1 CAPM CAPM % % Wippern, aGebhardt Lee Swaminathan % 5.10% 4.18% 2 3 1Gebhardt Lee Swa

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1 Zingales 2000 Corporate finance is the study of the way firms are financed

2 1 CAPM CAPM % % Wippern, aGebhardt Lee Swaminathan % 5.10% 4.18% 2 3 1Gebhardt Lee Swaminathan 2003 P t = B t + i = 1 E t [( ROE t + i re ) B t + i ] 1 i ( 1+ r ) e Bt= t Et[.]=t ROE t+i = t+i r e Gebhardt Lee Swaminathan

3 / a 3 2 IWACC E WACC = 1 B K B E d (1 T) + + B+ E K e B EKdKeT WACC WACC = + I + NI B E INI = / II Modigliani Miller Modigliani Miller

4 2 ( V TB) A 1 X (1 T ) = a + a + a + a 0 1 A 2 A A 3 A + u A X V 1 1 = a2 dx (1 T ) dv a2 K 2 C = K 3 db ( 1 T ) dv C db dv K 1 Modigliani Miller 1966WACC Ke KddB/dV=B/V Modigliani Miller 1958 Ke Kd = Modigliani Miller I + NI V WACC WACC a2 Modigliani Miller 1999Modigliani Miller % 16.39% 8.47%2 1 Modigliani Miller Modigliani Miller

5 Modigliani Miller 1966 Modigliani Miller Modigliani Miller a2 Ke3 Ke 3 Ke Modigliani Miller WACC = / 45% 3 3 5

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13 % % a t 24.15% Gul a 2003b 4 13

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17 fixed effects Hu and Goergen IPO 17

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24 Zhang, Zhang and Zhao Tobin s Q U Tobin s Q Tobin s Q Tobin s Q % Tobin s Q U 2003 U Wu and Cui 2003 P/E / 24

25 Shleifer Vishny Hu and Goergen 2003Demsetz and Lehn 1985 Tobin s Q Hu and Goergen 2003Tobin s Q 2 Jensen, 1986 Stulz,

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29 ST 6 14 Demsetz, H., and K. Lehn, 1985: The structure of corporate ownership: causes and consequences, Journal of Political Economics, 93(6), Gebhardt, W., C. Lee and B. Swaminathan, 2003: Toward an implied cost of capital, Journal of Accounting Research, forthcoming. 21 Gul, F., 1999: Government share ownership, investment opportunity set and corporate policy choice in China, Pacific-Basin Finance Journal, Holz, C., 2002: The impact of the liability-asset ratio on profitability in China s industrial state-owned enterprises, China Economic Review, Hu, G. and M. George, 2003: A study of ownership concentration, control and evolution in Chinese IPOs. 29 Huang, S. and F. Song, 2003: The determinants of capital structure: evidence from China, working paper, the University of Hong Kong Jensen, M., 1986: Agency costs of free cash flow, corporate finance and takeovers, American Economic Review, 76,

30 9 34 Lee, C.J. and X. Xiao, 2002: Cash dividends and large shareholder expropriation in China, working paper, Tsinghua University a b a b a b Modigliani, F. and M. Miller, 1966: Some estimates of the cost of capital to the electric utility industry: , the American Economic Review, Vol. 56, No Qi, D., W. Wu and H. Zhang, 2000: Shareholding structure and corporate performance of partially privatized firms: evidence from listed Chinese companies, Pacific-Basin Finance Journal, Shleifer, A., and R. Vishny, 1986: Large shareholders and corporate control, Journal of Political Economy, volume 94, issue 3, part 1, Stulz, R., 1988: Managerial control of voting rights: Financing policies and the market for corporate control, Journal of Financial Economics, 20, Akron. 62 Su, Dongwei, 2000: Corporate finance and state enterprise reform in China, working paper, University of Tian, L., 2001: Government shareholding and the value of China s modern firms, working paper, London Business School

31 Wippern, R., 1966: Financial structure and the value of the firm, Journal of Finance, December, 4: Wu, S. and H. Cui, 2003: Consequences of the concentrated ownership structure in Mainland China-evidence of year 2000, working paper, City University of Hong Kong U Z Xu, X. and Wang, Y., 1999: Ownership structure and corporate governance in Chinese stock companies, China Economic Review, Zhang, A., Y. Zhang and R. Zhao, 2002: Profitability and productivity of Chinese industrial firms: measurement and ownership implications, China Economic Review, Zingales, L., 2000: In search of new foundation, Journal of Finance, 55, August,

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