基于综合指标法的我国上市公司融资约束指数构建及应用研究

发布时间：2018-01-01 13:43

本文关键词：基于综合指标法的我国上市公司融资约束指数构建及应用研究　出处：《西南财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：早在20年前,融资约束已成为西方学术界关注的热点。企业投资决定理论的演进催生了融资约束理论的诞生,随后西方学者们纷纷开始尝试在投资决定模型中引入企业融资因素,建立投资-融资联合模型,研究融资约束条件下企业的投资决定,并且对企业融资约束问题也做了许多探索性的研究,形成了融资约束的理论框架。 2008年以来,融资难、贷款难、投资难问题开始成为制约我国企业发展的重要因素。众多企业表示资金缺乏,企业长期发展困难。“中小企业倒闭潮”、“民间借贷”等字眼频频出现于各大媒体,引起了广大群众的热烈讨论,同时也引发了实业界、学术界关于融资问题的探讨。从广义的角度来讲,融资约束是指在资本市场不完善的情况下,企业使用内部资金和使用外部资金的成本存在差异,导致内外融资具有不完全替代性,并由此产生投资低于最优水平,投资决策过分依赖于企业内部资金的问题。它对企业影响十分巨大,严重的融资问题可能给企业带来致命的破坏。因此,本文想通过研究我国上市公司整体融资约束的状况、特征以及它对企业带来的影响,在借鉴国内外相关研究的基础上,提出如何进一步改善我国企业融资环境、增强企业融资效率和效果的有关政策建议,以期为投资者制定投资计划、政府决策层了解上市公司整体形势以及制定政策方针提供一定的借鉴。为此,本文按照“现状描述——问题提出——文献综述——指数构建——特征分析——影响分析——研究结论与建议”的思路展开了以下研究：第一,在对我国融资约束问题做简单描述后,本文做了较为详实的文献综述。对西方企业投资决定理论、融资约束理论做了归纳整理,并重点研究了国外学者如何度量企业融资约束程度,得出了三类度量方法：企业行为特征度量法、综合指数度量法以及单一变量度量法。其中企业行为特征度量法主要采用的是传统投资理论中的投资-现金流敏感性模型、现金-现金流敏感性模型,通过模型实证得到的系数来间接反映企业融资约束的大小；综合指数度量法则是现在较为常用的度量方法,在预分类的基础上,它通过运用各种影响融资约束大小的变量构造一个统一的融资约束指数,以综合考量企业融资约束的程度,而在构造模型的方法选取上,较为常用的有两种：多元判别分析与logistic回归。由于中外经济环境、资本市场的显著差异,国外学者对融资约束的度量方法在研究我国经济时难以直接复制,因此,本文在国内外研究的基础上,结合当前我国企业的具体情况,自建了衡量融资约束的指数。第二,自建融资约束指数,本文以沪深两市A股市场非金融类公司2009-2012年的数据为样本(剔除了在样本期间被PT、ST、*ST的公司、新上市和退市的公司),选取了反映公司股权结构、公司规模、现金能力、偿债能力、盈利能力、发展能力的多个指标,以logistic回归方法构建了企业融资约束模型,并通过Hosmer和Lemeshow检验、模型拟合优度检验以及错判矩阵对回归结果进行了检验。第三,为了检验不同企业融资约束的特征和差异,在已建立的模型基础上,本文对我国上市公司融资约束的特征进行了分析,从行业、股权结构、公司年龄、公司规模、公司股票所在的板块等方面分别进行了特征分析,以全面了解我国上市公司融资约束状况,不同类型企业融资约束的差异。第四,为了研究融资约束会对企业产生怎样的影响,本文在基本的投资模型中加入了反映宏观金融生态环境的变量(货币政策与市场波动性),通过实证分析研究融资约束、宏观金融环境与企业投资决策的关系。通过以上的分析,本文得出了如下的结论：第一：融资约束问题在我国上市公司中普遍存在,几乎一半的企业面临融资约束。2010-2012年我国上市公司面临融资约束的平均概率呈现出了U型的特征。第二：不同特质的企业融资约束具有明显的差异性。①大规模企业相比小规模企业融资约束程度更低；②企业融资约束的年龄分布与生命周期理论相匹配,即当企业处于“初创期-成熟期”阶段,融资约束表现出非线性递增的态势,融资约束在成熟期达到最大,随后开始下降；③从行业的角度来看,房地产行业、传播与文化产业、交通运输与仓储业面临融资约束的概率较低,批发和零售贸易、农、林、牧、渔业以及制造业面临融资约束的可能性较大,社会服务业、建筑业、信息技术业等则处于中间水平；④从主板到中小板再到创业板,融资约束的平均概率依次递减。第三：从企业财务状况角度分析,影响融资约束的因素主要包括：现金能力、盈利能力、偿债能力和发展能力,综合运用这些指标构建的融资约束指数具有较大的参考价值。具体来讲,公司现金存量越大,经营活动产生的现金流越大,财务冗余越多,则企业融资约束可能性越小；利润率高,营业收入增长快的公司更容易获得融资；流动性比率高,偿债能力强的企业融资约束相比较低。