杠杆率对预期权益回报率的影响研究

上市公司经营的核心目标为股东财富最大化,预期权益回报率是衡量股东财富变化的重要指标.本文研究了杠杆率对上市公司预期权益回报率的影响,据此讨论是否存在最大化预期权益回报率的资本结构.财务困境成本与代理成本的存在,使得我们难以从公司价值最大化的角度研究最优资本结构,因而从股东财富最大化的角度着手研究更为现实,隐含资本成本能较好地代表股权投资者的预期收益,进而反映股东财富的变化.本文使用Gebhardt-Lee-Swaminathan (GLS)模型对隐含资本成本进行测算,以此衡量预期权益回报率.本文通过实证发现,上市公司的杠杆率与预期权益回报率呈现倒"U"型关系,存在一个使得预期权益回报率最大化的最优资本结构,当杠杆率高于最优水平时,去杠杆有利于增加股权投资者的预期收益;而当杠杆率降至最优水平之下时,加杠杆有利于增加股权投资者的预期收益.

Influence of leverage on the return on equity

The core goal of the listed company's operation is to maximize the wealth of shareholders, expected return on equity is an important indicator to value the change of shareholders' wealth. This paper studies the impact of leverage on the expected return on equity of listed companies. And based on this, this paper discusses whether there is an optimal capital structure can maximize the expected return on equity. Due to the existence of financial distress costs and agency costs, it's difficult to discuss the optimal capital structure from the perspective of maximizing firm value, thus, it's more realistic to discuss this problem from the perspective of maximizing shareholder's wealth, implied cost of capital can represent the expected return on equity and reflect the change of shareholder's wealth. This paper uses Gebhardt-Lee-Swaminathan (GLS) model to measure implied cost of capital, and uses it to measure the expected return on equity. This paper empirically finds that the leverage ratio has a positive correlation with the return on equity of the listed company. The relationship between leverage ratio and expected return on equity appears to an inverse "U", when the leverage ratio is higher than the optimal level, deleveraging is beneficial to increase the expected return on equity, when the leverage ratio falls below the optimal level, increasing leverage can increase the expected return on equity.