资本结构对超额回报的影响研究——基于沪深A股上市公司的实证检验

Effect of Excess Returns on Capital Structure——An Empirical Study Based In Shanghai and Shenzhen A-Share Listed Companies

本文选取企业超额回报作为衡量企业绩效的指标,将其作为因变量,以F-F三因素理论为基础,并在以往研究的基础上加入行业因素,建立固定效应面板数据回归模型。文章以沪深A股上市公司为研究对象例,按照证监会行业分类标准,分别从总体和行业层面探讨了上市公司资本结构对超额回报的影响。研究发现:总体而言,企业超额回报会随着公司资产负债率和行业资产负债率的增加而增加;不同行业中,资本结构对超额回报的影响表现不同,其中制造业、信息技术业、金融保险业和房地产业的行业资本结构对超额回报影响显著为正,制造业和文化传播业行业显著为负,其他行业影响不显著;另外从行业属性来看,竞争度较高的行业更易表现出这种显著的影响关系。

This paper selects the excess return as a measurement of corporate business performance indicators,take it as a dependent variable,use FF three-factor theory as basis,and adds industry factors on the basis of previous studies,aims to establish fixed effects panel data regression model.This paper takes the Shanghai and Shenzhen A-share listed companies as the research object,according to the CSRC industry classification standard,discusses the effects of capital structure of listed companies on the excess returns from the overall and sectoral level respectively.The study found：overall,companies with excess returns will increase with the increase of company＇s assets-liability ratio and industry asset-liability ratio; at different industries,the impacts of capital structure on excess returns varies,at manufacturing industry,information technology industry,finance and insurance industry,and real estate industry,capital structure has significant positive influence on excess returns,while at manufacturing industry and cultural propagation industry,it has significant negative influence,while at other sectors it is not significant; additionally,from the point of view industry,it is easier to see this significant effect at industries with higher competition.