中国企业资本结构动态调整的估计方法与蒙特卡洛模拟  

Dynamic Capital Structure Adjustment of China's Listed Companies

作　　者：顾乃康[1] 邓剑兰[1] 王贵银[1] 

机构地区：[1]中山大学管理学院

出　　处：《数量经济技术经济研究》2013年第1期71-87,共17页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金项目(71272203);教育部人文社会科学规划基金项目(07JA630023)的资助

摘　　要：本文首先从资本结构动态调整的视角逐一评述了资本结构部分调整模型的6种主要估计方法。然后,针对我国上市公司的实际样本使用这些估计方法进行了实证检验。在此基础上,依据我国上市公司资本结构的分布形态,采用蒙特卡洛模拟技术来识别和判断这些方法在估计我国上市公司资本结构调整速度中的有效性。本文发现,传统的混合OLS估计法及Fama-MacBeth估计法是检验我国上市公司资本结构动态调整的有效方法,其估计所得的市值杠杆平均调整速度是16.3%～20.1%。From the perspective of econometrics, this paper firstly reviews six estimators which are commonly used in dynamic capital structure researches with partial adjustment model. Then, for the actual sample of listed companies in China, we use these six estimation methods for an empirical test. On this basis, according to the listed companies＇ distribution pattern in China, we apply the Monte Carlo simulation techniques to identify and judge the validity of those six estimators in es- timating speed of capital structure adjustments. Interestingly, we find that in our case the traditional pooled OLS estimators and the Fama-MacBeth estinaators are more effective to estimate the speed of capital structure adjustments with China＇s listed companies, the estimated average adjustment speed of the market debt ratio is 16.3-20.1%.

关 键 词：资本结构 调整速度 估计方法 蒙特卡洛模拟 

分 类 号：F275[经济管理—企业管理]