,,, 10% ; 10% sina. com : ( )

Transcript

1 : A,, , , 55 A, ,,,,, ;, :, , 10% ; 10% ; ; 70%,, : ; : 61005: sina. com : ( ) ( , )

2 : (A squ ith and M u llin s, 1986; M asu lis and Ko rw ar, 1986),?? :,,,,, : (free2 cash2flow hypo thesis, FCF ) (peck ing2o rder hypo thesis, PO ) Jen sen (1986),,,,,,, L ang L itzenberger (1989),, L ehn Pou lsen (1989), L ang Stu lz W alk ling (1991), q M ann Sicherm an (1991),, D en is ( 1994) Servaes (1994) V ogt (1997) D en is, q 1, Servaes V ogt, Szew czyk (1996), q,, M yers (1984) M yers M ajluf (1984),,,,,,,,,,,, Bask in (1989),, Shyam 2Sunder M yers (1999) ( q, q,, (M TB ), q,m TB 1 ( ), M TBq 1 M TB 1,,, q

3 ) Op ler (1999), H elw ege L iang (1996),,, Ch irinko Singha ( 2000 ) Shyam 2Sunder M yers (1999), F rank Goyal(2002), (2002), (2002),,,,,,,,, ; :,, :, ;, : 1:,, 2:,,, (),,,,, : (Shyam 2Sunder and M yers, 1999; F rank and Goyal, 2003),, ;,,,,, ;,,, : :,, ;

4 :, 4:,, ; A B C D F G K : ( ) A : 1. A, A ; ; ; 4. ; ( ), : (CF), L ehn Pou lson (1989) L ang Stu lz W alk ling (1991), L ehn Pou lson (1989) H an sen ( 1992), L ang L itzenberg ( 1989 ) L ang Stu lz W alk ling (1991) N ohel T arhan (1998) q, Jaggi Gu l(1999) ( IO S),, L ehn Pou lson (1989), : CF = (1) (GR ) = ( t- t- 1) g t- 1 (2), (2), 2 2, GR CF :, GR CF, q,, q,, q 1, L ang Stulz W alk ling (1991) : CF = ( ) g

5 2 GR, GR < GR, GR > CF CF< CF< CF CF> CF> , (47% ),, (D E F ), Shyam 2Sunder M yers (1999) : D E F = (3), (3) (D E F ) : S IZ E: = ln ( ) L : = g D IV :, RO E: = M TB : = g P P E: = g CF GR S IZ E L D IV D E F RO E M TB P P E ( ) 1. (CA R ) i t : R δ it= Α δ i+ Β δ ir m t (4) R m t= I tgi t- 1-1 (5), Α δ it Β δ it : R it= Αi+ ΒiR m t+ ΕitΕit (0, Ρ 2 ) (6) R it= P itgp it- 1-1 (7) P it P it- 1 i t t- 1, I t I t- 1 t t- 1 i t (A R it), : A R it= R it- R δ it (8) 0, [ - 1, 2 ] (CA R ) : CA R i = 2 A R it (9) t= - 1 CA R,,, 2. CA R = Α0+ Β1CF + Β2G + Β3CF D um m y - G + Β4S iz e+ Β5L + Β6D IV

6 : + ΒiInd ustry i+ Ε (10) : Ind ustry i, ( 1), i= A B C D F G 1 G< ,D um m y - G= 0 G> CA R = Α0+ Β1D E F + Β2D E F D um m y - L + Β3RO E + Β4M TB + Β5S iz e+ Β6P P E + ΒiInd ustry i+ Ε (11) 1 L < 0. 47,D um m y - L = 0 L > 0. 47, (10),, ( ),,,, (10),, (11),, (), ( ), ;,, ( ) 1,,, %, t 1% (4),, 0, 1 2, (A squ ith and M u llin s, 1986; M asu lis and Ko rw ar, 1986) 1 4 t CA R t L ehn Pou lson (1989), 2 : 2 CAR 1, CFGR, A squith M ullins (1986), % ; % M asulis Ko rw ar (1986), %, %

7 CFGR 2,, M ann2w h itney, 2 5% ( 4, : 0. 66, 0. 25, , 0. 05), 1, L ang (1991) (2002),,, M ann2w h itney ( 4, : 0. 46, 0. 85, 0. 53, 0. 6), 2 F rank Goyal (2002) (2002) CAR ( ) 5 (10) (11), 5 1 2,, , ,,,,,,,, (V ogt, 1997),, 3,, 5 4, ,, ( ), ,, 4,, 4, 4,

