信息不对称、融资约束与投资—现金流敏感性——基于市场微观结构理论的实证研究  

Information Asymmetry and Investment-Cash Flow Sensitivity:An Empirical Research Based on Market Microstructure Theory

作　　者：屈文洲[1] 谢雅璐[1] 叶玉妹[1] 

机构地区：[1]厦门大学管理学院财务学系,361005

出　　处：《经济研究》2011年第6期105-117,共13页Economic Research Journal

基　　金：国家自然科学基金项目(70772095、70632001);教育部“新世纪优秀人才支持计划”;“霍英东教育基金会第十一届高等院校青年教师基金资助项目”(111090);“福建省杰出青年科学基金资助项目”(2010J06019)的共同资助

摘　　要：投资—现金流敏感性研究是当前投资理论研究的主流方向之一。当前针对这一问题的研究还存在着诸多争议,其中公司融资约束程度的度量问题是争论的焦点。本文借鉴市场微观结构理论中的信息不对称指标PIN值作为融资约束的代理指标,研究发现:信息不对称水平越高,则公司的投资支出越低。进一步的检验发现,信息不对称水平较高的公司,其投资—现金流敏感性也较高,并且信息不对称导致的融资约束与投资—现金流敏感性的关系并不是线性的。本文的研究不仅体现了新的研究视角、方法和思路,丰富了投资—现金流敏感性领域的相关文献,而且可以为我国资本市场的完善和企业的投融资决策提供参考。Investment-cash flow sensitivity is one of the main topics in investment theory research. Currently, the hottest debates are how to measure the financial constraint and what the relationship between financial constraint and cash-flow sensitivity is. We use PIN, which is a direct measurement for information asymmetry, as the measurement of financial constraint. This measurement is based on microstructure theory and calculated by using high-frequency data from capital market. Our analyses prove that the higher the information asymmetry is, the lower firm investment will he. Further, we also find the higher the information asymmetry is, the higher investment-cash flow sensitivity will be, namely higher financial constraint would bring higher investment-cash flow sensitivity. We also exam the monotonicity between investment- cash flow sensitivity and financial constraint, which shows that there is an unmonotonicity relationship between financial constraint and investment-cash flow sensitivity.

关 键 词：投资一现金流敏感性 信息不对称 市场微观结构 

分 类 号：F275[经济管理—企业管理] F224[经济管理—国民经济]