股票流动性与企业资本结构的决定——基于中国上市公司的经验证据  

Stock Liquidity and the Determination of Capital Structure of Enterprises:Evidence from China's Listed Companies

作　　者：顾乃康[1] 陈辉[1] 

机构地区：[1]中山大学管理学院,广东广州510275

出　　处：《财经研究》2009年第8期37-48,共12页Journal of Finance and Economics

基　　金：国家自然科学基金资助项目(70772079);教育部人文社会科学规划基金资助项目(07JA630023);广东省软科学资助项目(0711520600036)

摘　　要：文章使用2000-2008年间沪深两市中仅发行了A股的上市公司的高频交易数据,采用有效价差和报价价差来衡量公司股票的流动性,考察了股票流动性对资本结构的影响,并进一步考察了是否满足权益再融资条件以及股权分置改革对两者之间关系的影响。研究表明,股票流动性(即买卖价差)和资本结构呈显著负相关性(正相关性)。满足再融资条件的公司财务杠杆对流动性的敏感性显著更强。完成股权分置改革公司的财务杠杆对流动性的敏感性更强,但这种关系不是很稳健。On the basis of high frequency data of listed companies from Shenzhen stock market and Shanghai stock market from 2000 to 2008 which issue A-shares only, the paper explores the effect of stock liquidity on capital structure by employing effective spread and quoted spread, and further analyzes the effects of refinancing conditions and non-tradable shares reform on the relation between stock liquidity and capital structure. Bid-ask spread lagged one period positively correlates with capital structure. Financial leverage which satisfies refinancing conditions is more sensitive to stock liquidity. Financial leverage of enterprises which have finished non-tradable shares reform is less sensitive to stock liquidity, but the relation between the two is not siginificant.

关 键 词：资本结构 股票流动性 买卖价差 再融资资格 股权分置改革 

分 类 号：F275[经济管理—企业管理]