基于剔除机械效应的资本结构调整速度再检验

The Retest of Capital Structure's Adjustment Speed Based on Exclusion of Mechanical Effects

关于资本结构调整速度的研究至今仍未获得一致结论的原因之一在于传统的部分调整模型可能存在机械效应。通过对账面资产负债率的会计恒等式进行分解,剔除由资产规模变动引起的机械效应,在此基础上以1998年至2011年中国仅发行A股的非金融类上市公司面板数据为样本,采用两阶段估计法重新检验企业主动的融资行为对资本结构调整速度和均值反转的影响。研究结果表明,在传统的采用资产负债率变动作为因变量的估计下得到的资本结构调整速度约为13%,而剔除由资产规模变动引起的机械效应之后估计得到的调整速度明显下降到5%左右。这意味着在剔除由资产规模变动引起的机械效应后,企业的融资行为仍会引起资本结构的均值反转,但因调整速度很低而使均值反转的趋势不是很明显。

The reason why research on capital structure＇s adjustment speed has not yet won unanimous conclusion is that there may be a ＂mechanical effect＂ in conventional partial adjustment model. By decomposing the accounting identity of asset-liability ratio, this paper eliminates the mechanical effects caused by the change in asset size. And based on panel data of listed compa- nies in Shenzhen Stock Market and Shanghai Stock Market from 1998 to 2011 which issue A-shares only, this paper uses the two- stage estimation method to retest the adjustment speed and mean reversion of capital structure which are caused by active finan-cing behaviors of corporates. The empirical results show that： The adjustment speed of capital structure is about 13% under tra- ditional estimation which uses the change of asset-liability ratio as the dependent variable; but after excluding mechanical effects caused by changes in assets, the adjustment speed significantly drops to around 5%. The results show that, by excluding such mechanical effects, the corporate financing behaviors still induce mean reversion phenomenon of capital structure, but the speed of adjustment is so low that the trend of mean reversion is not obvious.