Zingales 2000 Corporate finance is the study of the way firms are financed 1 2 3 1 2 3 4 1 2 1 1
1 CAPM CAPM 2001 2.42% 20002001 1.18% Wippern, 1966 2003aGebhardt Lee Swaminathan 2003 1 1998 2000 1 1998 2000 5.54% 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 2003 2
1 2 3 1/5 5 2003a 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 1966 3
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 1966 1995-1997 30 1 1995-1997 18.56% 16.39% 8.47%2 1 Modigliani Miller 1966 2 Modigliani Miller 1966 4
Modigliani Miller 1966 Modigliani Miller 1966 2 2000 Modigliani Miller 1966 1994-1998 2000 a2 Ke3 Ke 3 Ke Modigliani Miller 1966 19991997 81 WACC 1999 1999 1999 = / 45% 3 3 5
1/21999 1999 1999 1999 1999 1999 1999 19991999 1995 2000 1 2 2 1999 1999 6
2003b 1 1998 1999 2003 2003 1 2000 2000 2000 2 3 4 1 2 3 7
119991996-1998 372 Gul 1999 2001b504 1997 1999 LOGISTIC U 2002 1997 1999 231 20032002 299 21999 3 3 8
2000 1999 3 2000 3 Su 2000 2002 A H A A H A 9
Lee Xiao 2002 2002 ROE Lee 2002 2003Lee 2002 1 2 2003 LOGISTIC 2000 2001 ROE Lee 2002Lee 2002 2003 Su 2000 2002 Lee 2002 2003 10
2003 2 12 1 1997 1997 1998 1997 1998 Su, Dongwei (2000) 1995 86 1992-1994- 1998 508 2000 1998 NA -20 +20 NA -5 +5 NA ROE -20 +20 6-3 0 NA NA 1992-2001 2000-1 +1 11
1997-2002 1999-5 +5 1 1 2 3 1 1998 19982000 2001 2 1998 2001 Lee 2002 2003 12
2002 2001 1999 2001 1997 73% 1997 20% 2000 2000 2001 2003a 1999 2000 t 24.15% Gul 1999 2001 2003a 2003b 4 13
2003a 2003b 2002 2003aLogistic 2003 14
1 2 2001a 1998 1 2 2 1998 15
1999 2000 2001a 2002 2003 Huang Song 2003 2003 2003 20 80 2000 16
fixed effects 2 2002 20031999 2001 20021996 2000 20021991 1998 386 Hu and Goergen 2003 1993 129 IPO 17
7 1 2 2 3 3 3 1999 1997 CAPM 18
2000 2.5% 5.88% 96% 0 0 2001 20021999 2000 20031993 2002 A 1216 2003 1999 2001 216 199721 29 19
19991997 146 20011995 1999 201 1 2 3 20021995 1999 338 2002379 20021998 1 2 3 20
20021998 67 2003 2001 1999 Tobin s Q 2003 1997 20001998 70 31 39 21
1 2 3 4 20032003 2001 R&D Modigliani Miller 1958 22
1 2 1 Xu Wang 19971993 1995 Qi, Wu and Zhang 200020002003 2000 2001 200120 2002 Tian 2001 826 U 2002 1997 2000 U 2003U 2003 508 23
Zhang, Zhang and Zhao 2002 1996 1998 2003 Tobin s Q U Tobin s Q Tobin s Q Tobin s Q 200384% 12 3 2001 2002 1997 2000 2001 1999Tobin s Q U 2003 U Wu and Cui 2003 P/E / 24
Shleifer Vishny 1986 2002 2002 Hu and Goergen 2003Demsetz and Lehn 1985 Tobin s Q Hu and Goergen 2003Tobin s Q 2 Jensen, 1986 Stulz, 1988 25
Holz 2000 2003 2003 2002 1 2 1999 27 ST 27 6 ST 92.6%6 26
2000 170 / / / / 1/3 2000 116 6 200180 11 2000 ST 2001 70 ST 70 Fisher Logistic 6 Logistic 6 200240 ST 40 Z Z Z Z ST ST ST STST 27
1 2 ST ST 5 6 28
1 20035 2 19994 3 2000 10 41998 5 5 20002 3 620008 719999 8 2001 11 9 20002 1 10 2003 8 11 2003 5 12 1999 9 13 2000 ST 6 14 Demsetz, H., and K. Lehn, 1985: The structure of corporate ownership: causes and consequences, Journal of Political Economics, 93(6), 1155-1177. 15 2003 8 16 2002 8 172002 8 18 20011 19 2000 8 20 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,7. 22 20035 23 2003 2 2420028 25 Holz, C., 2002: The impact of the liability-asset ratio on profitability in China s industrial state-owned enterprises, China Economic Review, 13. 26 2000 3 27 2001 3 28 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. 30 2001 11 31 20027 32 Jensen, M., 1986: Agency costs of free cash flow, corporate finance and takeovers, American Economic Review, 76, 323-339. 33 2002 29
9 34 Lee, C.J. and X. Xiao, 2002: Cash dividends and large shareholder expropriation in China, working paper, Tsinghua University. 35 2002 11 36 2003 8 37 1999 38 2002 8 39 2003a 3 40 2003b 6 41 19973 42 20034 43 2003 4 442003 1 1 45 2001 1 46 19962 47 200310 48 19988 49 2003a 50 20033 50 2003b 51 2001a 5 52 2001b6 53 1999 12 54 20023 55 Modigliani, F. and M. Miller, 1966: Some estimates of the cost of capital to the electric utility industry: 1954-57, the American Economic Review, Vol. 56, No.3. 56 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, 8. 57 2003 7 58 199911 59 2003 8 60 Shleifer, A., and R. Vishny, 1986: Large shareholders and corporate control, Journal of Political Economy, volume 94, issue 3, part 1, 461-488. 61 Stulz, R., 1988: Managerial control of voting rights: Financing policies and the market for corporate control, Journal of Financial Economics, 20, 25-54. Akron. 62 Su, Dongwei, 2000: Corporate finance and state enterprise reform in China, working paper, University of 63 2003 8 64 199912 65 Tian, L., 2001: Government shareholding and the value of China s modern firms, working paper, London Business School. 66 2003 8 67 200011 30
68 20029 69 2002 10 70 19986 71 19991 2 72 20002 73 Wippern, R., 1966: Financial structure and the value of the firm, Journal of Finance, December, 4:615-633. 74 20033 7520031 76 2001 6 77 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. 78 2002U 1 79 2002Z 11 80 20032 81 Xu, X. and Wang, Y., 1999: Ownership structure and corporate governance in Chinese stock companies, China Economic Review, 10. 82 2001 9 832001 4 84 Zhang, A., Y. Zhang and R. Zhao, 2002: Profitability and productivity of Chinese industrial firms: measurement and ownership implications, China Economic Review, 13. 85 2001 3 86 20004 87 2002 6 88 20026 89 19973 90 20036 91 20036 924 93 2001 11 94 2002 1998 11 95 1999 11 96 2002 8 97 2001 12 98 Zingales, L., 2000: In search of new foundation, Journal of Finance, 55, August, 1623-1653. 31