中国上市公司的投资对现金流敏感性分析

发布时间：2018-08-28 16:49

【摘要】：投资和融资决策的关系是公司金融中热点的问题。由于税收,发行成本,代理问题,信息不对称问题的存在,一个公司的融资决策可以影响这个公司的投资决策,而公司内部资金成本与外部资金成本的差异会改变公司经理投资不同项目的动机。作为公司成长和未来现金流增长的重要基础,投资对公司的盈利水平、经营风险以及资本市场对其发展的评价都有着重要的影响。公司的投资行为是影响宏观经济和微观经济的运行以及资本市场运行的重要因素。投资与现金流的敏感性研究的是公司内部的现金流与企业投资之间的关系。这也是近20年来西方财务理论研究的热点之一,西方很多学者的实证研究都发现了企业的内部现金流与投资支出存在显著的正相关关系。西方学者给出了两种主要的理论来解释投资与现金流之间的敏感性,一种解释是信息不对称理论,使得公司内部资金的使用成本低于外部资金的使用成本,使得公司更偏好将内部现金流作为投资的来源；另一种解释是代理问题,由于公司的管理层与股东的目标不一致使得公司的管理层滥用公司的内部现金流。本文通过选取了2011年的1600多个在沪深证券交易所上市的上市公司作为样本,以托宾Q模型作为模型依据,以最小二乘法线性回归为基本方法,对中国上市公司的投资现金流敏感性作了分析,检验中国的上市公司是否存在投资对现金流的敏感性,结果发现中国上市公司的投资与现金流显著正相关的,而投资与托宾Q之间却没有表现出明显的关系。而通过公司的规模大小对公司进行分类后我们发现,大规模公司的投资与现金流之间的敏感性系数较高,而小规模公司投资与现金流之间并没有很明显的线性关系。通过公司的债务规模对公司进行分类后我们发现,债务规模较大的公司的投资对现金流的敏感性较大,债务规模较小的公司的投资与现金流之间没有显著的线性关系。最后我们按照公司收到融资约束的大小对公司进行分类,验证融资约束对公司的投资现金流敏感性的影响。结果发现融资约束小的公司的投资和现金流之间有较大的相关性,而受融资约束较大的公司的投资和现金流之间没有明显的线性关系。最后一部分内容是对前面的理论分析和实证结果的总结,以及针对这些现状所提出的建议。本文的贡献主要有以下两点：其一是将上市公司的股票价格变化加入投资与现金流关系当中,在以往的国内研究中作者大多只考虑托宾Q值以及现金流对投资的影响,并没有将公司股票价值的变化加入到自变量当中。其二是以流入公司的自由现金流为划分标准将公司划分为受到融资约束的公司和不受融资约束的公司。
[Abstract]:The relationship between investment and financing decision is a hot issue in corporate finance. Because of the problems of taxation, issue cost, agency and information asymmetry, the financing decision of a company can influence the investment decision of the company. The difference between internal and external capital costs will change the motivation of managers to invest in different projects. As an important basis for the growth of the company and the future cash flow growth, investment has an important impact on the profit level of the company, the operating risk and the evaluation of the development of the capital market. The investment behavior of the company is an important factor that affects the operation of macro economy and micro economy as well as the operation of capital market. The sensitivity of investment and cash flow is the relationship between cash flow and firm investment. This is also one of the hotspots in the western financial theory research in the past 20 years. Many western scholars have found that there is a significant positive correlation between the internal cash flow and the investment expenditure. Western scholars have given two main theories to explain the sensitivity between investment and cash flow. One is the information asymmetry theory, which makes the cost of using internal funds lower than that of external funds. It makes the company prefer to use the internal cash flow as the source of investment; another explanation is the agency problem, because the management of the company misuses the company's internal cash flow because the objectives of the management and the shareholders are inconsistent. In this paper, more than 1600 listed companies listed on the Shanghai and Shenzhen Stock Exchange in 2011 are selected as samples, the Tobin Q model is taken as the basis of the model, and the least square linear regression method is used as the basic method. This paper analyzes the sensitivity of Chinese listed companies' investment cash flow, tests whether Chinese listed companies have the sensitivity of investment to cash flow, and finds that there is a significant positive correlation between Chinese listed companies' investment and cash flow. However, there is no obvious relationship between investment and Tobin Q. We find that the sensitivity coefficient between investment and cash flow of large scale companies is higher than that between small firms' investment and cash flow, but there is no obvious linear relationship between investment and cash flow. Through the classification of the company's debt size, we find that the investment of the larger debt company is more sensitive to the cash flow, and there is no significant linear relationship between the investment and the cash flow of the company with the smaller debt size. Finally, we classify the company according to the size of the financial constraints received by the company, and verify the influence of the financing constraints on the sensitivity of the company's investment cash flow. The results show that there is a significant correlation between the investment and cash flow of the company with small financing constraints, but there is no obvious linear relationship between the investment and cash flow of the firm with the larger financing constraint. The last part is a summary of the previous theoretical analysis and empirical results, as well as the recommendations for these situations. The main contributions of this paper are as follows: first, the change of stock price of listed companies is added to the relationship between investment and cash flow. In previous domestic studies, most of the authors only consider Tobin Q value and the influence of cash flow on investment. The change in the value of the company's stock is not added to the independent variable. The other is to divide the company into two categories: the company which is restricted by the financing and the company which is not restricted by the financing according to the standard of free cash flow flowing into the company.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

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