相对杠杆与股票收益的相关性研究——来自中美市场的实证分析

本文结合考虑公司融资决策参考依赖特征及资本结构动态调整行为,构造相对杠杆这一新的财务杠杆度量指标重新检视了财务杠杆在资产定价中发挥的作用,并将中美市场进行对比分析.研究表明,相较于实际杠杆,相对杠杆能更好地解释股票溢价,在中美市场均表现出对股票收益的显著正向影响,但同时也存在差异性.在中国市场账面相对杠杆的股票溢价解释能力较弱,而在美国市场账面相对杠杆仍与股票收益显著正相关;在中国市场过度杠杆对股票收益的影响明显强于杠杆不足,而在美国市场两者表现出较为对称的影响;同时在中美市场以不同方式在Fama-French三因素模型中引入相对杠杆定价因子所得到的定价模型能显著提升原模型的定价能力,有更好的定价表现.

The relative leverage premium: New evidence from China and the U.S.

By explicitly considering the dynamic nature of capital structure, this paper re-examines the relationship between leverage and cross-section expected returns in both China and the U.S..Specifically, the paper decomposes leverage into target and relative components and finds that relative leverage better explains expected returns than observed leverage.Fama-MacBeth regression results show that relative leverage is positively and significantly related to equity returns in both these two markets, however, the effect mechanism of relative leverage differs.Specifically, compared with the U.S., over-leverage tends to affect equity returns more significantly than under-leverage and relative book leverage has a weaker influence in China.Furthermore, the portofolio tests using joint iterated GMM procedure show that different asset pricing models with relative leverage factors dominate FF model in China and the U.S.respectively.These findings provide a new perspective to the relationship between financial leverage and equity returns under different institutional environments.