中国上市公司融资选择的市场时机效应——基于股票换手率和股票收益的实证检验

自从市场时机资本结构理论提出以来，国内外学者从理论的解释能力和实用性等方面对这一新兴融资决策理论进行了大量研究，并得出许多有意义的结论。然而目前的实证检验主要基于市值账面比（M／B）指标作为市场时机代理变量，这一指标引起学者们很大争议，研究结论缺乏可靠性。本文根据我国资本市场实际特征选择股票换手率作为市场时机代理变量，实证检验了市场时机与外部融资方式选择的关系，同时引入股票收益变量检验市场时机对资本结构动态变动的综合影响。研究结论显示，换手率在企业权益融资中具有重要作用，换手率较高时企业选择发行更多的股权融资，股票换手率和股票收益均对资本结构变动具有显著的负向影响。这表明我国上市公司确实存在着融资选择的市场时机效应。

The Market Timing for Financing Option of China Listed Company

Since the market timing theory of capital structure was proposed, many papers have researched this new capital structure theory from theoretic power and practicability. The cunrrent empirical study is based on the market-to-book ratio as the market timing variable. However, it has great controversy about market-to-book ratio, and the conclusion based on this ratio is lack of reliability. Based upon the characteristics of China capital market, this paper chooses the shares turnover and stock return as the market timing variables to examine empirically the correlation between market timing and exterior financing option, and the effects on the change of capital leverage. The evidence shows that the shares turnover has important functions in equity issuing of listed companies, and company are likely to issues more equity when the shares turnover is high. We also fred the negative relations between shares turnover, stock return and the change of capital leverage. The market timing effects do exist in the financing of Chinese listed companies.