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本文采用因素模型和ICC模型分别估计了A股市场上非金融类上市公司的股权融资成本,继而检验了上市公司企业投资的资本成本敏感性。另外,本文研究了股权分置改革是否提升了上市公司企业投资的资本成本敏感性,且比较了国有控股企业、私营企业和外资企业的加权资本成本敏感性。本文实证结果显示:(1)因子模型框架下,企业投资的加权资本成本敏感性显著为正,而在ICC框架下,企业投资的加权资本成本敏感性显著为负;(2)股权分置改革完成后,A股非金融类上市公司企业投资的加权资本成本敏感性的显著程度和绝对程度都出现了明显的提升;(3)国有控股企业的加权资本成本与股权部分的显著性远低于私营企业和外资企业,且国有控股企业的加权资本成本与股权部分回归系数的绝对值远低于私营企业和外资企业。
In this paper, we use the factor model and the ICC model to estimate the equity financing costs of non-financial listed companies in the A-share market, and then test the capital cost sensitivity of listed companies’ corporate investment. In addition, this paper studies whether the non-tradable share reform enhances the capital cost sensitivity of listed companies’ corporate investment and compares the weighted capital cost sensitivity of state-controlled enterprises, private-owned enterprises and foreign-funded enterprises. The empirical results show that: (1) Under the framework of the factor model, the sensitivity of the weighted capital cost of business investment is significantly positive while under the ICC framework, the sensitivity of the weighted capital cost of business investment is significantly negative; (2) After the completion, the significant degree and absolute degree of the weighted capital cost sensitivity of the A-share non-financial listed companies increased significantly. (3) The significance of the weighted capital cost and the equity part of the state-controlled enterprises was far below Private enterprises and foreign-funded enterprises, and the absolute value of the weighted coefficient of the capital cost of the state-controlled enterprises and the equity regression coefficient is much lower than that of the private-owned enterprises and the foreign-funded enterprises.