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论文编号：	507
作者编号：	2120071961
上传时间：	2009/5/21 21:34:39
中文题目：	市场时机选择理论在我国股票市场
英文题目：	The applicability of Market Ti
指导老师：	古志辉
中文关键字：	股票市场;时机选择;适用性tl
英文关键字：	stock market;market timing;app
中文摘要：	1958年Modigliani和Miller提出现代资本结构理论的基石MM理论，他们认为，在一个完善的资本市场中，企业价值独立于其资本结构，即“资本结构无关论”。 该理论假设存在一个完善的资本市场，即是在不存在税收、无交易成本和破产成本、不存在信息不对称性、个人和企业以相同的利率借贷等一系列严格假设下提出的。学者们不断放宽对完善资本市场的假设，对资本结构进行系统的研究，提出了权衡理论、代理理论、优先融资理论、信号传递理论等。资本结构理论的发展和CAPM模型、APT、有效市场假说构成了传统的公司金融理论。但是，随着理论的发展和实践的研究，一些学者发现传统的公司金融理论对于股票市场上的一些现象无法解释，学者开始运用心理学等对于股票市场的这些现象进行解释，从而开启了行为金融的研究。Baker、Wurgler(2002)考察权益市场时机选择(Market Timing)是否对资本结构有短期或长期的影响，提出资本结构是公司过去进行权益市场时机选择的努力累积的结果。该观点就称之为“资本结构的市场时机选择”假说。作为对资本结构形成的一种新解释，资本结构市场时机选择理论正受到国外学界的热烈讨论。 本论文通过对相关资本结构的理论文献回顾的基础上，对我国股票市场的背景进行分析，为本论文奠定了理论和现实基础。基于Baker和Wurgler于2002年发表的“市场时机选择和资本结构”的研究思路，验证市场时机选择假说是否对中国的上市公司依然成立，市场价值/账面价值比对杠杆的影响是否持久。本文选取来源于CCER和WIND数据库1992—2006年之间能确定IPO的中国上市公司的的面板数据，进行实证检验。本论文数据处理主要用Stata9。本研究得出：市账比与总杠杆的变化负相关，市账比对总杠杆的变化主要是通过发行股票来实现的，说明市场时机选择理论在我国股票市场上短期是存在的，而且，中国上市公司选择市场时机进行股权融资的行为对资本结构有持久性的影响。在此基础上研究了上市公司股权再融资同样存在时机选择行为。
英文摘要：	In1958, Modigliani and Miller put forward MM theory, which became the footstone of the modern capital structure theory. They considered that the value of a firm didn’t have relations with the capital structure. It’s called “Unrelated to capital structure”. The theory based in a perfect capital market, in which there weren’t tax、cost of reading and bankruptcy、Asymmetric information and people and firm fated the same interest rate to borrow or lend. Then other scholars had broadened the hypotheses of the perfect market. They pointed out more theories to explain capital structure, including trade-off theory、Agency Cost Theory、Pecking Order Theory、 Signaling Models and so on. The capital theory、CAPM、ATP and EMP comprised the traditional corporate financial theory. With the developing of theory and researches of realty, some scholars found that there were many phenomenons which traditional theories couldn’t explain. They became to explain these phenomenon using psychology, therefore, there was a new science called behavioral finance. Baker and Wurgler(2002) tried to see that if market timing had short or long effect on capital structure. They pointed out that the firm trying to finance through equity in proper time had effect on the capital structure. This point was called “market timing theory”. As a new view to explain the capital structure, the market timing theory was talking hotly in the financial field. The study first reviews several theories relative with capital structure. Then the study analyses the backgrounds of our stock market. The two parts make the academic and practical foundation. Basing on the method of Baker and Wurgler in their paper released in 2002, the study try to test that whether the market timing exist in our stock market and whether it has long effect on firm’s capital structure. In the study, I choose the data from 1992 to 2006 form the CCER and WIND database, and during the stage, the firms had IPO. I use the stata9 to make data processing. The study finds that M/B has negative relation with the change of the capital structure. And the change of capital structure mainly comes from the release of stock. It indicates that the market timing has short effect on our stock market. The study also finds that the market timing has long effect on the capital structure. On this basis，the study finds that there exists the market timing behavior during the process of equity refinancing.
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