企业所处的竞争环境和资本结构特征决定了企业投融资行为及其结果，进而 决定了企业持续竞争优势的时效性。而在既有的公司投融资决策和经营中，企业 投资动机对企业投融资决策形成具有重要影响。如果把企业资本结构及其优化策 略视为一组变量，那么，企业的投融资适应能力所导致的投资决策与超额收益信 息动态则决定了企业绩效持续性的效能，而这种转换机会可能会转化为经营期权 的选择，进而影响到企业建立或扩大其持续竞争优势。 本文通过对现有资本结构优化、持续竞争力、企业盈余与价值方面的现在文 献的梳理，主要围绕公司的权益价值是持续经营价值和转换期权价值两部分价值 之和这一思想来展开。其中，持续经营价值指公司依赖现有的资源使用方式，持 续利用自身资源（包括技术、资产以及企业家才能等）所能创造出来的价值，这 部分价值等于未来的期望收益折现到当期的加总。而转换期权则反映了公司“改 变”（包括出售公司、改变公司经营战略以及破产清算等），进而使得总体价值高 于持续经营价值的可能性。同时，本文发现资本结构与持续竞争优势之间有着紧 密的联系，且研究的主流趋势认为持续竞争优势是产生企业盈余的一个中间变量。 故尝试将转换期权的概念具体化到资本结构优化上，并将其的价值体现形式与企 业盈余联系起来，并对转换期权添加非线性信息动态的假设，使研究企业盈余（转 换期权的价值体现）与当期盈余信息之间的非线性关系成为可能。 基于对持续经营价值与转换期权价值的分析，本文对传统的线性权益定价模 型进行修正，即分别从两个方面将非线性效应引入到原有的线性模型中：首先， 在持续经营的情况下考虑公司边际成本递增的效应，并引入税收摩擦；其次，将 期权价值加入折现现金流框架，即??=??+??。新的模型刻画了公司权益价值关 于其营业收入的凹性关系：即公司的权益价值随公司营业收入单调递增，而其边 际贡献却在递减。基于中国A股上市公司财务数据的实证结果表明：就单一行业 而言，定价模型所描述的关系基本成立；但由于异质性的存在，不同行业的营业 收入与权益价值之间并不存在同一的非线性协整关系。 基于当期盈余与后期超额收益的非线性关系，本文通过非线性的角度诠释了 融资方式选择问题。本文在超额收益动态过程中引入持续非零净现值投资、当期 盈利能力以及公司融资适应能力对投资决策的影响，从而构建超额收益的非线性 信息动态模型。这一引入资本投资的超额收益动态模型假定投资决策不仅受到超 额盈利能力信号的指引，同时还受到融资适应能力的约束，且当期的超额盈利能 力反映了经济租的持续性，从而为未来的超额盈利能力提供了有用的信息，而预 博士学位论文 III 期未来超额盈利能力又会对未来的资本投资产生影响。理论分析表明在将资本投 资与融资内生化的情形中，未来超额收益与当期超额收益之间呈现非线性信息动 态，而不是简单的线性信息动态。公司?+1收益与?期超额收益之间的斜率和曲率 受融资适应能力的影响，即当企业仅需要少量融资时，股权融资优于债权融资； 而当融资额较大时，债权融资则优于股权融资。以中国上市公司为样本的分组分 段线性回归为本文非线性信息动态的理论分析提供了支持。 关键词：企业价值; 竞争优势；盈余信息；资本结构；转换期权 企业价值与动态盈余信息视角下持续竞争力研究 IV Abstract The decisions of controller of corporation determine the behavior and consequences of the investment decisions and finance decisions of the corporation, then the interests of non-controller and other stakeholders of the corporation. In specific institution arrangement, controller have motives to embezzle the interests of other stakeholders, the motives can be translated into tunneling behaviors such as connected transaction and appropriation and so on. This paper focus on the idea that a company’s value is the combination of continuing value and option value based on the existing literature of capital structure optimization, sustainable competitiveness, corporate earnings and the value of the current literature,. Among them, going concern value refers to the company to rely on existing resources sustainable use, the use of their own resources (including technology, capital and entrepreneurial ability) can create value, the value is equal to the expected income discounted future to the current total. While the conversion option reflects the company's "change" (including the sale of the company, change the company's business strategy and bankruptcy liquidation etc.), then makes the overall value is higher than the possibility of going concern value. At the same time, this paper has found that there is a close relationship between the capital structure and the sustainable competitive advantage, and the research trend of the thought of sustainable competitive advantage is an intermediate variable of enterprise surplus. So try to build "optimization to sustainable competitive advantage, enterprise surplus" theory of capital structure, so as to convert the option to optimize the capital structure, and the value of contact form and corporate earnings, and add the nonlinear dynamic assumptions of the conversion option, so the study of earnings (conversion option the nonlinear relationship between value) and current earnings information as possible. Analysis of the going concern value and conversion option value based on linear pricing model, this paper based on the traditional correction, respectively from two aspects of the nonlinear effect is introduced into the original linear model: firstly, considering the effect of increasing marginal cost of the company in the case of continuing operations, and the introduction of tax friction; secondly, the option value into the discounted cash flow framework, namely ??=??+??. A new model to describe the relationship between the interests of the company on the concavity of the 博士学位论文 V value of its operating income: the interests of the company value as the company's operating income is increasing, and the contribution margin has decreased. The financial data China A shares of listing Corporation: Based on the results of single industry, pricing model described in the basic set up; but because of the heterogeneity, nonlinear cointegration relationship does not exist the same between the different sectors of the business income and equity value. The nonlinear relationship between the current earnings and excess returns based on the nonlinear, through interpretation of the financing modes selection. In this paper, the excess return dynamic introduced in the process of continuous non zero net present value of an investment, the profitability and the company's financing capacity to adapt to the impact of investment decision, the nonlinear dynamic model of information so as to construct the excess returns. The introduction of capital investment of excess earnings dynamic model assumes that the investment decision is not only affected by the excess earnings guidance signal, but also by the ability to adapt to the financing constraints, and the excess profit ability reflects the continued economic rent, which provides useful information for future excess profitability, expected future excess profit ability it will affect the future of capital investment. Theoretical analysis shows that in the case of the capital investment and financing in biochemistry, future excess returns and the excess return is nonlinear dynamic information, rather than a simple linear information dynamics. Between stage ?+1 and stage ? excess return excess returns by financing the ability to adapt to the slope and curvature effect, when the enterprises only need a small amount of financing, equity financing is better than bond financing; and when a large amount of financing, bond financing is better than equity financing. In order to Chinese listing Corporation as a sample group of piecewise linear regression provides support for the theoretical analysis in this paper, the nonlinear dynamic information. Key Word: firm value; competitive advantage; earnings informativeness; capital structure; option to switch 企业价值与动态盈余信息视角下持续竞争力研究 VI 目 录 学位论文原创性声明和学位论文版权使用授权书 .................... I 摘要 ........................... II Abstract ...................... IV 插图索引 ..................... IX 附表索引 ....................... X 符号表 ......................... XI 第1章 绪 论 .............. 1 1.1 研究背景 ............1 1.1.1 问题的提出 ..1 1.1.2 选题的理论价值与意义 ..............2 1.1.3 研究重点 ......3 1.2 研究框架 ............4 1.3 研究方法 ............6