公司现金持有量与股票横截面收益率:基于中国股市的实证分析
发布时间：2018-09-02 09:16
【摘要】：近年来国外学者分别从公司持有现金的预防性动机和市场时机理论的角度出发,认为公司现金持有量与股票收益率之间存在正的、或者负的关联。本文基于中国股市数据实证检验结果表明,中国公司现金持有量并不影响股票横截面收益率。我们认为导致这个结果的原因在于中国股市的不成熟,股市长期的同涨同跌使得公司面临的总量风险较大,公司出于预防性动机普遍持有大量现金,现金持有量因此不能反映出单个公司面临的风险大小差别。
[Abstract]:In recent years, from the perspective of precautionary motivation and market opportunity theory, foreign scholars think that there is a positive or negative correlation between cash holdings and stock returns. The empirical results based on Chinese stock market data show that Chinese companies' cash holdings do not affect the cross-section return. We believe that the reason for this result is that the Chinese stock market is immature. The long-term rise and fall of the stock market has made the total risks facing companies greater. Companies generally hold large amounts of cash out of precautionary motives. Cash holdings therefore do not reflect differences in the size of the risks faced by individual companies.
【作者单位】： 武汉大学经济与管理学院;
【基金】：国家自然科学基金管理科学部面上项目(70872035) 教育部人文社会科学规划基金面上项目(08JA630059) 武汉大学自主科研项目(人文社会科学)研究成果 “高校基本科研业务费专项资金”资助
【分类号】：F832.51;F275.1;F224
[Abstract]:In recent years, from the perspective of precautionary motivation and market opportunity theory, foreign scholars think that there is a positive or negative correlation between cash holdings and stock returns. The empirical results based on Chinese stock market data show that Chinese companies' cash holdings do not affect the cross-section return. We believe that the reason for this result is that the Chinese stock market is immature. The long-term rise and fall of the stock market has made the total risks facing companies greater. Companies generally hold large amounts of cash out of precautionary motives. Cash holdings therefore do not reflect differences in the size of the risks faced by individual companies.
【作者单位】： 武汉大学经济与管理学院;
【基金】：国家自然科学基金管理科学部面上项目(70872035) 教育部人文社会科学规划基金面上项目(08JA630059) 武汉大学自主科研项目(人文社会科学)研究成果 “高校基本科研业务费专项资金”资助
【分类号】：F832.51;F275.1;F224
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