零杠杆上市公司的股票长期收益趋势研究

与国际发达的资本市场类似，我国资本市场也存在企业零（低）杠杆现象。基于1992-2014年沪深两市全部A股上市公司的财务报表数据及股票收益数据，文章使用事件研究法与日历时间组合法，实证检验了零（低）杠杆公司的财务特征及股票长期收益情况。研究表明，我国A股市场中的零（低）杠杆现象呈现扩大化及增长趋势，且零（低）杠杆公司具有规模小、上市年限短、市账比高、投资水平低及盈利性好等共同特征。研究也发现相较非零（低）杠杆公司，连续三（五）年零（低）杠杆公司具有显著的长期超额收益，说明持续的极端财务保守政策对于股票收益具有重要的影响作用。

Empirical Study on Long-Run Equity Performance of Zero-Leverage Firms

Similar to western developed capital markets, zero (low)-leverage phenomenon is existed in China's capital market. Based on the annual financial data and monthly stock returns data of all A-Share companies in Shanghai and Shenzhen Stock markets during the period from 1992 to 2014, the paper empirically analysis the financial characterizes and the long-run equity performance of zero (low)-leverage firms with two commonly used methods: event study method and calendar-time portfolio regressions.The findings show that the percent of zero (low)-leverage phenomenon has continuously increasing for an extended period of time in Chinese A-share market. In addition, those firms are small, young, more market-to-book, conservative investment and better profitability. Finally, we also find that those firms for at least three (five) consecutive years have more significant long-run abnormal returns compared with the matching firms.The results indicate that the persistent extreme lack of debt in capital structure seems an important effect on the stock returns.