现金-现金流敏感性:融资约束还是收入不确定?  

The Cash Flow Sensitivity of Cash:Financial Constraint or Income Uncertainty?

作　　者：李春霞[1] 田利辉[1] 张伟 

机构地区：[1]南开大学金融发展研究院

出　　处：《经济评论》2014年第2期115-126,共12页Economic Review

基　　金：教育部重大课题攻关项目"利率市场化背景下的金融风险研究"(项目编号:13JZD006);国家自然科学基金面上项目"私募股权;发行上市和我国企业绩效研究"(项目编号:71272179)资助

摘　　要：Almeida等(2004)、Riddick和Whited(2009)指出信息不对称和收入不确定性会影响到公司的现金-现金流敏感性。本文采集了1998-2011年沪深A股上市公司的微观数据,采用广义矩估计等方法,检验了信息不对称和收入不确定性理论对中国上市公司现金持有变化和现金流之间关系的影响。实证结果显示,融资约束公司现金-现金流敏感性是正的,而非融资约束公司的这一敏感性为负。本文进一步建立的动因检测模型显示,在融资约束公司中,现金流波动增加了上市公司现金持有的动机,降低了投资支出;而在非融资约束公司中,现金流波动增加了投资支出,但对现金持有影响不明显。这一结果说明融资约束公司的正现金-现金流敏感性由信息不对称所致,非融资约束公司的负现金-现金流敏感性由收入不确定性所致。Almeida et al. （2004） and Riddick ＆ Whited （2009） consider asymmetric information and income uncertainty may affect cash flow sensitivity of cash. This paper investigates asymmetric information and income uncertainty on how to affect simultaneously cash flow sensitivity of cash. We use GMM regression method based on Chinese Listed Companies from 1998 to 2011. The results show that the cash flow sensitivity of cash is positive for financially constrained firms, while it is negative for financially unconstrained firms. We further find cash flow volatility increases the motivation of cash holdings and decreases the investment for financially constrained firms. On the contrary, cash flow volatility increases the investment and has no significant effect on cash holdings for financially unconstrained firms. That may illustrate the positive cash flow sensitivity of cash is resulted from asymmetric information effect in the financially constrained firms, and the negative sensitivity from income uncertainty effect in the financially unconstrained firms.

关 键 词：融资约束 信息不对称 收入不确定 现金-现金流敏感性 

分 类 号：F275[经济管理—企业管理] F832.51[经济管理—国民经济] F224