信息不对称对中国上市公司现金持有水平及其价值影响研究

发布时间：2018-06-12 20:49

本文选题：现金持有 + 信息不对称　；参考：《华南理工大学》2012年博士论文

【摘要】：早在凯恩斯时期，经济学家就开始关注现金持有行为，放宽Modigliani-Miller定理的完美假说，更多学者不断从理论和实证上丰富和发展了对公司现金持有问题的研究。但是从检索的已有文献来看，关于信息不对称对公司现金持有问题研究的文献相当之少。信息不对称对公司现金持有量的影响以及对现金持有价值的影响，把公司管理者和外部投资者利益一致和不一致情况下的关于现金持有问题的理论联系起来，形成一个统一分析框架，是结合信息经济学和公司金融学对公司现金持有问题的一种探讨，丰富有关现金持有问题的理论研究。同时，作为流动性资产的现金是公司的血液，对公司运营的成败具有决定作用。通过研究信息不对称对中国上市公司现金持有的影响及这种影响的实质内涵揭示，，无论对上市公司的融资决策、公司治理，还是对证券市场信息环境建设、提高中国资本市场效率以及资源优化配置都具有重要的现实意义。本文以现金持有的权衡理论、融资优序理论、自由现金流理论和委托代理理论为基础，结合中国上市公司的特殊背景，分析信息不对称如何影响公司现金持有以及现金持有的价值。通过信息不对称对现金持有及其市场价值影响的实证研究，深入探讨公司现金持有的决定因素和现金持有价值的内涵。本论文着重解决一下几个问题：第一，通过文献综述找出本论文的切入点是什么？第二，中国上市公司现金持有状况及其相关制度背景如何？第三，信息不对称对公司现金持有水平及其价值影响的机理何在？第四，上市公司信息不对称如何直接测度？信息不对称对中国上市公司现金持有水平影响如何？第五，信息不对称对中国上市公司现金持有价值影响怎样？不同信息环境下，中国上市公司现金持有价值如何？在对现有文献进行归纳整理和分析的基础上，本文选择以信息不对称作为切入点对公司现金持有水平和现金持有价值的影响因素问题进行研究。用四个主要章节去解决本论文提出的主要问题。第三章以中国上市公司2001到2010年度、1710个公司、11043个数据，从公司财务数据和公司治理方面对公司现金持有现状进行分析，发现公司现金持有水平有不断增长的趋势，行业间和行业内的现金持有水平均有大幅的波动和不同。公司规模越大现金持有水平越低，托宾Q值越高，现金持有水平越高，国有股比例越高，现金持有水平越低；并且，对于股权制衡度高的公司现金持有水平较高，高管持股比例高的公司现金持有水平也较高；同时，结合中国资本市场的发展、公司治理的演进到信息披露制度的变化，分析相关制度背景，为后面章节的分析打下基础。第四章在分析比较各种信息不对称变量和替代变量的基础上，基于序贯交易模型和股价非同步波动模型，利用股票分笔交易数据及公司股票日收益率、市场收益率、行业收益率数据，直接测度上市公司的知情交易概率和股价非同步波动性作为信息不对称指标并具体分析中国上市公司信息不对称状况；同时，本章从静态和动态以及管理者和投资者利益是否一致等方面对信息不对称对现金持有量及其价值影响的机理建立相应的效用函数模型，并进行分析，为后面章节提出相应的理论假说和实证打下基础。第五章在借鉴Harford,Mansi,Maxwell(2008)模型的基础上，加入信息不对称变量，构建信息不对称对现金持有水平非平衡面板实证模型，实证结果表明，信息不对称与中国上市公司现金持有量呈显著负相关，支持自由现金流理论和委托代理理论，信息不对称程度越高，管理者越可能滥用现金。在信息不对称程度高的情况下，投资者没有能力去监督和约束管理者利用现金这种最便利的资产谋求私利。第六章在借鉴Dittmar,Mahrt-Smith(2007)模型的基础上，加入信息不对称变量，构建信息不对称对现金持有价值影响非平衡面板实证模型，实证结果表明，信息不对称与中国上市公司现金持有价值呈显著负相关，公司治理替代变量和现金持有价值显著正相关，支持自由现金流理论和委托代理理论，信息不对称程度越高，管理者越可能滥用现金，导致现金持有价值下降，而提高公司治理，加强投资者保护可以提高现金持有价值。同时，利用不同信息环境下，特别是在境外交叉上市的中国上市公司的数据强化了公司现金持有价值和信息环境及公司治理之间的上述研究结论。最后，在前面章节分析的基础上，给出了本研究的结论、政策启示以及研究展望。结论部分主要强调加强信息披露制度的建设、强化对投资者的保护力度以及提高上市公司的治理水平。
[Abstract]:In the period of Keynes, economists began to pay attention to cash holding behavior and broaden the perfect hypothesis of Modigliani-Miller theorem. More scholars have enriched and developed the research on corporate cash holdings theoretically and empirically. The influence of information asymmetry on the company's cash holdings and the value of cash holdings are associated with the theory of cash holding under the consistent and inconsistent interests of the corporate managers and external investors, forming a unified framework for the integration of information economics and corporate finance. A study of the problem of cash holding of a company enriches the theoretical study of the problem of cash holding. At the same time, cash as a liquidity asset is the blood of the company, which has a decisive role in the success or failure of the company's operation. It is of great practical significance to the financing decision of the listed companies, the corporate governance, the construction of the information environment of the securities market, the improvement of the efficiency of China's capital market and the optimal allocation of resources.
This paper, based on the trade-off theory of cash holding, optimal financing order theory, free cash flow theory and principal-agent theory, combines the special background of Chinese listed companies to analyze how information asymmetry affects the value of cash holdings and cash holdings. This paper focuses on the determinants of cash holdings and the connotation of cash holding value. This paper focuses on solving a few problems: first, what is the breakthrough point of this paper through literature review? Second, what is the situation of cash holding in China's listed companies and its related institutional background? Third, information asymmetry on Corporate Cash Holdings What is the mechanism of the impact of the level and its value? Fourth, how to measure the information asymmetry of listed companies directly? How does information asymmetry affect the level of cash holding in Chinese listed companies? Fifth, how does information asymmetry affect the value of cash holdings of Chinese listed companies? In different information environment, the value of cash holdings of Chinese listed companies is such as What?
