CAJ | 학술논문

以 A 股非金融类上市公司中资本结构与股票收益的关系为研究对象，利用1998年至2011年的面板数据，使用系统广义矩方法估计动态资本结构模型；通过杠杆分解剔除实际杠杆中的横截面异质性，构造相对杠杆变量；对资本结构与股票收益之间的关系进行重述，采用 Fama 和 MacBeth 的回归方法分析相对杠杆对股票收益的影响。研究结果表明，实际杠杆偏离目标杠杆的程度越大，无论是正向还是负向偏离，股票都有更高的期望收益；在控制规模和权益账面市值比之后，相对杠杆的绝对值与股票期望收益仍然显著正相关；与实际杠杆相比，相对杠杆解释股票收益的能力更强，控制相对杠杆后，实际杠杆对股票收益不再具有显著影响；公司存在目标杠杆，但调整成本阻碍了公司迅速达到目标水平，而是以35．400％的调整速度向目标杠杆逼近，当公司偏离目标杠杆运营时，投资者会要求更高的收益率。
이 A 고비금융류상시공사중자본결구여고표수익적관계위연구대상，이용1998년지2011년적면판수거，사용계통엄의구방법고계동태자본결구모형；통과강간분해척제실제강간중적횡절면이질성，구조상대강간변량；대자본결구여고표수익지간적관계진행중술，채용 Fama 화 MacBeth 적회귀방법분석상대강간대고표수익적영향。연구결과표명，실제강간편리목표강간적정도월대，무론시정향환시부향편리，고표도유경고적기망수익；재공제규모화권익장면시치비지후，상대강간적절대치여고표기망수익잉연현저정상관；여실제강간상비，상대강간해석고표수익적능력경강，공제상대강간후，실제강간대고표수익불재구유현저영향；공사존재목표강간，단조정성본조애료공사신속체도목표수평，이시이35．400％적조정속도향목표강간핍근，당공사편리목표강간운영시，투자자회요구경고적수익솔。
Taking the relationship of capital structure and stock return in non-financial A-share listed companies as the research object and collecting panel data from 1998 to 2011, the study estimates dynamic capital structure model by using system GMM method .We remove cross-sectional heterogeneity in actual leverage by leverage decomposition and construct relative leverage var -iables.Our research restates the relationship between capital structure and stock return and studies the effects of relative leverage on stock return by regression methods developed by Fama and MacBeth .The results show that：①the more actual leverage devi-ates from the target level , no matter positively or negatively , the higher the expected stock return is; ②when the firm size and book-to-market are controlled , the relationship between the absolute value of the relative leverage and the expected stock return remains significantly positive; ③compared with actual leverage , relative leverage is more powerful in explaining stock return . When the relative leverage is controlled , actual leverage exerts no significant impact on stock return;and④firms do have target leverage.However, costs adjustments inhibit firms from achieving targets at a fast speed but approach target leverage at the ad -justed speed of 35.400%.When firms are operating away from the target leverage , the investors require higher stock return .