中国企业的融资约束：特征现象与成因检验  

The Financial Constraints in China

作　　者：邓可斌[1] 曾海舰[2] 

机构地区：[1]广东外语外贸大学财经学院、广东国际战略研究院,510420 [2]广西大学商学院,530004

出　　处：《经济研究》2014年第2期47-60,140,共15页Economic Research Journal

基　　金：国家自然科学基金项目(批准号:71003030,71263008);广东省人文社科重大攻关项目(11ZGXM63005);国家社科基金青年项目(12CJY047);教育部“创新团队发展计划”项目(IRT1224);教育部人文社会科学研究项目基金(12YJC790032);广东省自然科学基金项目(S2013010013890);广东省哲学社会科学青年项目(GD11YYJ02)的资助

摘　　要：本文总结现有融资约束理论逻辑下四个彼此紧密关联的特征现象:融资约束与公司股票收益正相关、融资约束引致企业特质风险的增加、主导小规模效应、促使企业生产效率提升;且其中后三个现象是第一个现象的具体解释。接着,本文使用可准确区分"融资约束"与"财务紧张"概念的动态模型结构估计方法计算沪深上市公司的WW融资约束指数,对以上特征现象逐一进行实证检验。结果发现,只有第一个现象在我国存在。进一步的探索性实证研究则表明,中国企业融资约束很可能源于政府对经济的干预从而融资渠道外生于市场,而非市场竞争中的摩擦引致的流动性约束。由此,融资约束成为系统性风险并对公司股票预期收益产生显著为正的影响。Existing finance theories suggest that the financial constraints risk is closely related to market incompleteness and undiversifiable. The more serious the financial constraints, the higher the idiosyncratic risk, the more technological innovation output there will be, with stock investors gaining more abnormal returns. What is more, the financial constraints risk can give an explanation to the size effect. However, our study on Chinese listed firms has found that although the financial constraints risk has a significantly positive correlation with the abnormal stock returns, it has a significantly positive correlation with neither idiosyncratic risk nor technological innovation output. Another finding is, in our evidences, the financial constraints risk cannot explain the size effect. In this paper, our exploratory empirical study shows that the financial constraints risk in Chinese firms is due in large part to government intervention, rather than market friction and liquidity constraints, which cancels out the incentive effect of financial constraints risk on technological innovation.

关 键 词：融资约束 不可分散风险 超额收益率 产品市场竞争度 规模效应 

分 类 号：F279.2[经济管理—企业管理] F275[经济管理—国民经济]