产业上市公司的金融资产：市场效应与持有动机  

The Financial Assets of Industrial Listed Corporations:The Market Effect and Holding Motivation

作　　者：闫海洲[1] 陈百助[2] YAN Haizhou;CHEN Baizhu(Shanghai University of International Business and Economics;University of Southern California)

机构地区：[1]上海对外经贸大学金融管理学院、金融发展研究所,200021 [2]美国南加州大学马歇尔商学院

出　　处：《经济研究》2018年第7期152-166,共15页Economic Research Journal

基　　金：国家社会科学基金青年项目(13CJY098);国家社会科学基金重大项目(15ZDA058);上海市浦江人才计划;上海市教委重点课程建设(2017)项目的资助

摘　　要：基于公司金融现金持有理论,本文对产业部门上市公司持有风险金融资产的市场价值进行了检验,发现产业部门公司持有风险金融资产对其股票回报产生负向的作用,这种效应在融资约束公司表现更加强烈,而企业不同盈利能力与风险金融资产的负向价值效应之间具有非线性关系。本文继而对产业公司持有风险金融资产的动机进行了讨论,发现公司持有总体金融资产组合与风险金融资产之间有正向的关系,特别是那些公司治理水平较差、管理层过度自信和多元化经营特征的企业更倾向于持有更多的风险金融资产。本文丰富了现金持有和资产定价理论,有助于厘清产业部门和金融部门的边界,同时对我国当前金融风险控制、资本市场健康发展以及金融"脱虚入实"等问题有明显的政策含义。Summary： Many Chinese non-financial firms have invested heavily in non-cash financial assets. This is viewed by the media as evidence that Chinese non-financial firms are not engaging in their core businesses. This is the first paper to comprehensively study this phenomenon. Based on a hand-collected dataset of listed firms in China＇s stock market covering 2007 to 2014, our empirical research finds that 69.2% of listed non-financial firms have invested in risky financial assets, which account for 5.6% of their book value and 24.1% of their total financial asset portfolio. Inspired by the cash holding theory, we examine the causality and find a negative causal effect between stock returns and the risky financial asset holding of industrial listed firms. This negative causal effect is particularly salient for financially constrained firms. Our research ＂also shows that there is a non-linear relationship between the negative causal effect and firm profitability. We discuss the motivation for risky financial asset holdings by non-financial firms. We find that there is a positive relationship between financial asset holdings and risky financial asset holdings. Our results show that firms with poor governance, overconfident management, and diversified business are more likely to hold risky financial assets. To correct for the bias caused by the abnormal investment behavior of newly listed firms, we use balanced panel data to re-estimate the models. The results are the same. This article makes the following contributions to the literature. First, this is the first paper to our knowledge to do such a study in a developing country with an imperfect capital market. We discuss systematically the market effect and the motivation for financial asset holdings by non-financial listed companies in the industrial sector in China. Our paper fills the gap left by studies such as Brown （2014） , Song ＆ Lu （2015） and Duehin et al. （2016）. Second, by considering development and innovations in the financial market,

关 键 词：产业部门 金融资产 市场效应 持有动机 

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