股票预期收益率波动如何影响公司资本结构调整？

项目名称： 股票预期收益率波动如何影响公司资本结构调整？

项目编号： No.71272023

项目类型： 面上项目

立项/批准年度： 2013

项目学科： 管理科学

项目作者： 王浩

作者单位： 清华大学

项目金额： 53万元

中文摘要： 资本结构是金融研究的核心问题之一。理解公司是否积极调整其资本结构,以及哪些因素影响其调整则是目前资本结构研究的焦点问题。我们发现公司股票预期收益率波动变化逆向并且显著地影响未来资本结构调整。该发现从风险角度提供了公司积极调整资本结构的验证和解释。这一结果直接支持交换理论- - -当股票预期收益率波动增加而带来公司违约风险增加时，经理人通过融资减少财务杠杆率以减低风险。通过分解预期收益率波动变化，我们发现公司的个体波动性风险比市场波动性风险更加显著地影响资本结构调整。同时，股票预期收益率波动变化对资本结构调整的影响与公司的信用评级，外部融资需求和股票收益率相关。

中文关键词： 风险；公司决策；资本结构；金融市场；投资

英文摘要： Capital structure constitues one of the most important research topics in the corporate finance literature. Whether firms adjust/rebalance actively their capital structures and which factors impact the adjustments have become the most critical and fundamental questions in the current research. We document that expected stock return volatility changes negatively and significantly affect financing-related capital strucutre adjustments, thus providing direct empircal support to the Trade-off Theory from a risk perspective- - -as default risk increases with higher expected stock return volatility, management actively reduces leverage ratio to mitigate the default risk. By decomposing stock return volatility, we find that idiosyncratic volatility risk plays a more significant role in affecting capital structure than its systematic counterpart. Evidence indicates that the impacts of expected stock return volatility changes on capital structure adjustments are subject to firm characteristics including firm credit rating, internal finaning deficit and past stock returns.

英文关键词： Risk；Corporate Policy；Capital Structure；Finanical Markets；Investment