融资约束、债务融资能力与股票定价——对高融资约束公司高系统风险的进一步解释

Financial Constraint, Debt Financing Capacity and Stock Pricing:A Further Explanation to High Systemic Risk in High Financing Constraint Companies

中文关键词:  融资约束  债务融资能力  股票定价  系统风险  乘数效应

英文关键词:financial constraints  debt financing capacity  stock pricing  systematic risk  multiplier effect

中文摘要:

      在考察债务融资能力对融资约束公司投资敏感性影响的基础上，探析债务融资能力对股票定价的影响。理论与实证分析结果表明，对于受到较高融资约束的公司，债务融资能力的提高显著增加了公司的投资—现金流敏感性，且高债务融资能力的公司具有较高的系统风险和预期收益。这是由于信贷限制、公司投资和公司价值之间的动态传导机制形成的“乘数”效应，使得融资约束较高的公司具有更强烈的顺周期性，在股票市场中则表现为系统性风险的提高。

英文摘要:

      Based on the investigation of the impact of debt financing capacity upon the investment sensitivity in financing constraint companies, this paper tries to analyze the impact of debt financing capacity on stock price. Both theoretic and empirical analyses show that: For higher financing constraint companies, debt financing capability significantly improves the companys investment-cash flow sensitivity and the companies with high debt financing capacity have a high systematic risk and expect return. This is due to the “multiplier” effect formed from the dynamic transmission mechanism of credit limit, company investment and corporate value. The “multiplier” effect makes higher financing constraint companies show more periodic performance (or pro-cyclicality), which is embodied in higher systematic risk in the stock market.