8 : 5 p p p Α CF GR CF DUM M Y - GR S IZ E L D IV D E F D E F DUM M Y - L RO E M TB P P E A B C D F G R : A B C D F G, ,,,,,,,, R % 6. 9%, A,,,, ;,,,,,,

9 ,,,,,, : (2002) :,, 2002 (2002) :, (2002 ) A squish, P., and D. W. M ullins (1986) : Equity Issues and O ffering D ilution, J ou rna l of F inancia l E conom ics 15, pp Bask in, J. ( 1989 ) : A n Emp irical Exam ination of the Peck ing O rder H ypo thesis, F inancial M anagem ent 18-1 (Sp ring), pp Ch irinko, R. S., and A. R. Singha (2000) : T esting Static T rade2off against Pecking O rder M odels of Cap ital Structure: A C ritical Comm ent, J ournal of F inancial E conom ics 58-3, pp D enis, D. J., D. K. D enis, and A. Sarin (1994) : T he Info rm ation Content of D ividend Changes: Cash F low Sinalling, O verinvestm ent, and D ividend C lientele, J ournal of F inancial and Q uantitative A naly sis 29-4, pp F rank, M. Z., and V. D. Goyal ( 2003): T esting the Peck ing O rder T heo ry of Cap ital Structure, J ou rna l of F inancia l E conom ics, 67-2: pp H ansen, R. C. ( 1992 ) : T ender O ffers and F ree Cash F low: A n Emp irical A nalysis, T he F inancia l R ev iew 27-2 (M ay), pp H elw ege, J., and N. L iang ( 1996) : Is T here a Peck ing O rder Evidence from a Panel of IPO F irm s? J ou rna l of F inancial E conom ics 40: pp Jaggi, B., and F. Gul ( 1999 ) : A n A nalysis of Jo int Effects of Investm ent Oppo rtunity Set, F ree Cash F low and Size on Co rpo rate D ebt Po licy, R ev iew of Q uantitative F inance and A ccounting 12, pp Jensen, M. C. (1986) : A gency Co sts of F ree Cash F low, Co rpo rate F inance, and T akeovers, A m erican E conom ic R ev iew 76, pp L ang, L., R. Stulze, and R. W alk ling (1991) : A T est of the F ree Cash F low H ypo thesis, the Case of B idder Returns, J ournal of F inancial E conom ics 29, pp L ang, L. H. P., and R. H. L itzenberger (1989) : D ividend A nnouncem ents: Cash F low Signalling vs. F ree Cash F low H ypo thesis? J ournal of F inancial E conom ics 24, pp L ehn, K., and A. Poulsen (1989) : F ree Cash F low and Stockho lder Gains in Go ing P rivate T ransactions, T he J ou rnal of F inance X L IV 3 (July), pp M ann, S. V., and N. W. Sicherm an (1991) : T he A gency Co sts of F ree Cash F low: A cquisition A ctivity and Equity Issues, J ou rnal of B usiness 64 (2), pp M asulis, R. W., and A. N. Ko rw ar ( 1986 ) : Seasoned Equity O ffering: A n Emp irical Investigation, J ou rnal of F inancial E conom ics 15, pp M yers, S. C. ( 1984 ) : T he Cap ital Structure Puzzle, J ournal of F inance 39-3 (July), pp M yers, S. C., and N. M ajluf (1984) : Co rpo rate F inancing and Investm ent D ecisions w hen F irm s H ave Info rm ation that Investo rs Do N o t H ave, J ou rnal of F inancial E conom ics 13, pp N ohel T., and V. T arhan (1998) : Share Repurchases and F irm Perfo rm ance: N ew Evidence on the A gency Co sts of F ree Cash F low, J ou rnal of F inancial E conom ics 49, pp Op ler, T., L. P inkow itz, R. Stulz, and R. W illiam son ( 1999) : T he D eterm inants and Imp lications of Co rpo rate Cash Ho ldings, J ournal of F inancial E conom ics 52, pp Servaes, H enri (1994) : Do T akeover T argets O verinvest? T he R ev iew of F inancial S tud ies 7-2, pp Shyam - Sunder, L., and S. C. M yers (1999) : T esting Static T rade2off A gainst Pecking O rder M odels of Cap ital Structure, J ournal of F inancial E conom ics 51, pp Szew czyk, S. H., G. P. T setseko s, and Z. Zantout ( 1996 ) : T he V aluation of Co rpo rate R&D Expenditures: Evidence from Investm ent Oppo rtunities and F ree Cash F low, F inancial M anagem ent 25-1 (Sp ring), pp V ogt, S. C. ( 1997) : Cash F low and Cap ital Spending: Evidence from Cap ital Expenditure A nnouncem ents, F inancial M anag em ent 26-2 (Summ er), pp (: 2003 : )