股票波动性风险与企业资本结构--基于特质风险与系统风险视角的研究

Stock Volatility Risk and the Decision of Corporate Financing——The Perspective of Idiosyncratic Risk and System Risk

本文以2000—2012年中国A股上市公司为研究样本，将资产收益波动风险分解成特质波动风险和系统波动风险，并基于此分析这两类风险对资本结构的影响。研究结果表明：系统风险对资本结构的影响强于特质风险；另外，系统风险与资本结构负相关，且该风险越小的企业其资本结构调整速度越快；通过分析说明二级市场波动性风险不仅影响股权融资成本，还可能影响债务融资成本，并证明了系统风险对外源融资环境的影响大于股权融资环境。

Based on the sample of Chinese A-share listed companies during 2000-2012 ,this paper analyzes the effect of stock volatility risk on capital structure from the perspective of idiosyncratic volatility and non-idiosyncratic volatility. The result shows that the effect of system risk on capital structure is stronger than idiosyncratic risk, and the risk negative correlates with the capital structure. A further study finds that the stock with lower system risk have slower adjustment speed of firm capital structure. These results prove volatility risk will not only have an effect on equity financing, but also debt financing, and the later maybe have closer relationship with non-idiosyncratic volatility than the former one.