上海股市的收益与资本结构关系实证研究

Expected Stock Returns and Debt/Equity Ratio in Shanghai Stock Exchange:An Empirical Evidence

中国企业的资本成本的量测与计算是企业或证券估值与项目评估的核心问题和难点，股市提供了进行量测的场所。本文采用统计分析方法，对上海股市收益的可能解释变量进行了研究，重点为股票收益与企业资本结构的关系。研究结果一方面揭示了中国股市定价特征与西方基本理论的一致性，同时也显示了中国社会环境下企业资本结构对股票定价影响的特殊性。本文的研究成果为理解中国股市的投资（非投机）特性以及资本结构在企业融资中的作用提供了钥匙，也为建立企业资本成本分析与证券估值的机理模型提供了初步基础。

he measurement of capital cost is one of the focuses of concern for both corporate managersand researchers in finance.The expected stock returns or equity cost is the most important com-ponent of capital cost.By using OLS approach,this paper examines some variables which con-tribute in different degrees to expected stock returns in Shanghai Stock Exchange(SHSE),a-mong which debt/equity ratio is in the predominant concern,The result of the investigationshows that the expected stock returns in SHSE are negatively related to debt/equity ratio andcorporate slze,and positively related to the market risk--beta, This reveals,on the onehand,the unique role of debt,and on the other, the conforrnity with previous evidence found inWestern stock markets in stock pricing under Chinese environment.