第四：宏观金融生态环境对企业投资决策具有显著影响,融资约束能加强他们之间的关系。宽松的货币政策能刺激企业投资,市场波动性与投资之间呈现出正相关关系,表明在我国资本市场不完善的经济环境下,企业管理层更偏好风险,且高融资约束的企业对风险偏好的趋势越明显。基于以上结论,本文分别从国家宏观政策制定者角度、金融机构角度、企业自身角度对缓解融资约束问题提出了相应的建议：第一：政府应加快金融体制改革,完善资本市场。 (1)加快构建多层次的资本市场,丰富资本市场产品。在构建多层次的资本市场时,综合考虑我国经济发展的具体状况、市场条件等因素,合理细化资本市场的层次。①根据市场供给与需求,大力发展债务资本市场、股权资本市场、银行业资本市场的融资品种。②为中小企业提供更多的在资本市场融资的渠道。③积极发展机构投资者,这些机构投资者具备专业的知识和技能,投资经验丰富,且一般投资规模较大,他们在降低市场波动性方面能发挥重要的作用。④在满足市场需求以及规范管理的基础上,丰富资本市场的交易机制。 (2)稳步推进利率市场化改革。利率市场化有利于增强金融机构的风险观念从而努力提升金融服务以更好的服务于中国企业；有利于企业尤其是国有企业提高资产利用率,抑制过度投资；有利于改善我国外部融资环境,充分利用国内外资金在实体经济中的调节作用。 (3)加快民营银行设立的步伐。鼓励民营资本进入银行业一方面有利于提高金融行业的活力,提高银行业经营的市场化程度,降低国有银行垄断地位；另一方面,民营资本进入银行业有利于规范和监控民营资本,使其充分发挥资本的积极作用,有效的服务于实体经济；另外,民营银行具有一定的企业特性,他们更懂企业的发展规律,且灵活性较高,相比国有银行,他们在解决中小企业融资问题上更具优势。 (4)鼓励民间金融。鼓励民间金融是解决商品价格市场化与资金价格管制矛盾的有效措施之一(巴曙松2013)。政府应当鼓励民间金融的发展,在保证其不高息揽存、过低利率放贷的情况下,政府可以尝试使其合法化,放开对民间借贷的管制。第二：政府应加大对中小企业的扶持力度。一方面政府在保持经济稳增长的同时可以继续推行稳健的货币政策,发挥人民银行的“窗口”指导作用,适度扩大信贷规模,增加可贷资金量；另一方面,政府应加大对新兴产业的扶持力度。给予更多的优惠政策,例如地方政府为企业提供信贷担保、贷款补贴、中小企业证券交易减税优惠等,以降低企业的成本。另外,政府可推动建立面向中小企业的风投机制,如多举办类似与财富论坛这样的活动,为中小企业创造赢取风投的机会。第三：政府应积极完善相关法律法规,建立健全征信体系近年来,为了解决我国企业融资难问题,中央政府以及各地方政府积极出台了众多关于促进中小企业发展的法律法规,但相关政策的落实度仍然不够,具体措施上仍有许多需要细化明确的地方。关于信用体系建设方面,政府一方面要积极引导企业以诚信为本,另一方面政府应积极动用各方力量,通过综合信息共享平台的建设和制度安排,建立健全征信体系和信息通报制度,记录中小企业经营状况、交易等信息,以便市场交易双方获取对方信息,降低交易成本。第四：金融机构应积极发展小微金融,做好业务、渠道、产品等创新工作。作为企业融资的重要渠道,金融机构一方面要认真贯彻国家相关法律法规,调整信贷结构,提高对中小企业的关注度；另一方面要努力提升金融服务,积极创新金融产品,开发适合中小企业的信贷产品。第五：除了外部环境的营造外,中小企业对自身能力的提升也需重视。企业自身应做好信息披露、健全财务制度、提升企业自身价值、优化资本机构、联合经营、合理投资。
[Abstract]:As early as 20 years ago, financing constraints has become a hot topic in the western academic circles. The enterprise investment decision theory evolution gave birth to the financing constraints theory, the western scholars began to try in the investment decision into enterprise financing factors in the model, the establishment of joint investment - financing model of financing constraints of enterprises investment decision on financing constraints and also done a lot of research, has formed the theoretical framework of financing constraints.