On the basis of summarizing and analyzing the existing literature, this paper chooses the information asymmetry as a breakthrough point to study the influence factors of the company's cash holding level and the value of cash holding. Four main chapters are used to solve the main problems proposed in this paper.
The third chapter, from 2001 to 2010 of Chinese listed companies, 1710 companies and 11043 data, analyzes the current situation of company cash holdings from corporate financial data and corporate governance, and finds that there is a growing trend in the level of cash holding in the company, and the level of cash holding between industries and industries is greatly fluctuated and different. The higher the level of the cash holdings, the higher the Q Q value, the higher the cash holding level, the higher the proportion of the state-owned shares, the lower the cash holding level, and the higher level of cash holding for the companies with high balance of equity and the higher level of cash holding in the company with high proportion of senior executives; meanwhile, the corporate governance is combined with the development of the Chinese capital market. The evolution of theory to the change of information disclosure system, analysis of the relevant institutional background, lay a foundation for the analysis of the following chapters.
The fourth chapter, based on the analysis and comparison of various information asymmetry variables and alternative variables, based on the sequential transaction model and the non synchronous volatility model of the stock price, uses the stock transaction data and the company's stock daily yield, the market return rate and the industry return data, to directly measure the informed trading probability and the non synchronous fluctuation of the stock price on the market. As an indicator of information asymmetry and specific analysis of information asymmetry in China's listed companies, this chapter sets up a corresponding function model for the mechanism of information asymmetry on cash holdings and its value from the static and dynamic conditions, as well as whether the interests of managers and investors are consistent. The section puts forward the corresponding theoretical hypothesis and empirical evidence to lay the foundation.
The fifth chapter, on the basis of Harford, Mansi and Maxwell (2008) model, constructs an asymmetric information asymmetry panel model with information asymmetry variables. The empirical results show that information asymmetry is negatively correlated with the cash holdings of Chinese listed companies, and supports free cash flow theory and principal-agent theory. The higher the information asymmetry, the more likely the manager is to abuse the cash. In the case of high information asymmetry, investors have no ability to supervise and restrict managers to use the most convenient assets, such as cash, to seek private benefits.
The sixth chapter, on the basis of Dittmar and Mahrt-Smith (2007) model, joins the information asymmetry variable to construct an asymmetric panel empirical model on the impact of information asymmetry on the value of cash holdings. The empirical results show that information asymmetry is negatively correlated with the value of cash holding of Chinese listed companies, the replacement variables of corporate governance and cash holding. There is a significant positive correlation, supporting free cash flow theory and principal-agent theory. The higher the information asymmetry, the more likely the managers misuse cash, which leads to the decline in the value of cash holdings, and the improvement of corporate governance and the enhancement of investor protection can improve the value of cash holding. The data of Chinese Listed Companies in the city strengthen the above research conclusions between cash holding value, information environment and corporate governance.
Finally, on the basis of the analysis in the preceding chapter, the conclusion of this study, policy inspiration and research prospect are given. The conclusion is mainly emphasized on strengthening the construction of information disclosure system, strengthening the protection of investors and improving the governance level of listed companies.
【学位授予单位】：华南理工大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F275;F832.51;F224

【引证文献】