自由现金流量创造力与违约风险——来自A股公司的经验证据  

Free Cash Flow Productivity and Default Risk:Evidence from A-Share Listed Companies

作　　者：谢德仁[1] 刘劲松 XIE Deren;LIU Jinsong(School of Economics and Management,Tsinghua University;Business School,Sichuan University)

机构地区：[1]清华大学经济管理学院,北京100084 [2]四川大学商学院,四川成都610064

出　　处：《金融研究》2022年第12期168-186,共19页Journal of Financial Research

基　　金：清华大学经济管理学院研究基金(2020051009);清华大学中国现代国企研究院研究基金(iSOEYB202102);2022年建设世界一流大学经费-提升自主创新和社会服务能力管理科学与国家治理(20502044C3001)的资助。

摘　　要：本文基于我国A股上市公司数据,研究了企业自由现金流量创造力与违约风险之间的关系。研究发现:(1)企业自由现金流量创造力越强,其违约风险越低。经过一系列稳健性检验后,该结论依旧成立。(2)自由现金流量创造力越强的企业往往有更低的债务规模、更高的资产收益率和更低的股票波动,因而其违约风险更低。(3)自由现金流量创造力与违约风险的负相关关系,主要存在于货币政策紧缩时期以及外部信息环境较差的企业。本文发现意味着,监管部门和投资者应重视上市公司自由现金流量创造力不足所带来的潜在债务违约风险,通过不断提高公司自由现金流量创造力,助力我国宏观经济与微观企业高质量发展。The default risk of Chinese firms,which has been increasing since 2014,has attracted significant attention from the government and market participants.Accordingly,reducing default risk is essential for reforming the economy and instigating high-quality development.A number of recent studies focus on the default risk of Chinese firms.These studies examine various determinants of default risk,such as corporate strategies,innovation,financial asset allocation,labor costs and implicit government guarantees.However,few studies examine how free cash flow productivity,a fundamental attribute of firms,affects firm default risk.In the long run,the criterion for judging the development quality of a firm is whether it can sustainably create value for capital providers.In turn,the ability to create value for capital providers relies on whether the firm can persistently produce cash value added.A high-quality development firm should demonstrate sustainable productivity on cash value added,which first requires the firm to attain persistent free cash flow productivity.Thus,rather than using financing cash inflows to pay capital providers,a high-quality firm should generate operating cash flow above and beyond its investments and the required return to its creditors and shareholders.We propose that there are three mechanisms by which free cash flow productivity can reduce default risk:first,firms with higher free cash flow productivity are more likely to rely on lower-cost internal financing to cover their investments and less on debt financing;second,firms with higher free cash flow productivity have higher quality assets and higher return on assets;and third,a high level of free cash flow productivity in the long run implies sustainable profitability,which in turn leads to a more transparent information environment and less uncertainty about the value of firm assets.This paper empirically examines whether free cash flow productivity affects default risk.Specifically,following the literature on free cash flow,this paper measure

关 键 词：自由现金流量 违约风险 高质量发展 

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