CAJ | 학술논문

文章通过在附加现金流的简化型Q模型中引入营运资本投资变量以解决现金流的多重角色问题,对融资约束假说进行了深入检验。从实证角度研究厂商面临融资约束时营运资本和固定资本投资行为存在的三个可检验的预测：①如果厂商固定投资对现金流的过度敏感性反映其受融资约束程度而非遗漏的投资需求变化,则营运资本投资的估计系数应为负数;②面临融资紧约束厂商的固定投资对营运资本存量的变化应更敏感;③如果忽略营运资本的作用,可能会低估现金流波动对固定投资的总量影响。文章应用我国制造业上市公司面板数据,结合我国经济制度特征,运用工具变量法、以资产报酬率等替代托宾Q、估计动态投资方程等方法证实了上述预测,从而为融资约束假说及其数量效应提供了新的证据,并为解释金融与实体经济的关系,包括本轮金融危机对实体经济的影响提供了经验证据。
문장통과재부가현금류적간화형Q모형중인입영운자본투자변량이해결현금류적다중각색문제,대융자약속가설진행료심입검험。종실증각도연구엄상면림융자약속시영운자본화고정자본투자행위존재적삼개가검험적예측：①여과엄상고정투자대현금류적과도민감성반영기수융자약속정도이비유루적투자수구변화,칙영운자본투자적고계계수응위부수;②면림융자긴약속엄상적고정투자대영운자본존량적변화응경민감;③여과홀략영운자본적작용,가능회저고현금류파동대고정투자적총량영향。문장응용아국제조업상시공사면판수거,결합아국경제제도특정,운용공구변량법、이자산보수솔등체대탁빈Q、고계동태투자방정등방법증실료상술예측,종이위융자약속가설급기수량효응제공료신적증거,병위해석금융여실체경제적관계,포괄본륜금융위궤대실체경제적영향제공료경험증거。
This paper examines firm financing constraint hypothesis by introducing working capital investment into the FHP model,with which we can sidestep the multiple roles played by cash flow.There are three empirical predictions when investigating investment in fixed and working capital with financing constraints.First,if the investment-cash flow sensitivity reflects information about financial constraints but not information about future investment opportunities that are not captured by proxies for Q,then we should get a negative coefficient for working capital investment.Second,the absolute value of the working capital investment coefficient should be much larger than the corresponding coefficient for financially unconstrained firms.Third,if one neglects the role of working capital as both a use and a source of funds,one may understate the full effect of internal finance on fixed investment.We confirm these predictions by looking at panel data on Chinese listed manufacturing companies and provide new evidence on financial constraints hypothesis and its quantitative effects.Our results also provide empirical support on the explanation of the relationship between the financial and real economy and the impact of the current financial crisis on the real economy.