Since 2008, financing, loans difficult, the difficult problem of investment has become an important factor restricting the development of our enterprises. Many enterprises that lack of funds, the long-term development of the enterprise. Small and medium enterprises "closures", "borrowing" and other words frequently appear in various media, caused a lively discussion of the masses, at the same time also led the industry, on the financing of the academic circles.
From the broad perspective, refers to the financing constraints in the imperfect capital market, enterprises use internal funds and external funds cost differences, resulting in internal and external financing has not completely replaced, and the resulting investment is lower than the optimal level of investment decision, too dependent on the enterprise internal funds. It is the enterprise the impact is huge, serious financing problems may bring fatal damage. Therefore, this paper wants to research China's listed companies financing constraint conditions, characteristics and influence it brings to the enterprise, on the basis of relevant research at home and abroad, the paper discusses how to further improve the financing environment of China's enterprises, the relevant policy recommendations to enhance the efficiency and effectiveness of enterprises financing, in order to develop investment plans for investors, government decision-makers understand the overall situation of listed companies and to develop policy guidelines provided For a certain reference.
For this reason, the following ideas are put forward according to the idea of "the description of the current situation -- the problem of literature review, index construction, feature analysis, impact analysis, research conclusion and suggestion".
At first, a brief description on the China's financing constraints, this paper made a detailed literature review. Decision theory to the western enterprise investment, financing constraints theory summary, and focuses on the research of foreign scholars on how to measure the degree of financing constraints, obtained three kinds of measurement methods: enterprise behavior measure comprehensive index measurement method and single variable metric method. The enterprise behavior measurement method is mainly used in the traditional investment theory in the investment - cash flow sensitivity model, cash flow sensitivity model, the coefficients obtained through the empirical model to indirectly reflect the size of the financing constraints; comprehensive index measurement principle is now commonly used to measure in the method, based on the pre classification, it is through the use of a variety of variables influencing the structure size of the financing constraints of a unified financing constraint index, comprehensive Considering the enterprise financing constraints degree, and selects the method to construct the model, commonly used in two ways: multivariate discriminant analysis and logistic regression. The foreign economic environment, significant differences in the capital market, foreign scholars on the measure of financing constraints in the study of China's economy is difficult to copy, therefore, basic research in this paper, at home and abroad, according to the specific situation of China's enterprises, built to measure the financing constraint index.
Second, the self financing constraint index, the Shanghai and Shenzhen two stock market A non-financial companies 2009-2012 data as sample (excluding PT, in the sample period ST, *ST company, listed and delisting of the company), selected to reflect the company's ownership structure, company size, cash ability, solvency, profitability a number of indicators of ability, development ability, using logistic regression method to construct the enterprise financing constraint model, and through Hosmer and Lemeshow test, model test of goodness of fit and error matrix of the regression results are verified.
Third, for the characteristics and differences of financing constraints in different enterprises inspection, based on the established model, the characteristics of the financing constraints of Listed Companies in China are analyzed, from the industry, ownership structure, company age, company size, company's stock plate and other aspects of characteristic analysis, to fully understand the financing constraints of Listed Companies in China, the difference of financing constraints of different types of enterprises.
Fourth, in order to study the financing constraints impact on enterprises, this paper adds reflect the macroscopic financial ecological environment variables in the basic model of investment (monetary policy and market volatility), through empirical analysis of the relationship between financing constraints, macro financial environment and enterprise investment decision.
Through the above analysis, this paper draws the following conclusions:
Firstly, the financing constraint is widespread in China's listed companies. Almost half of the enterprises are facing financing constraints. In.2010-2012, the average probability of financing constraints of Listed Companies in China shows a U characteristic.
Second: the enterprise financing constraints with different characteristics have obvious differences. The large-scale enterprises compared to small business financing constraints degree is lower; the age distribution and the theory of life cycle of the enterprise financing constraints match, when the enterprise is in the initial stage to maturity stage, the financing constraints show non-linear increasing trend and reached the maximum the financing constraints in the mature period, then began to decline; from the industry point of view, the real estate industry, communication and culture industry, transportation and warehousing industry is facing financing constraints of low probability, wholesale and retail trade, agriculture, forestry, animal husbandry, fishery and the manufacturing industry is facing the possibility of financing constraints, social services the construction industry, information technology industry is in the middle level; from the motherboard to the small board and the gem, the average probability of financing constraints in descending order.
