I ln I V = α + ηln + εt, 1 V t, t, t, 1 t, 1 I V η η >0 t η η <0 η =0 22 A_,B_,C0_,C1_,C2_,C3_,C4_,C5_,C6_,C7_,C8_,C99_,D_,E_,F_,G_,H_,I_,J_,K_,L_,M_

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1 Jeffrey Wurgler F830.9 A ,,, Jeffrey Wurgler Panel Data Jeffrey Wurgler 2000

2 I ln I V = α + ηln + εt, 1 V t, t, t, 1 t, 1 I V η η >0 t η η <0 η =0 22 A_,B_,C0_,C1_,C2_,C3_,C4_,C5_,C6_,C7_,C8_,C99_,D_,E_,F_,G_,H_,I_,J_,K_,L_,M_ A y = α + x β + u t t t 2 α β

3 y = α + x β + u 3 t t t α y = α + x β + u t t t 4 ( S 2 S1) /[( n 1) K] F1 = ~ F[( n 1) K, n( T K 1)] S ( nt n( K + 1)) 1 ( S3 S1) /[( n 1)( K + 1)] F 2 = ~ F[( n 1)( K + 1), n( T K 1)] S ( nt n( K + 1)) 1 S1 S2 S F 1 F F F % : F = F = % 1 D-W 15%

4 2 η t- η t- η t- C _A _B _C _C _C _C _C _C _C _C _C _C _D _E _F _G _H _J _K _L _M R D-W F C2 C3 C5 C7 J L 7

5 3 η t- η t- η t- C _A _B _C _C _C _C _C _C _C _C _C _C _D _E _F _G _H _J _K _L _M R D-W F

6 4 η t- η t- η t- C _A _B _C _C _C _C _C _C _C _C _C _C _D _E _F _G _H _J _K _L _M R D-W F

7 L v %

8 5 C η R 2 D-W F ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) GDP A B

9 3 F( X ) = A α x x α A : α β γ π, t = A FC, t LC, t OC, t π A FC LC OC α β γ lnπ, t = ln α β γ ln + ε A + ln FC, t + ln LC, t + OC, t, t 21 7 F F F F % F F = F = F

10 8 t- t- t- t- C ln A FC α LC OC γ _A--C _B--C _C0--C _C1--C _C2--C _C3--C _C4--C _C5--C _C6--C _C7--C _C8--C _C99--C _D--C _E--C _F--C _G--C _H--C _J--C _K--C _L--C _M--C R-squared D-W stat

11 α + β + γ < [1] Schwager, W.S.A.. A note on GARCH predctable varances and stock market effcency [J]. Journal of Bankng and Fnance, [2] Jeffrey Wurgler. Fnancal Market and the Allocaton of Captal [J] Journal of Fnancal Economcs,N.58, Myers, Stewart C., and Majluf, N.S.. Corporate fnance and nvestment decsons when frms have nformaton that nvestors do not have [J]. Journal of Fnancal Economcs, [3] Goldman, E.. The mpact of Stock Market Informaton Producton on Internal Resource Allocaton [J]. workng paper, Fnance Department the Kenan Flagler Busness School Unversty of North Carolna,

12 [4].Y.,.W.,. [M]., [5]. [M]., [6]. [M]., [7],. [J]., [8]. [J]., [9],. [J]., [10],. [J]., [11]. [J]., The Captal Allocaton n Stock Market of Chna dsequlbrum research n Shenzhen and Shangha Market CHEN Shou-dong, TANG Lang, CAI Yuan Quanttatve Research Center of Economcs, busness school of Jln Unversty, Changchun Jln Abstract: In ths paper, on the bass of Jeffrey's Wurgler's captal allocaton model we use the panel data of Chna for 11 years and 21 ndustres to Establsh the changed parameter and unchanged parameter model for Evaluatng the effcency of captal allocaton n Chna stock market The result s that the effcency of captal allocaton s low, Shenzhen market s lagged behnd Shangha market, the debt s short of effcency relatve to stock, the credt market s lagged behnd stock market. In the same tme, ths paper measures the producton functons of each ndustry, the result s the ndustres captal effcency low, the margn effcency of captal s low, especally attach lttle mportance to the mmateralty captal. So the problem of mproved the captal allocaton effcency s too mpatent to wat. Keyword the captal allocaton effcency; the changed parameter model of panel data; producton functon; dsequlbrum JAZJD790007

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1 2 1 RESEARCH REPORT 2004.4.8 0091 1 2 1 3 4 5 1 2 2 3 3 1 1 2 4 5 6 8 9 9 14 16 16 18 19 24 26 28 2001 2001 2000, 30000, 40000 1 1 2003 2 19 1 Prvate Equty Venture Captal IPO 2 Captal Structure Modglan Mller