经营风险与企业杠杆率  

Operating Risks and Firm Leverage

作　　者：邹静娴[1] 贾珅[2] 邱雅静 邱晗[4] ZOU Jingxian;JIA Shen;QIU Yajing;QIU Han(National Academy of Development and Strategy,Renmin University of China;Development Strategy and Regional Economic Research Department,Development Research Center of the State Council;Zheshang Bank Corporation;National School of Development,Peking University)

机构地区：[1]中国人民大学国家发展与战略研究院,北京100872 [2]国务院发展研究中心,北京100010 [3]浙商银行股份有限公司,浙江杭州310000 [4]北京大学国家发展研究院,北京100871

出　　处：《金融研究》2020年第12期20-39,共20页Journal of Financial Research

基　　金：教育部人文社会科学研究青年项目“结构性减税对企业杠杆率的影响研究”(18YJC790247)资助。

摘　　要：本文从理论和实证两方面考察企业经营风险将如何影响其杠杆率。其中,企业面临的经营风险被定义为在企业所属"年份×城市×二位行业"层面内除自身外其他所有企业资产收益率(ROA)的分布标准差。整体而言,当企业经营风险上升时,其投资和负债决策将更加保守,表现为资产负债表收缩和杠杆率下降。分债务期限来看,杠杆率的变化又可分为"规模效应"和"结构效应",前者指向投资、负债决策的整体收缩,后者指向债务结构中短期负债占比的下降。经营风险上升时,杠杆率下降主要体现为短期债务的缩减;分所有制来看,非国有企业对经营风险的敏感度较强,国有企业对经营风险的敏感度较小,这与两类企业的融资难易程度相符。The literature on corporate finance has traditionally categorized studies on firm leverage under capital structure.However,macroeconomists have begun to study the topic of firm leverage since the 2008 global financial crisis.Macroeconomic studies have argued that changes in leverage are related to a contraction or expansion of credit,i.e.the credit cycle,or an additional business cycle overall.Another category of studies have argued that the differences in leverage are tied to structural differences in firm characteristics,including ownership,firm size,and financing constraints.The two types of studies have advanced our understanding of macroeconomic fluctuations,although they have left some gaps in the literature.The first type has argued that changes in credit cycle and firm leverage are causes of economic fluctuations.However,the question remains,what leads to the cyclical fluctuations in leverage?The second type,in contrast,has failed to explain the observed fluctuations.For instance,they have shown that ownership affects firm leverage,but they have failed to explain the structural and cyclical changes in firm leverage.The motivation of this paper is to examine the fundamental mechanism behind the cyclical changes in firm leverage.This paper focuses on one dominant determinant for the firm’s investment,the firm’s expectation for the future.The firm’s decision to borrow to finance an investment is a risky intertemporal decision.The increase in leverage can significantly raise the return on assets during a boom period,but the decision can lead to great loss in an economic recession.Following this argument,an enterprise’s choice of leverage ratio should be pro-cyclical if the expectation of a representative agent in the economy is optimistic in times of economic prosperity(i.e.increasing risk preference)and pessimistic(i.e.decreasing risk preference)in times of economic recession.In this paper,we concentrate on the firm’s most direct operating risks,measured by the standard deviation of ROA within the"

关 键 词：经营风险 经济周期 杠杆率 债务久期 

分 类 号：F272.3[经济管理—企业管理] F275[经济管理—国民经济]