企业债市场的非流动性及其对价格的影响

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浙江财经学院硕士学位论文

摘要

企业作为负载经济发展的最基本单位，它在整个经济运行的过程中起到了重

要的作用。许多学者都是以企业为研究单位，从中得出相关的经济学理论。融资

作为企业的一项重要的财务活动，融资决策的是否有效直接影响到企业价值的高

低。因此，研究企业的融资结构与企业价值之间的关系也成为了近年来国内外学

者所追踪的热点。自从 Modigliani and Miller（1958）对企业的资本结构与公司价

值关系进行了开创性的研究，国内外越来越多的学者研究上市公司的融资结构与

企业价值之间的关系。大部分学者从债务融资比例、债务期限结构、债务类型结

构及股权结构等角度出发对企业价值的相关影响因素进行积极探索，并且积累了

大量的文献，得出了相关的结论。但从已有的国内外文献中发现，一些学者在样

本数据选择、指标变量的确定及模型使用方面都存在一定的局限性，并不能很好

的反映所有企业的情况。

本文试图在前人研究的基础上，以国内外相关研究文献为基础，在动态投资

视角下来实证分析融资结构对企业价值的影响。由于考虑到所选样本数据的准确

性，经过两三轮的数据剔除和筛选后，本文最终选取了 111 家A股制造业上市公

司作为研究样本。其中，研究步骤主要有以下三步：第一，借鉴 Suresh Sundaresan

和Neng Wang（2007）的模型，建立连续投资、融资和弃权决策的模型。第二，

当企业是股权融资和债务融资时，借鉴 leland（1994）模型求出最优投资临界值下

的最优企业价值 V(x)和第二次增长期权的公司市场价值 2()

Vx。第三，将最优投资

企业价值与各企业的实际价值相比较及第二次增长期权的企业价值与对应的第二

投资时期的企业价值相比较得出相关结论。

本文验证了融资结构确实对企业价值产生影响，但是并没有存在单一的正相

关或负相关关系，研究结果还发现融资结构对企业价值的影响与布朗运动系数

、

资产损失率

及金融危机后的环境因素相关。且随着

及

的增加，企业采取股

权融资和债券融资越有效，企业的价值也就越高；而金融危机后的一段时间内，

企业采取股权融资和债务融资并不能增加企业的效益。

本文的理论意义主要有两方面：一、在研究内容上，国内外很多文献在研究

融资结构与企业价值之间的关系时都是从静态的条件下出发，也就是仅仅从财务

报表上的数据得出融资结构下的各指标变量与企业价值之间的关系。而本文在研

究二者之间的关系时引入了动态投资这一概念，通过设定投资临界值及波动性等

相关的影响因素，从而分析出在该条件下二者之间的关系。这与企业运行时强调

的连续变化的过程相符合。二、在研究方法上，国内外的一些文献都是采用线性

浙江财经学院硕士学位论文

回归的方式来分析二者之间的关系，即通过对因变量和自变量的设定及从二者之

间的变化关系得出结果。而本文的研究是通过先求出最优目标值再与实际价值相

比较而得出研究结果的。现实意义是：通过选取我国 A股制造业上市公司的数据

来研究债务融资和股权融资下公司价值的变化趋势，并为我国 A股制造业上市公

司有关融资效益机制的改革提供依据。

关键词：动态投资；融资结构；企业价值；制造业上市公司

浙江财经学院硕士学位论文

III

ABSTRACT

As loading economic development, enterprise is the most basic unit, which plays an

important part in the economic operation. Many scholars choose enterprise as the

research object, then get the relevant economic theory. As an important financial activity

of enterprise, the financing decision effective can directly affect the enterprise value.

Therefore, to study the relationship between the financing structure and the enterprise

value has become a focus for the scholars at home and abroad in recent years. Since

Modigliani and Miller（1958）began to study, more and more scholars were to study

the relationship between the financing structure and the enterprise value. Most scholars

actively explored the related factors of enterprise value from the point of debt financing

proportion, debt maturity structure, debt type structure and so on. They accumulated a

large amount of literature,and then got the conclusion. But from the existed literature at

home and abroad, we can discovery that there is a little limitation in the sample data

selection, the determination of index variable and model using, which can't represent all

the enterprises' situation .

On the basis of previous studies, this paper attempts to research the influence of

financing structure on the enterprise value under the perspective of dynamic investment.

Considering the accuracy of selected sample data, it finally chose 111 A-share

manufacturing listed companies as the sample. The setting up of the model has three

steps. Firstly, referencing to the research ideas of Suresh Sundaresan and Neng Wang

（2007）to establish a model for sequential investment, financing and default decisions.

Secondly, when the enterprise is equity financing and debt financing, it references to

Leland (1994) model for the optimal investment threshold to get the optimal enterprise

value V(x) and the second growth option optimal enterprise value 2()

. Thirdly,

comparing the optimal investment enterprise value with the actual value of the

enterprise, and also comparing the secondary growth option optimal enterprise value

with the secondary growth option optimal actual enterprise value to get relevant

conclusions.

This paper tested that the financing structure indeed effected the enterprise value,

but it did not exist a single positive correlation or negative correlation between the two.

The results also found that the financing structure influenced the enterprise value related

浙江财经学院硕士学位论文

to the Brownian motion coefficient, asset loss rate and the environment factor after

financial crisis. And with the increasing of

and

, the equity financing and debt

financing were more effective, then the enterprise value also is higher. After a period of

the financial crisis, the enterprise take equity financing and debt financing can not

increase the efficiency of the enterprise.

The innovations of this paper has two aspects. First, in the aspect of the research

content, many domestic and foreign literature are from static conditions to study the

relationship between financing structure and enterprise, which get its data just from the

financial statements.We study this paper through setting up investment thresholds and

volatility and other related influencing factors under the dynamic investment,which

consistents with continuous varation when the enterprise is working. Second, in the

aspect of the research method, many domestic and foreign literature study the

relationship between financing structure and enterprise by linear regression, that is, the

scholars got the results through setting up the dependent variables and independent

variables. But this paper uses a different method to work out the result. The method is to

find out the optimal target value and then compare it with the actual value. This paper

also has practical significance. Through the research we can find the change trend of

Chinese A-share manufacturing industry listed companies in the debt financing and

equity financing, which can provide basis for related mechanism reformation.

Keywords: dynamic investment; financing structure; enterprise value; manufacturing

listed company

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摘要：

浙江财经学院硕士学位论文I摘要企业作为负载经济发展的最基本单位，它在整个经济运行的过程中起到了重要的作用。许多学者都是以企业为研究单位，从中得出相关的经济学理论。融资作为企业的一项重要的财务活动，融资决策的是否有效直接影响到企业价值的高低。因此，研究企业的融资结构与企业价值之间的关系也成为了近年来国内外学者所追踪的热点。自从ModiglianiandMiller（1958）对企业的资本结构与公司价值关系进行了开创性的研究，国内外越来越多的学者研究上市公司的融资结构与企业价值之间的关系。大部分学者从债务融资比例、债务期限结构、债务类型结构及股权结构等角度出发对企业价值的相关影响因素进行积极探索，...

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