市场折（溢）价与企业资本结构的决定及动态性研究

From the perspective of equity market discount (or premium), this project explores the relationship between market discount (or premium) and the decision of corporate capital structure, and also the theories on dynamics, by directly measuring two root causes for market discount (or premium): asymmetric information and the irrationality of investors. This project will construct a comprehensive research framework, which combines the pecking-order theory and market-timing theory, and then contribute to the interdisciplinary empirical research on corporate finance, market microstructure and behavioral finance. Specifically, with the premise of China's particular institutional arrangement, institutional change, structure of corporate governance and also specific firms' characteristics, this project will test: (1) the mechanism of the effect of equity market discount (or premium) on financing behavior and also capital structure; (2) the possible dynamic influences of two kinds of asymmetric information (between insiders and outsiders, among outside investors) and investors' sentiment on financing behavior; (3) the influence of the interaction between asymmetric information and investors' sentiment on firms' market timing behavior; (4) whether the "general market timing" theory which is based on market discount (or premium) and the traditional trade-off theory will complimentarily or alternatively explain the deciding of capital structure; (5) the possibility and reality of firms' market timing behavior on the context of China's particular institutional arrangements and external shocks. These kinds of studies are bare in the existing literatures both in China and around the world.

本课题从市场折（溢）价的视角，通过对引起市场折（溢）价的两个根源即信息不对称与投资者的非理性行为作出直接测定，探讨其与企业资本结构的决定以及动态性的理论关系，构建融合了融资优序理论与市场时机理论的综合性研究框架，推动公司财务与市场微观结构、行为金融学的交叉实证研究。具体地，本课题以我国特定的制度安排及其变迁、公司治理结构以及特定的公司特征为基本研究前提，探索市场折（溢）价对融资行为与资本结构的作用机理，检验内外部人、外部投资者之间两类信息不对称以及投资者情绪对融资行为可能产生的动态性影响，检验两类信息不对称性以及投资者情绪对企业择时行为的交互作用，检验基于市场折（溢）价的"广义市场时机"理论与传统的权衡理论是互补抑或替代性地解释资本结构的决定，检验我国特定制度安排以及外部冲击下企业择时行为的可能性以及现实性。这些研究在国内外的现有研究成果中尚不多见。

本课题以我国特定的制度安排及其变迁、公司治理结构以及特定的公司特征为基本研究前提，旨在探索市场折（溢）价也即定价错误对融资行为与资本结构的作用机理，并在此基础上重点进行了以下几个方面的研究：基于多种方法检验了资本结构动态调整速度；建立了关于控制大股东侵占与企业投融资决策的实物期权动态模型；构建了基于投资者情绪的企业财务行为的实物期权动态模型以及基于异质信念的企业财务行为的实物期权动态模型；检验了信息不对称如何通过股票流动性以及流动性风险来影响企业融资行为以及资本结构的动态调整；探讨了内外部人异质信念以及投资者情绪所产生的定价错误如何对企业投融资决策产生影响；检验了修正错误定价的融资融券政策的实施如何对企业的融资行为、资本结构以及投资决策产生事前的威慑效应。这些研究成果既丰富了公司财务的理论和实证研究，也推动了公司财务与市场微观结构理论、卖空理论的交叉研究。