基于行为金融理论的上市公司融资决策研究
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摘要
作为微观金融理论中最重要的组成部分,公司融资决策理论存在着过分关注“应该怎样做决策”,而很少系统研究“实际是怎样做决策”的缺陷,由此造成融资决策理论与融资决策实际行为相差甚远的问题。其根本原因在于经典金融理论是在市场有效和完全理性假说基础上形成的“完美理论”。然而,随着经济生活和金融市场上各种异常现象的累计以及心理学等相关学科的发展,传统的“完全理性”假定已无法解释现实中的经济行为。因此,行为金融学家开始打破经典金融理论中关于人类行为“完全理性”的假定,将心理学和认知科学上的成果引入到金融市场演变的微观过程,以更加真实地揭示各种经济行为的特征及其原因。
本文基于行为金融理论的研究成果,采用规范研究与实证研究相结合的方法,分别探讨了市场非理性框架和管理者非理性框架下的上市公司融资决策问题,尝试经典融资决策理论的研究与拓展。在市场非理性框架的研究中,本文选取1994年至2007年沪深两市的IPO作为研究对象,以“热市”和“冷市”作为市场时机的度量指标,实证检验了中国上市公司是否存在市场时机行为、市场时机对上市公司融资决策的短期影响以及对融资结构的持续度影响。在管理者非理性框架的研究中,根据前景理论设计控股股东融资决策模型,分析控股股东非理性行为对融资决策的影响。另外,分析了经理的羊群行为及公司融资决策的形成机理,真实地揭示了上市公司融资决策过程。
全文共分为六章。第一章是导论,主要介绍了论文的选题背景与意义、研究的理论框架、论文的体系安排与主要内容以及论文的研究创新；第二章首先按照融资决策理论观点的演进过程,系统回顾了信息对称融资决策理论、信息不对称融资决策理论、控制权转移的融资决策理论和行为金融的融资决策理论,其次,对中国上市公司融资决策研究的观点进行了综述与评价；第三章从市场环境、公司特征和个人心理三个层面系统分了融资决策的影响因素；第四章是在市场非理性框架下,实证检验了中国上市公司的市场时机选择行为,在实证检验过程中,将政策因素纳入分析模型,检验中国上市公司的市场时机包含市价时机选择和政策时机选择；第五章从控股股东和经理两个角度探讨了管理者非理性对上市公司融资决策的影响；第六章总结了论文的研究结论,并针对目前的研究不足,提出未来的研究设想。
As the most important part of microfinancing theory, there exists some drawbacks in the enterprise financing decision theory, such as paying over attention to the question "how we should make decision?" but doing few systematical studty about "how we acturally make decision?", therefore, the problem that financing decision theory is far from the financing decision practice comes out. The basic reason is that classical financing theory is the "perfect theory"which is based on the hypotheses of market efficiency and full rationality, however,as the accumulation of abnormal phenomenon in the economic life and financing market, and the development of psychology and other related subjects, the traditional "full rationality" hypothesis has not been used to explain economic activities in the real life. Therefore, behavioral financing scientists begin to break the hypothesis about full rationality of human behavior in classical financing theory, and then bring psychology and epistemology into the microprocess of evolvement in financing market, so as to reveal the feature and reasons in all kinds of economic activities more accurately.
This paper is based on the results of behavioral financing theory, using the method that combine the normative research with the positive research to discuss the issue of financing decision in public company under the framework of market irrationality and management irrationality respectively, and then try to make some study and development in classical financing decision theory. Under the framework of market irrationality, this paper take IPO (1994-2007)in the two markets as the subject, and "hot market" and "cold market "as the measurement of market timing, examining wether there exists market timing activities in china's public firms, and its short-term effect on financing decision in public firms and its long-term influence upon financing strcture. Under the framework of management irrationality, we design the financing decision model of controlling shareholders on the bases of prospect theory, and then analyse the impact of the irrational behavior of controlling shareholders on financing decision. Furthermore, we examine the herd behavior of management and the formulating mechanism of financing decision, revealing the procedure of financing decision in public firms.
The organization of this paper is as follows:part 1 is introduction which lays out the background and significancy of this article, the theory framework of the research, the organization and conent of the article, and the innovative point of this paper; Part 2,firstly, according to the envolving process of financing decision theory, this article systematically review financing decision theory in the condition of equal information, then review and evaluate the viewpoints in china's public firms'financing decision research; part 3 from the three layers of market environment, corporate characteristics and individual psychology, we systemaically analyse the factors that will influence the firm's financing dicisions; part 4 under the framework of market irrationality, examining the market timing behaviors in public firms, in the process of positive research,we bring the political factors into the model and testify that market timing in public firms include market price timing and policy timing; part 5 from the two points of controlling shareholders and management，discussing the impact of management irrationality on financing decision in public firms; part 6 make a conclusion of this article, and put forward some instructive idea in the future research in the light the weakness of this article.
