零杠杆上市公司的股票长期收益趋势研究

Empirical Study on Long-Run Equity Performance of Zero-Leverage Firms

与国际发达的资本市场类似,我国资本市场也存在企业零(低)杠杆现象。基于1992-2014年沪深两市全部A股上市公司的财务报表数据及股票收益数据,文章使用事件研究法与日历时间组合法,实证检验了零(低)杠杆公司的财务特征及股票长期收益情况。研究表明,我国A股市场中的零(低)杠杆现象呈现扩大化及增长趋势,且零(低)杠杆公司具有规模小、上市年限短、市账比高、投资水平低及盈利性好等共同特征。研究也发现相较非零(低)杠杆公司,连续三(五)年零(低)杠杆公司具有显著的长期超额收益,说明持续的极端财务保守政策对于股票收益具有重要的影响作用。

Similar to western developed capital markets, zero （low） - leverage phenomenon is existed in China＇s capital market. Based on the annual financial data and monthly stock returns data of all A - Share companies in Shanghai and Shenzhen Stock markets during the period from 1992 to 2014, the paper empirically analysis the financial characterizes and the long - run equity performance of zero （low） -leverage firms with two commonly used methods： event study method and calendar- time portfolio regressions. The findings show that the percent of zero （ low ） - leverage phenomenon has continuously increasing for an extended period of time in Chinese A - share market. In addition, those firms are small, young, more market -to -book, conservative investment and better profitability. Finally, we also find that those firms for at least three （five） consecutive years have more significant long -run abnormal returns compared with the matching firms. The results indicate that the persistent extreme lack of debt in capital structure seems an important effect on the stock returns.