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选取12个国家地区制造业上市公司2004-2008年的公司特征数据和国家宏观经济指标,研究国际间资本结构动态决定的宏观与微观因素的协整作用关系.主要发现有:一是发达国家对于现代资本结构理论假设条件和关系诠释比发展中国家更为贴近,发展中国家公司特征因素与目标资本结构的关系异象根源于特定经济制度背景;二是克服截面数据POOL回归分析法忽视国别差异因素的缺陷,通过国别哑变量和沃尔德F统计量检验得出,不同国家的公司资本结构微观特征决定因素存在定量上的差异;三是选用能够克服异方差问题的国别哑变量系数标准化为权重的加权最小二乘法回归表明,国家宏观经济法律因素直接或者通过公司特征指标间接作用于国际资本结构决策.
The paper chooses the company characteristic data and national macroeconomic indexes of manufacturing listed companies from 2004 to 2008 in 12 countries to study the cointegration relationship between macro and micro factors dynamically determined by the international capital structure.The main findings are as follows: The hypothesis of modern capital structure theory and the relationship between the interpretation of more closely than the developing countries, developing countries, the characteristics of the company and target capital structure of the relationship between the root cause of specific economic system background; the second is to overcome the cross-sectional data POOL regression analysis ignores the country Differences in the factors of the deficiencies, through the country dummy variables and Wal-Mart F statistics test concluded that the capital structure of different countries, the micro-structure of the determinants of the factors there are quantitative differences; Third, the choice of the ability to overcome the heteroscedasticity problem of the country dummies Weighted least squares regression with coefficients normalized to weights shows that national macroeconomic law directly or through the company’s characteristic indicators indirectly affect international capital structure decisions.