融资约束指数设计与有效性评价——基于中国A股上市公司平行面板数据的实证分析

发布时间：2018-04-04 03:23

本文选题：融资约束指数　切入点：股权融资政策　出处：《现代财经(天津财经大学学报)》2012年07期

【摘要】：本文基于中国证券市场股权融资政策约束,利用二分法提出以是否实施股权融资为分析起点的融资约束判别模型,对我国A股上市公司的融资约束状态进行判别;并选取每股股利变化、公司规模、财务松弛、现金流量占总资产的比重和营业收入增长率5个识别融资约束状态的财务指标,采用ordered logistic回归模型构建融资约束指数。在此基础上,一方面以该指数作为融资约束高低的判别标准,检验不同约束组别现金-现金流敏感度的差异;另一方面将该指数作为实际投资水平的约束条件建立随机前沿方程,以检验融资约束指数对融资约束程度度量的有效性。检验结果表明高低融资约束组别现金-现金流敏感度具有显著差异,且融资约束指数与公司投资效率显著负相关,说明该融资约束指数具有较高的有效性,能够比较合理地衡量我国上市公司面临的融资约束。
[Abstract]:Based on the policy constraints of equity financing in China's securities market, this paper proposes a discriminant model of financing constraints based on the dichotomy method, which is based on whether to implement equity financing as a starting point, to judge the financing constraints of A-share listed companies in China.Five financial indexes, including dividend per share change, company size, financial relaxation, cash flow ratio to total assets and operating income growth rate, are selected to identify the financing constraint state, and the financing constraint index is constructed by ordered logistic regression model.On the one hand, the index is used as the criterion of financing constraint to test the difference of cash-cash flow sensitivity of different constraint groups.On the other hand, the index is used as the constraint condition of the actual investment level to establish the stochastic frontier equation to test the validity of the financing constraint index to measure the degree of financing constraint.The test results show that the cash-cash flow sensitivity of high and low financing constraint groups is significantly different, and the financing constraint index is negatively correlated with the company investment efficiency, which indicates that the financing constraint index has a higher effectiveness.Can reasonably measure the financing constraints faced by listed companies in China.
【作者单位】：天津财经大学统计学院;
【分类号】：F276.6;F832.51;F224

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