投资—现金流敏感性:融资约束还是代理成本?  

Investment-Cash Flow Sensitivity:Financial Constraints or Agency Costs?

作　　者：连玉君[1] 程建[1] 

机构地区：[1]西安交通大学金禾经济研究中心,陕西西安710049

出　　处：《财经研究》2007年第2期37-46,共10页Journal of Finance and Economics

摘　　要：文章在控制Tobin’s Q衡量偏误的前提下,重新审视了中国上市公司的投资—现金流敏感性问题。结果表明,在控制衡量偏误的影响下,投资支出仍然对现金流非常敏感。然而,不同于前期研究,文章发现融资约束程度轻的公司反而表现出更强的投资—现金流敏感性。对此“反常”现象的动因检验表明:融资约束程度轻的公司倾向于过度投资,代理问题是导致现金流敏感性的主要原因;而融资约束较为严重的公司则表现为投资不足,信息不对称是导致现金流敏感性的主要原因。The paper reinvestigates the investment-cash flow sensitivity of listed firms in China with the measure error of Tobin＇ s Q being controlled. The result shows that investment is still sensitive to the cash flow even when we control the measure error of Tobin＇s Q. However, we find that firms that are less financial constrained exhibit greater investment-cash flow sensitivity than those classified as more financial constrained. The motive test on this ＂abnormal＂ result shows that., firms that are less financial constrained tend to overinvest, with the investment-cash flow sensitivity induced by agency costs, while those that are more financial constrained tend to underinvest, with the investment-cash flow sensitivity induced by asymmetric information.

关 键 词：投资 现金流 融资限制 代理成本 面板向量自回归模型 

分 类 号：F830.9[经济管理—金融学]