| 顾乃康,邓剑兰,王贵银.中国企业资本结构动态调整的估计方法与蒙特卡罗模拟[J].数量经济技术经济研究,2013,30(1):71-87 | | 中国企业资本结构动态调整的估计方法与蒙特卡罗模拟 | | Dynamic Capital Structure Adjustment of China's listed Companies: Estimation Methods and Monte Carlo Simulation | | | | DOI： | | 中文关键词: 资本结构 调整速度 估计方法 蒙特卡罗模拟 | | 英文关键词: Capital Structure Speed of Adjustment Estimation Methods Monte Carlo Simulation | | 基金项目: | | | 中文摘要: | | 本文首先从计量经济学以及资本结构动态调整的视角逐一评述了资本结构部分调整模型的六种主要估计方法，即混合OLS估计法、Fama-MacBeth估计法、固定效应估计法、GMM估计法、长差分LD估计法以及双边截取Tobit估计法。然后，针对我国上市公司的实际样本使用这六种估计方法进行了实证检验。在此基础上，依据我国上市公司资本结构的分布形态，采用蒙特卡罗模拟技术来识别和判断这六种方法在估计我国上市公司资本结构调整速度中的有效性。本文发现，传统的混合OLS估计法及Fama-MacBeth估计法反而是检验我国上市公司资本结构动态调整的有效方法，其估计所得的市值杠杆平均调整速度为16.3%－20.1%。 | | 英文摘要: | | From the perspective of econometrics, this paper firstly reviews six estimators which are commonly used in dynamic capital structure researches with partial adjustment model. These six estimators are pooled OLS estimators, Fama-MacBeth estimators, fixed effects estimators, GMM estimators, long differential estimators and doubly-censored Tobit estimators. And then, for the actual sample of listed companies in China, we use these six estimation methods for an empirical test. On this basis, according to the listed companies’ distribution pattern in China, we apply the Monte Carlo simulation techniques to identify and judge the validity of those six estimators in estimating speed of capital structure adjustments. Interestingly, we find that in our case the traditional pooled OLS estimators and the Fama-MacBeth estimators are more effective to estimate the speed of capital structure adjustments with China’ listed companies, the estimated average adjustment speed of the market debt ratio is between 16.3% -20.1%. | | 查看全文 |
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