本文基于行为金融理论的研究成果,采用规范研究与实证研究相结合的方法,分别探讨了市场非理性框架和管理者非理性框架下的上市公司融资决策问题,尝试经典融资决策理论的研究与拓展。在市场非理性框架的研究中,本文选取1994年至2007年沪深两市的IPO作为研究对象,以“热市”和“冷市”作为市场时机的度量指标,实证检验了中国上市公司是否存在市场时机行为、市场时机对上市公司融资决策的短期影响以及对融资结构的持续度影响。在管理者非理性框架的研究中,根据前景理论设计控股股东融资决策模型,分析控股股东非理性行为对融资决策的影响。另外,分析了经理的羊群行为及公司融资决策的形成机理,真实地揭示了上市公司融资决策过程。
全文共分为六章。第一章是导论,主要介绍了论文的选题背景与意义、研究的理论框架、论文的体系安排与主要内容以及论文的研究创新；第二章首先按照融资决策理论观点的演进过程,系统回顾了信息对称融资决策理论、信息不对称融资决策理论、控制权转移的融资决策理论和行为金融的融资决策理论,其次,对中国上市公司融资决策研究的观点进行了综述与评价；第三章从市场环境、公司特征和个人心理三个层面系统分了融资决策的影响因素；第四章是在市场非理性框架下,实证检验了中国上市公司的市场时机选择行为,在实证检验过程中,将政策因素纳入分析模型,检验中国上市公司的市场时机包含市价时机选择和政策时机选择；第五章从控股股东和经理两个角度探讨了管理者非理性对上市公司融资决策的影响；第六章总结了论文的研究结论,并针对目前的研究不足,提出未来的研究设想。
As the most important part of microfinancing theory, there exists some drawbacks in the enterprise financing decision theory, such as paying over attention to the question "how we should make decision?" but doing few systematical studty about "how we acturally make decision?", therefore, the problem that financing decision theory is far from the financing decision practice comes out. The basic reason is that classical financing theory is the "perfect theory"which is based on the hypotheses of market efficiency and full rationality, however,as the accumulation of abnormal phenomenon in the economic life and financing market, and the development of psychology and other related subjects, the traditional "full rationality" hypothesis has not been used to explain economic activities in the real life. Therefore, behavioral financing scientists begin to break the hypothesis about full rationality of human behavior in classical financing theory, and then bring psychology and epistemology into the microprocess of evolvement in financing market, so as to reveal the feature and reasons in all kinds of economic activities more accurately.
This paper is based on the results of behavioral financing theory, using the method that combine the normative research with the positive research to discuss the issue of financing decision in public company under the framework of market irrationality and management irrationality respectively, and then try to make some study and development in classical financing decision theory. Under the framework of market irrationality, this paper take IPO (1994-2007)in the two markets as the subject, and "hot market" and "cold market "as the measurement of market timing, examining wether there exists market timing activities in china's public firms, and its short-term effect on financing decision in public firms and its long-term influence upon financing strcture. Under the framework of management irrationality, we design the financing decision model of controlling shareholders on the bases of prospect theory, and then analyse the impact of the irrational behavior of controlling shareholders on financing decision. Furthermore, we examine the herd behavior of management and the formulating mechanism of financing decision, revealing the procedure of financing decision in public firms.
The organization of this paper is as follows:part 1 is introduction which lays out the background and significancy of this article, the theory framework of the research, the organization and conent of the article, and the innovative point of this paper; Part 2,firstly, according to the envolving process of financing decision theory, this article systematically review financing decision theory in the condition of equal information, then review and evaluate the viewpoints in china's public firms'financing decision research; part 3 from the three layers of market environment, corporate characteristics and individual psychology, we systemaically analyse the factors that will influence the firm's financing dicisions; part 4 under the framework of market irrationality, examining the market timing behaviors in public firms, in the process of positive research,we bring the political factors into the model and testify that market timing in public firms include market price timing and policy timing; part 5 from the two points of controlling shareholders and management，discussing the impact of management irrationality on financing decision in public firms; part 6 make a conclusion of this article, and put forward some instructive idea in the future research in the light the weakness of this article.
引文
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1 中国证券监督管理委员会网站(统计月报)：http://www. csrc. gov. cn
2 中国债券信息网(统计月报)：http://www. chinabond. com. cn
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1 中国证券监督管理委员会网站(统计月报)：http://www. csrc. gov. cn
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1 亚当·斯密著,郭大力、王亚南译,国民财富的性质与原因的研究(下卷),北京商务印书馆,1974年,第25页。
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