企业现金持有对投资的平滑作用研究

发布时间：2018-01-22 09:34

本文关键词： 现金持有投资平滑企业特征行业竞争特征　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：投资和融资是企业最重要的两项财务决策，两者密不可分。高昂的投资调整成本，迫使企业努力维持投资的相对平对平稳，企业具有很强的投资平滑动机。要保持投资的平稳需要有资金的支撑，而信息不对称、交易成本等因素的客观存在，导致企业外部融资成本增加，而内部现金流本身具有很大的不确定性，这使得企业投资平滑目标的实现变得更加困难。现金持有作为企业内部融资的重要来源，其对于企业投资的作用近年来受到了越来越多的关注，然而现金持有对企业投资平滑目标的实现具有怎样的作用及其作用机制如何却鲜有研究。本文首先以我国沪、深两市A股上市企业2000-2011年的面板数据为样本，基于带有凸性调整成本的动态欧拉方程投资模型，采用两步系统GMM估计方法，实证检验了现金持有在中国上市企业投资中的总体平滑作用。实证结果表明，我国企业投资具有良好的惯性和很高的调整成本，企业投资平滑动机明显；企业当期现金持有增量对投资有显著的反向作用，而期初现金持有存量对其有显著的正向作用，表明企业通过降低现金持有水平、释放流动性的方式来平滑其投资，而投资波动被平滑的程度则取决于企业期初的现金持有存量。在此基础上，通过分组回归分析，本研究重点考察了融资受限程度、现金流风险和对冲需求三个企业特征对现金持有投资平滑作用的影响。分组回归结果表明，在高融资受限、高现金流风险以及高对冲需求的企业中，现金持有对投资具有显著的平滑作用；而在融资受限程度较低、现金流风险和对冲需求较小的企业中，现金持有对投资的平滑作用不显著。同时，本文还从行业间和行业内两个维度，考察了市场集中度以及行业内企业之间的经营相似度两个行业竞争特征对现金持有投资平滑作用的影响。实证结果表明，处于高市场集中度行业以及企业间经营相似度高的行业中的企业，其现金持有对投资具有显著的平滑作用；而处于低市场集中度和低经营相似度行业中的企业，，其现金持有在投资平滑过程中的作用不显著。本文实证检验了现金持有在企业投资中的平滑作用并分析了其作用机理，揭示了企业流动性与投资决策之间的联系，进一步深化了对企业现金持有及其价值的理解。本文的研究发现不仅丰富了关于现金持有与企业投资的研究成果，也为我国上市公司的现金持有政策和投资决策提供了一定的理论依据和实践指导。
[Abstract]:Investment and financing are the two most important financial decisions, the two are inseparable. The high cost of investment adjustment forces enterprises to strive to maintain a relatively smooth investment. Enterprises have a strong investment smooth motivation. To maintain the stability of investment needs the support of funds, and information asymmetry, transaction costs and other factors objective existence, resulting in an increase in external financing costs. However, the internal cash flow itself has great uncertainty, which makes it more difficult to achieve the smooth target of enterprise investment. Cash holding is an important source of internal financing. In recent years, more and more attention has been paid to the effect of cash holding on enterprise investment. However, there is little research on how cash holding plays an important role in the realization of smooth investment goal and how it works. Based on the panel data of A share listed companies in Shanghai and Shenzhen stock markets from 2000 to 2011, this paper bases on the dynamic Euler equation investment model with convexity adjustment cost. Using the two-step system GMM estimation method, the paper empirically tests the overall smoothing effect of cash holding in the investment of listed enterprises in China. The empirical results show that the investment of Chinese enterprises has good inertia and high adjustment cost. The smooth motive of enterprise investment is obvious; The current cash holding increment has a significant reverse effect on the investment, while the initial cash holding stock has a significant positive effect on it, which indicates that the enterprise can reduce the cash holding level. The way in which liquidity is released smoothes its investments, and the degree to which investment volatility is smoothed depends on the amount of cash held by the firm at the beginning of the period. On this basis, through grouping regression analysis, this study focuses on the extent of financing constraints. The influence of three characteristics of cash flow risk and hedging demand on the smooth effect of cash holding investment. The result of grouping regression shows that in the enterprises with high financing limitation, high cash flow risk and high hedging demand. Cash holding has a significant smoothing effect on investment; However, cash holding has no significant smoothing effect on investment in the enterprises with low financing constraints and low cash flow risk and hedging demand. At the same time, this paper also from the inter-industry and intra-industry dimensions. The effects of market concentration and business similarity on the smoothness of cash holding investment are investigated. The empirical results show that. In the industry of high market concentration and the industry with high business similarity, the cash holding has a significant smoothing effect on the investment. However, in the industries of low market concentration and low operating similarity, the cash holding of enterprises is not significant in the process of investment smoothing. This paper empirically tests the smooth function of cash holding in enterprise investment, analyzes its mechanism, and reveals the relationship between corporate liquidity and investment decision. Further deepen the understanding of corporate cash holdings and their value. The findings of this paper not only enrich the research results on cash holdings and corporate investment. It also provides some theoretical basis and practical guidance for cash holding policy and investment decision of listed companies in China.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51

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