股票流动性与企业资本结构的决定——基于中国上市公司的经验证据
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财经研究 2009 年 第 35 卷第 08 期, 页码：38 - 49
摘要
参考文献
摘要
文章使用2000-2008年间沪深两市中仅发行了A股的上市公司的高频交易数据,采用有效价差和报价价差来衡量公司股票的流动性,考察了股票流动性对资本结构的影响,并进一步考察了是否满足权益再融资条件以及股权分置改革对两者之间关系的影响。研究表明,股票流动性(即买卖价差)和资本结构呈显著负相关性(正相关性)。满足再融资条件的公司财务杠杆对流动性的敏感性显著更强。完成股权分置改革公司的财务杠杆对流动性的敏感性更强,但这种关系不是很稳健。
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[4]Amihud Y,Mendelson H.Asset pricing and the bid-ask spread[J].Journal of Finan-cial Economics,1986,17:223-249.
[5]Amihud Y,Mendelson H.Liquidity and asset price:Financial management i mplications[J].Financial Management,1988,17(1):5-15.
[6]Amihud Y,Mendelson H.The effects of beta,bid-ask spread,residual risk,and sizeon stock returns[J].Journal of Finance,1989,44:479-486.
[7]Brennan M,Subrahmanyam A.Market microstructure and asset pricing:On the com-pensation for illiquidity in stock returns[J].Journal of Financial Economics,1996,41:441-464.
[8]Butler A W,Grullon G,Weston J P.Stock market liquidity and the cost of issuing eq-uity[J].Journal of Financial and Quantitative Analysis,2005,40(2):331-348.
[9]Frieder L,Martell R.On capital structure and the liquidity of a firm’s stock[R].Working Paper,http://www.ssrn.com,2006-03-14.
[10]Lipson M L.Market microstructure and corporate finance[J].Journal of CorporateFinance,2003,(9):377-384.
[11]Lipson M L,Mortal S.Capital structure decisions and equity market liquidity[R].Working Paper,http://www.ssrn.com,2007-03-15.
[12]Madhavan A.Market microstructure:A survey[J].Journal of Financial Markets,2000,(3):205-258.
[13]O’Hara M.Making market microstructure matter[J].Financial Management,1999,28(2):83-90.
引用本文
顾乃康, 陈辉. 股票流动性与企业资本结构的决定——基于中国上市公司的经验证据[J]. 财经研究, 2009, 35(8): 38–49.
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