: 3 41 1998-2001 A,, 1998 6 5, 2002 1, 55 A, 458 137,,,,, ;, :, 2001 28 2002 7 24, 10% ; 10% ; ; 70%,, : ; : 61005: yyyi @ sina. com : 0592-2187287 (70142001) (2002 12, ) 20038 53
: (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 20038 54
) 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),, ;,,,,, ;,,, : :,, ; 20038 55
:, 4:,, ; 1 1 1 27 2 2 7 1 A B C D F G K : ( ) 1998 2001 A : 1. A, A ; 2. 1998 6 2001 ; 3. 250 ; 4. ; 5. 41 1 ( ), : (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 20038 56
2 GR, GR < 0. 4187 GR, GR > 0. 4187 CF CF< 0. 0926 CF< 0. 0926 CF CF> 0. 0926 CF> 0. 0926, (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 0. 093 0. 419 21. 835 0. 466 0. 012 0. 005 0. 119 1. 436 0. 286 0. 571 4. 540 19. 737 0. 826 0. 066 0. 517 0. 314 2. 472 0. 640 0. 011-0. 516 23. 490 0. 185 0-2. 182 0. 005 0. 988 0. 061 0. 086 0. 835 21. 906 0. 163 0. 018 0. 396 0. 067 0. 407 0. 152 ( ) 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 250 20 : 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 20038 57
: + ΒiInd ustry i+ Ε (10) : Ind ustry i, ( 1), i= A B C D F G 1 G< 0. 4187,D um m y - G= 0 G> 0. 4187 3. 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,,, - 1. 49%, 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 - 1 0 1 2 CA R 0. 0029-0. 0120-0. 0154-0. 0120 t 0. 939-2. 303-2. 017-2. 786 L ehn Pou lson (1989), 2 : 2 CAR 1, CFGR, A squith M ullins (1986), - 2. 7% ; - 0. 9% M asulis Ko rw ar (1986), - 2. 2%, - 0. 39% 20038 58
CFGR 2,, M ann2w h itney, 2 5% ( 4, : 0. 66, 0. 25, 0. 136, 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,, - 0. 017, 0. 356-0. 042,,,,,,,, (V ogt, 1997),, 3,, 5 4, 0. 782,, ( ), - 0. 531,, 4,, 4, 4, 20038 59
: 5 p p p Α 0. 215 0. 285 0. 453 3 0. 056 0. 494 3 0. 068 CF - 0. 017 0. 924 0. 047 0. 900 GR 0. 356 0. 101 0. 291 0. 307 CF DUM M Y - GR - 0. 042 0. 878 0. 032 0. 900 S IZ E - 0. 271 0. 104-0. 420 3 0. 051-0. 473 3 0. 052 L 0. 086 0. 699 - - 0. 112 0. 667 D IV 0. 234 0. 217 - - 0. 177 0. 505 D E F - - 0. 782 0. 267 1. 008 0. 389 D E F DUM M Y - L - - - 0. 531 0. 431-0. 770 0. 482 RO E - - 0. 034 0. 851-0. 161 0. 569 M TB - - - 0. 150 0. 463-0. 081 0. 728 P P E - - - 0. 280 0. 144-0. 328 0. 172 A - 0. 124 0. 586-0. 216 0. 226-0. 144 0. 483 B - 0. 021 0. 931-0. 106 0. 712-0. 018 0. 958 C 0. 132 0. 795-0. 153 0. 564-0. 088 0. 776 D 0. 042 0. 880 0. 384 0. 215 0. 214 0. 599 F - 0. 157 0. 579 0. 182 0. 488 0. 325 0. 318 G 0. 186 0. 668-0. 290 0. 353-0. 414 0. 245 R 2 0. 006 0. 069-0. 090 : A B C D F G, 1 5 56,,,,,,,, R 2 0. 6% 6. 9%, 41 1998-2001 A,,,, ;,,,,,, 20038 60
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