成长机会、资本结构与公司价值——基于面板平滑转换回归模型的实证分析

Growth Opportunity,Capital Structure and Firm Value——A Study on Panel Smooth Transition Regression

基于我国上市公司2003～2010年平衡面板数据，本文采用面板平滑转换回归模型对公司价值与资本结构之间的关系进行了研究。研究结果表明，公司价值与资本结构之间因成长机会不同而呈现非线性关系。在成长机会较低的情况下，公司价值与资本结构呈正相关关系，随着成长机会增加，这种正相关关系逐渐减弱。当成长机会超过一定值时，公司价值与资本结构之间的关系变为负相关。本文研究得到与经典代理理论相一致的经验证据，即在低成长机会下管理者与股东之间的代理问题占主导地位，而在高成长机会下股东与债权人之间的代理问题占主导地位。

The positive and negative attributes of capital structure on firm value are widely concerned in the literature. Financial scholars interpret the effects by the role of debt in influencing corporate investment decisions. On one hand, debt financing can reduce the over-investment problems of free cash flow, which is because debt forces managers to pay out funds other than waste them in negative net present value projects. And thus for firms with less growth opportunities,debt financing has a positive effect on firm value. On the other hand, as managers act in the benefit of the shareholders＇ interests rather than the debt holders＇ ,they are likely to forgo positive net present value projects which lead to under-investment. Especially for firms with much more growth opportunities, debt has a negative effect on firm value. In this paper, we investigate how growth opportunity affects the relation between firm value and capital structure for Chinese listed companies. Since China has an emerging capital market, a few of scholars argue that the Chinese companies are unlikely act as the prediction of the classic theories. We use a new method in our empirical analysis, which is Panel Smooth Transition Regression expanded by Gonzalez et al. （2005）. Most research tests the relation of firm value and capital structure by comparing the coefficients of different subsamples. Using Panel Smooth Transition Regression, we do not need divide our sample to subsamples and can detect the different relations between firm value and capital structure with the changing of growth opportunities. Based on a balance panel data of Chinese listed companies during 2003 to 2010, we use the Panel Smooth Transition Regression to test how capital structure impacts firm value with different levels of growth opportunities. We find that the relationship between firm value and capital structure are non-linear in different levels of growth opportunities. As the growth opportunity is less than the threshold, the impact of capital structure on firm value is positive, and the positive effect is getting weaker with the increase of the growth opportunity. In the situation that the growth opportunity is larger than the threshold, the impact of capital structure on firm value turns out to be negative. Our results suggest that agency problem is different with different levels of growth opportunities, i. e. , the manager-shareholder conflicts dominate the conflicts between shareholders and bond holders for firms with less growth opportunities while the vice verse is true for firms with much more growth opportunities. In a related literature ,McConnell and Servaes （1995）find that for high growth firms corporate value is negatively correlated with leverage ,whereas for low growth firms corporate value is positively correlated with leverage. They use firm＇s price-to-operating-earnings as a proxy for growth opportunities to distinguish firms into subsamples and use OLS regression to obtain the correlation of firm value and capital structure. We use the sophisticated Panel Smooth Transition Regression method and the data of the Chinese Listed Companies to get the consistent results. Our study also has several limitations. First, we find that the relationship between firm value and capital structure is also non-linear in the scope of the threshold, which needs to be discussed in the future research. Second, Panel Smooth Transition Regression needs the data to be balanced panel data, and thus firms with default data in any year from 2003 to 2010 are eliminated,which leads our sample seems to be small. And finally,we use price-to-earnings as a proxy for firms＇ growth opportunities, while many scholars also use alternative measures such as sales growth, M/B, capital expenditure and so on. It is unclear which proxy is the best for Chinese firms＇ growth opportunities.