金融约束对股票收益的影响

Effect of Financial Constraint on Stock Return

本文在我国沪市A股环境下考察金融约束对股票收益的影响.主要运用多元回归方法测试金融约束与股票收益的关系.金融约束因子是反映了公司资产投资的能力,综合内部运作状况和外部经济环境的特征量.通过数学建模和实证分析发现:股票收益中的确存在金融约束因子,且金融约束一般导致股票收益水平下降;此因子与公司规模、流通股本比例等因素相对独立.

This paper observes the impact of the financial constraint on stock return under the environment of A-share of Shanghai stock markets. We mainly use multiple linear regression to test the relation between financial constraint and stock return. Financial constraint results from inside company financial affairs and outside economic environment. It has reflected the ability of investment of this company. We construct models and find: these does exist a financial constraint factor in stock returns that is independent of the size and volume of circulating common stocks, and high financial constraint always results in low rate of stock return.