CAJ | 학술논문

本文总结现有融资约束理论逻辑下四个彼此紧密关联的特征现象：融资约束与公司股票收益正相关、融资约束引致企业特质风险的增加、主导小规模效应、促使企业生产效率提升；且其中后三个现象是第一个现象的具体解释。接着，本文使用可准确区分“融资约束”与“财务紧张”概念的动态模型结构估计方法计算沪深上市公司的WW融资约束指数，对以上特征现象逐一进行实证检验。结果发现，只有第一个现象在我国存在。进一步的探索性实证研究则表明，中国企业融资约束很可能源于政府对经济的干预从而融资渠道外生于市场，而非市场竞争中的摩擦引致的流动性约束。由此，融资约束成为系统性风险并对公司股票预期收益产生显著为正的影响。
본문총결현유융자약속이론라집하사개피차긴밀관련적특정현상：융자약속여공사고표수익정상관、융자약속인치기업특질풍험적증가、주도소규모효응、촉사기업생산효솔제승；차기중후삼개현상시제일개현상적구체해석。접착，본문사용가준학구분“융자약속”여“재무긴장”개념적동태모형결구고계방법계산호심상시공사적WW융자약속지수，대이상특정현상축일진행실증검험。결과발현，지유제일개현상재아국존재。진일보적탐색성실증연구칙표명，중국기업융자약속흔가능원우정부대경제적간예종이융자거도외생우시장，이비시장경쟁중적마찰인치적류동성약속。유차，융자약속성위계통성풍험병대공사고표예기수익산생현저위정적영향。
Existing finance theories suggest that the financial constraints risk is closely related to market incompleteness and undiversifiable. The more serious the financial constraints, the higher the idiosyncratic risk, the more technological innovation output there will be, with stock investors gaining more abnormal returns. What is more, the financial constraints risk can give an explanation to the size effect. However, our study on Chinese listed firms has found that although the financial constraints risk has a significantly positive correlation with the abnormal stock returns, it has a significantly positive correlation with neither idiosyncratic risk nor technological innovation output. Another finding is, in our evidences, the financial constraints risk cannot explain the size effect. In this paper, our exploratory empirical study shows that the financial constraints risk in Chinese firms is due in large part to government intervention, rather than market friction and liquidity constraints, which cancels out the incentive effect of financial constraints risk on technological innovation.