本文首先对动态资本结构相关理论和现有文献进行了梳理，发现当企业内部
特征及外部宏观经济环境发生变化时，都会引起最优资本结构的变动，而在这一
过程中绝大多数企业会采取相应的措施来调整其实际资本结构。但目前文献中较
少涉及以资本市场变动作为切入点研究最优结构状态的变化。作为上市公司在外
部市场上重要参考依据的股票价格表现，其对公司资本结构调整决策的影响是显
著的，且会间接影响到企业的经营绩效及资本配置效率。基于此，考察股票误定
价对不同特征的上市公司目标资本调整状况的影响具有重要的意义。本文在前人
研究基础上，根据我国企业的实际情况选取合适的变量对企业最优结构状态进行
拟合，在分别引入股票误定价、融资约束等指标构建资本结构动态调整模型。选
取我国 328 家中小板上市公司 2005-2015 年的非平衡面板数据，并根据选取的融
资约束代理指标大小，将企业分为高融资约束组和低融资约束组，探讨不同融资
约束特征的企业在面对股票误定价时其资本结构调整的差异性。实证结果表明：
股票误定价与企业最优资本结构变化幅度正相关，且与企业向最优状态的调整速
度呈正相关关系；即股票误定价程度越高，公司的最优资本结构偏离程度越大，
而向最优状态的调整速度越快。融资约束与企业向最优状态调整的速度呈负相关
关系。公司自身的融资约束水平越高，资本结构调整速度越慢，反之，则越快
将融资约束分组后发现，相较于低融资约束公司，股票误定价对高融资约束公司
向最优资本结构调整的速度影响更大
通过本文的研究，在一定程度上丰富了动态资本结构理论，特别是结合股票
误定价、融资约束，有利于公司管理者培养最优资本结构调整意识，在面对股价
高估或低估时能够结合自身特征，采取合适的优化方案，减少成本费用，降低财
务风险，从而使公司的价值增加。同时，也为投资者及监管部门提供一个评判企II
业财务风险状况的依据
关键词：股票误定价，融资约束，最优资本结构，资本结构调整速度III
Stock Mispricing, Financial Constraints and Dynamic
Adjustment of Capital Structure —Based on empirical
research of the Chinese SMEs board listed companies
Abstract
Dynamic capital structure theory shows that each enterprise has an ideal capital structure.
When reach the optimal state, the enterprise can realize the maximization of its value. But owing to
the optimal structure will be influenced by a variety of internal and external factors, the change of
factors willdirectlycause fluctuations in the optimal capitalstructure so thatthe firm&39;s actualcapital
structure tends to deviate from the optimal state. However, enterprises need to pay different degrees
of adjustment costs when they take measures to adjust the capital structure. Therefore, when
different characteristics of companies face the internal and external factors, the optimal capital
structure of the deviation rate and return rate is different.
First of all, based on the review of dynamic capital structure theory and related literature, this
paper finds that when the enterprise’s internal characteristics, external macroeconomic environment
and capital market conditions change, they will cause the change of the optimal capital structure. In
this process, most companies will take corresponding measures to adjust the actual capital structure.
But less involved in capital market angle in the current literature as a breakthrough point to study
the optimal structure state changes. As an important reference for listed companies in the external
market, the impact of the stock price performance on corporate capital structure adjustment
decision-makingissignificant,andwillindirectlyaffectthebusinessperformanceandtheefficiency
of capital allocation. Based on this, the article which research on the relationship between stock
mispricing and the optimal capital structure adjustment of different characteristics of listed
companies has the vital significance. According to the actual situation of Chinese enterprises, this
paper chooses the appropriate variable to enterprise fitting for the optimal capital structure. On this
basis, through the introduction of stock mispricing, financing constraints, building a dynamic
adjustment model of capital structure. This article uses the unbalanced panel data of 2005-2015 of
328 small and medium-sized boards of listed companies in China. According to financing
constraints proxy index size, the enterprise can be divided into high financing constraint group and
low financing constraints, to discuss the capital structure adjustment of different characteristics of
enterprise in the face of the stock mispricing. The empirical results show that stock mispricing isIV
positively related to the change of target capital structure, with the adjusting speed of the enterprise
is positively correlated relationship; When stock mispricing degree is higher, the greater the
company&39;s optimal capital structure deviation degree is, and the faster the enterprise&39;s adjusting
speed is. Financing constraints and the adjusting speed to the optimal state have a negative
correlation relationship. The higher the company&39;s own level of financing constraints, the capital
structure adjustmentspeed is slower. Grouping of financing constraints can be found that, compared
with high company financing constraints, low one facing the stock market mispricing phenomenon
has a faster adjustment speed to the target capital structure.
In this paper, the research enriches the theory of dynamic capital structure to a certain extent,
especially in combination with the stock mispricing, financing constraints. It is beneficial to the
company managers to train their consciousness of the optimal capital structure adjustment. In the
face of the stock overvalued or undervalued, theycould take appropriate optimization scheme based
on combining its own characteristics, to reduce cost and financial risk, and increase the value of the
companyultimately.Atthe same time, the article also provides investors and regulators with a judge
reference of enterprise’s financial risk conditions.
Key words: Stock mispricing，Financial constraints level，Target capital
structure，Dynamic adjustment目 录
摘要... I
Abstract .III
第一章 绪论..........1
1.1 选题背景与研究意义......1
1.1.1 选题背景 ..........1
1.1.2 研究意义 ..........2
1.2 相关概念的界定..........3
1.2.1 动态资本结构 ......3
1.2.2 股票误定价 ........5
1.2.3 融资约束 ..........6
1.3 研究内容与论文框架......6
1.3.1 研究内容 ..........6
1.3.2 论文框架 ..........7
1.4 研究方法....9
1.5 主要创新点..9
第二章 文献综述 .....11
2.1 动态资本结构理论相关文献综述.......11
2.1.1 相关理论回顾 .....11
2.1.2 动态资本结构理论研究现状 .....13
2.2 股票误定价相关文献综述.17
2.2.1 股票误定价的计量方法 .........17
2.2.2 股票误定价的研究现状 .........18
2.3 融资约束相关文献综述...18
2.3.1 融资约束的计量方法 ...........182.3.2 融资约束问题研究现状 .........20
第三章 研究设计 .....21
3.1 研究假设...21
3.1.1 股票误定价与资本结构动态调整 .21
3.1.2 融资约束与资本结构动态调整 ...21
3.1.3 股票误定价、融资约束与资本结构动态调整 ...22
3.2 模型的构建.23
3.2.1 资本结构动态调整模型 .........23
3.2.2 变量的选取与计量 .24
3.2.3 实证模型构建 .....26
第四章 实证分析与检验 ...........28
4.1 样本选取与数据来源.....28
4.2 统计性描述
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