金融资产配置与违约风险:蓄水池效应,还是逐利效应?  

Financial Asset Allocation and Default Risk: The Reservoir Effect versus the Profit-Seeking Effect

作　　者：邓路[1] 刘欢 侯粲然 DENG Lu;LIU Huan;HOU Canran(School of Economics and Management,Beihang University;School of Business,Beijing Technology and Business University;School of Economics and Management,Beijing University of Posts and Telecommunications)

机构地区：[1]北京航空航天大学经济管理学院,北京100191 [2]北京工商大学商学院,北京100048 [3]北京邮电大学经济管理学院,北京100876

出　　处：《金融研究》2020年第7期172-189,共18页Journal of Financial Research

基　　金：国家自然科学基金项目(71772011,71572007,71802009)的资助。

摘　　要：本文以2007—2016年中国A股上市公司为研究对象,检验了企业金融资产配置对违约风险的影响。实证研究发现:金融资产持有量越多,企业的违约风险越低,金融资产配置的"蓄水池效应"显著;在货币政策宽松时期,金融资产配置导致的代理冲突显现,宽松的货币政策会抑制金融资产投资对违约风险的降低作用。政府规制也会有一定的公司治理作用,将产业政策纳入讨论发现:对于产业政策支持的行业来说,企业金融资产配置能够降低违约风险,但是宽松的货币政策会刺激管理层的短视投资行为,抑制政府规制的公司治理作用。进一步地,本文提出会计稳健性的提升是企业金融资产配置降低违约风险的重要路径。本文的研究结论丰富了企业金融资产配置动机和违约风险影响因素的讨论,能够为政府部门防范经济运行中的内在风险提供有益借鉴。As China adjusts to its new stage of economic development and the globalization of trade and finance, corporate investment enthusiasm is waning. This is due to the reduced profits of traditional industries, a decline in the labor force and a lower labor-capital ratio. Stocks, bonds, some financial derivatives and other financial assets have become the hot areas of corporate investment. Debt default is a major disruptive event in a firm’s operation and the default risks of both private firms and state-owned enterprises have been rising since March 2014, meaning that lowering the debt risk of enterprises has become a focus of local government departments. Chiang et al.(2015) and Brogaard et al.(2017) construct a simplified default probability model based on the work of Bharath and Shumway(2008), who document that corporate default risk is closely related to the absolute value and the volatility of asset values, suggesting that better corporate governance mitigates corporate default risk.From a micro perspective, a firm’s financial asset allocation decision is influenced by two mechanisms, the reservoir effect and the profit-seeking effect. The reservoir effect arises because financial assets can stabilize a company’s income and reduce the company’s financing costs, both of which enhance the company’s development potential. An implication of the profit-seeking effect is that holding too many financial assets threatens a firm’s main business, inhibits the productivity of its physical investment and damages its long-term development. We focus on the agency cost in the financial asset allocation decision. We show that if the reservoir effect is the main driver of the financial asset allocation decision, financial asset investments arise from a strategic choice made by management to maintain the stable development of the enterprise, which reduces the agency cost. If the profit-seeking effect dominates, financial asset investments are the result of management myopia and so aggravate the agency conflicts betwe

关 键 词：金融资产配置 违约风险 货币政策 产业政策 

分 类 号：F832.51[经济管理—金融学] F275