资本结构权衡、代理成本等经典理论认为公司适度负债能够增加公司价值,公司存在最优资本结构。然而,现实中却有一些公司表现出与理论相背离的状态,它们不使用任何债务融资,这一现象被学界称为"零杠杆之谜",引起了研究者的关注。本文以1993-2012年中国A股主板上市公司为研究对象,选择零杠杆公司作为研究样本,并按照年份、行业、规模原则匹配杠杆公司,借鉴Liu和Strong(2008)的研究分别构建零杠杆公司和杠杆公司投资组合,采用Fama-French(1993)三因子模型、统计检验等方法对零杠杆公司与杠杆公司的财务业绩、市场业绩进行对比分析;同时针对中国上市公司控股权的特点,特别研究了国有控股与非国有控股公司的业绩差异。研究结果表明,相比杠杆公司,零杠杆公司,无论是国有控股公司、还是非国有控股公司,都具有显著更好的财务业绩;零杠杆公司与杠杆公司的市场业绩总体上不存在显著差异,但是,国有控股零杠杆公司的市场表现明显优于对应的国有控股杠杆公司和非国有控股零杠杆公司;在控制市场风险等因子之后,以上结论仍然成立,国有控股零杠杆公司具有显著为正的超额收益。本文的研究结论一方面拓展了零杠杆公司的成果,为解释"零杠杆之谜"提供了新的证据;另一方面对投资者和管理者识别影响公司业绩的因素、做出投资决策具有积极的指导意义和参考价值。
Some firms give up debt financing and choose the extreme financial conservative strategy-zero leverage in reality, although the traditional theories of capital structure argue that there is benefit to maximize the shareholder value if the firm has moderate debts. This phenomenon is referred to as the mystery of zero leverage and it has raised the attention of the researchers. Using China A share listed firms during the years from 1993 to 2012 as the research objects, the debt-free firms are matched with leverage firms according to the rules of year, industry and size firstly. Second, debt-free and leverage firm portfolio are built respectively. The difference of the financial and market performance between debt-free and leverage firms is further analyzed. It compares to the debt-free and leverage firmportfolios' market performance and buy-and-hold abnormal returns, tests the financial performance of debt-free firms and their matched firms. Specially, according to the characteristic of controlling of sample companies, the debt-free and leverage firm performance difference because of firms controlling is tested. The results indicate that debt-free firm financial performances, both state and non-state controlling firm', are better than the leverage firm'. Comparing to the debt firm, the state controlling debt free firms have better market performance, although there is no significant difference between debt-free and leverage firm portfolios market performance. As well, state-controlled debt-free firm has still significantly positive excess returns after controlling risk factors such as market, book-market ratio and size. In all, the research evidence of debt-free firms is expanded on one hand. At the same time, its conclusions have a guiding significance and reference value for investors to identify the effect factors on the firm's performance, and help them to make investment decision.
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