)Poitevin(1989)HarrisRaviv(1988)Stulz(1988)Marsh(1982)RajanZingales(1995)Wald(1999)Booth(2001)RajanZingales(1995)Wald(1999)Wald(1999)(-)(0.79)(spuriouscorrelation)5.1.5(NTDS)DeAngeloMasulis(1980)DeAngeloMasulis(1980)Bradley(1984)NTDSNTDSNTDSWald(1999)ChaplinskyNiehaus(1993)(investmenttaxcredit)NDTSNDTS5.1.6JungKimStulz(1996)Jensen(1986)Stulz(1990)(discretion)BergerOfekYermack(1997)Myers(1977)15JensenMeckling(1976)Kester(1986)KimSorensen(1986)SmithWatts(1992)Wald(1999)RajanZingales(1955)Booth(2001)TitmanWessels(1988,)Wald(1999)TitmanWessels(1988)RajanZingales(1995)(Q)Booth(2001)Q5.1.7Hsia(1981)(OPM)(CAMP)Modigliani-Miller(Booth(2001))(Bradley(1984)ChaplinskyNiehaus(1993)Wald(1999))(TitmanWessels(1988))Booth5.2(liabilities)(Gibson,2001,p248)(tradecredit)Q(3.0)Toy(1974)(TL)10200019942000(ROA)Q199420001999(LD)(MLD)0.83(TD)(MTD)0.77(TL)1016(MTL)0.72TDTL0.881%NDTS(/)(/)(0.50)()Q(-0.41)NDTSQ5.3Logit(OLS)ROA1.5-2.040%(1)(2)(NDTS)NDTS(3)Q(Q)Hsia(1981)19941995-2000(LD)0.125%(TL)0.1110%17(1)(2)R20.3140.324(),0.354()0.359()F1%F10%5%5.4(1)19942000(2)1994(balanceddata)19942000(3)2000(endogeneity)19941999ROAQ19992000(4)(0.54)(0.17)(0.50)11(5)140(MTL),R20.4616.6.1()112.051%(1.61)1%1850%50%()1991-1993Myers(1984)1973-198262%6%Myers20006559.786299371