Third: from the point of view of the financial situation of enterprises, the influence factors of financing constraints include: cash ability, profitability, solvency and development ability, the indexes of the comprehensive use of financing constraint index has great reference value. Specifically, the greater the cash stock, cash flow from operating activities greater financial slack the more is the financing constraints less likely; high profit margins, operating income grew faster, easier access to financing; liquidity ratio is high, relatively low financing constraints strong solvency.
Fourth: has a significant effect on investment decision of macro financial ecological environment of enterprises, financing constraints can strengthen the relationship between them. The loose monetary policy can stimulate investment, between market volatility and investment have a positive correlation, that does not end in our capital market, good economic environment, enterprise management risk preference and the risk appetite of trend and high financing constraint enterprises more obvious.
Based on the above conclusions, from the perspective of national macroeconomic policymakers and from the perspective of financial institutions, the paper puts forward corresponding suggestions for alleviating financing constraints from the perspective of financial institutions.
First: the government should speed up the reform of the financial system and improve the capital market.
(1) accelerate the construction of multi-level capital market, the capital market products. In the construction of multi-level capital market, considering the specific situation of China's economic development, market conditions and other factors, a reasonable refinement of capital market level. According to the market supply and demand, vigorously develop the debt capital markets, equity capital markets. The capital market of the banking industry. The variety of financing in the capital market to provide more financing channels for small and medium enterprises. The positive development of institutional investors, the institutional investors have the professional knowledge and skills, rich experience in investment, and the large scale of investment, they can play an important role in reducing the volatility of the market. In the meeting market demand and standardized management on the basis of the trading mechanism of rich capital markets.
(2) to promote the interest rate marketization reform. The interest rate market is conducive to enhancing the risk of financial institutions to the idea that efforts to improve financial services to better serve the China enterprises; help enterprises especially state-owned enterprises to improve asset utilization, to curb excessive investment; to improve our external financing environment, make full use of domestic regulation foreign capital in the real economy.
(3) to speed up the pace of the establishment of private banks. To encourage private capital into the banking sector on the one hand to improve the financial industry market vitality, improve the degree of banking operation, reduce the monopoly of state-owned banks; on the other hand, private capital into the banking sector to regulate and monitor private capital, make it play a positive role capital, effectively serve the real economy; in addition, the private bank has certain characteristics of the enterprise, they understand the rules of development of enterprises, and high flexibility, compared to the state-owned banks, they have more advantages in solving the financing problem of small and medium-sized enterprises.
(4) encourage private finance encourage nongovernmental finance is one of the effective measures to solve the commodity market price and capital price regulation contradiction (BA 2013). The government should encourage the development of private finance, in that it does not solicit depositors high interest rates, low interest rate lending circumstances, the government can try to make it legalized, borrowing let go of control.
Second: the government should strengthen the support for small and medium-sized enterprises.
On the one hand the government while maintaining the steady growth of the economy can continue to implement prudent monetary policy, the people's Bank of "window" play a guiding role, expand the credit scale, increase the amount of loanable funds; on the other hand, the government should increase the support for emerging industries. To give more preferential policies, such as the local government credit guarantee, credit subsidies, tax breaks and other securities trading of small and medium-sized enterprises, in order to reduce the cost of enterprises. In addition, the government can promote the establishment of venture capital mechanism for small and medium enterprises, such as hold more similar and wealth Forum on such activities, to create winning venture opportunities for small and medium-sized enterprises.
Third: the government should actively improve the relevant laws and regulations, establish and improve the credit system
In recent years, in order to solve the problem of China's enterprise financing, the central government and the local government has introduced a number of positive about promoting the development of SMEs related laws and regulations, but the implementation of the policy is still not enough, there are still many specific measures need to refine the clear place. On the construction of credit system, the government should actively guide companies in good faith, on the other hand, the government should actively use all forces, arrangement of system and construction of the platform through comprehensive information sharing, establish a sound credit system and information notification system, recording medium and small enterprises operating conditions, transaction information, transaction so that both sides of the market access to other information, reduce transaction costs.
Fourth: financial institutions should actively develop small and micro finance, do business, channels, products and other innovative work. As an important channel of corporate finance, financial institutions on the one hand, we should conscientiously implement the relevant national laws and regulations, adjust credit structure, improve the degree of concern for small and medium-sized enterprises; on the other hand, we must strive to improve financial services, financial innovation product development, suitable for small and medium enterprises credit products.
Fifth: in addition to the creation of external environment, small and medium-sized enterprises should also pay attention to their own capabilities. Enterprises themselves should do well in information disclosure, improve financial system, enhance their own value, optimize capital institutions, jointly operate and invest rationally.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】