CAJ | 학술논문

在考察债务融资能力对融资约束公司投资敏感性影响的基础上,探析债务融资能力对股票定价的影响。理论与实证分析结果表明,对于受到较高融资约束的公司,债务融资能力的提高显著增加了公司的投资—现金流敏感性,且高债务融资能力的公司具有较高的系统风险和预期收益。这是由于信贷限制、公司投资和公司价值之间的动态传导机制形成的＂乘数＂效应,使得融资约束较高的公司具有更强烈的顺周期性,在股票市场中则表现为系统性风险的提高。
재고찰채무융자능력대융자약속공사투자민감성영향적기출상,탐석채무융자능력대고표정개적영향。이론여실증분석결과표명,대우수도교고융자약속적공사,채무융자능력적제고현저증가료공사적투자—현금류민감성,차고채무융자능력적공사구유교고적계통풍험화예기수익。저시유우신대한제、공사투자화공사개치지간적동태전도궤제형성적＂승수＂효응,사득융자약속교고적공사구유경강렬적순주기성,재고표시장중칙표현위계통성풍험적제고。
Based on the investigation of the impact of debt financing capacity upon the investment sensitivity in financing constraint companies, this paper tries to analyze the impact of debt financing capacity on stock price. Both theoretic and empirical analyses show that： For higher financing constraint companies, debt financing capability significantly improves the company＇s in- vestment-cash flow sensitivity and the companies with high debt financing capacity have a high systematic risk and expect return. This is due to the ＂multiplier＂ effect formed from the dynamic transmission mechanism of credit limit, company investment and corporate value. The ＂multiplier＂ effect makes higher financing constraint companies show more periodic performance （ or pro-cy- clicality） , which is embodied in higher systematic risk in the stock market.