CAJ | 학술논문

本文基于Acharya（2012）理论模型,结合中国发债主体特征的差异,从融资约束与营业外收入的角度扩展Acharya（2012）理论模型。同时,利用2008—2012年中国企业债券数据,选取外源性变量与工具变量进行回归,检验现金持有的内生性理论与预防性储蓄动机在现金持有与违约风险关系中的作用,结果表明,在中国发债企业中,现金持有具有内生性;在非上市与上市发债企业中,由于因素变化产生的间接效应与直接效应大小关系会发生改变,现金持有内生性机制存在差别。
본문기우Acharya（2012）이론모형,결합중국발채주체특정적차이,종융자약속여영업외수입적각도확전Acharya（2012）이론모형。동시,이용2008—2012년중국기업채권수거,선취외원성변량여공구변량진행회귀,검험현금지유적내생성이론여예방성저축동궤재현금지유여위약풍험관계중적작용,결과표명,재중국발채기업중,현금지유구유내생성;재비상시여상시발채기업중,유우인소변화산생적간접효응여직접효응대소관계회발생개변,현금지유내생성궤제존재차별。
Whether cash holdings can predict the probability of future defaults or not has received academic attention,but the consensus has not been reached. Normally,firms with more free cash should be safer and have lower credit spreads. Yet,many empirical results show the correlation between cash holdings and spreads is robustly positive. To explain the conclusion above,this paper expands the theory models of Acharya（ 2012） from the aspect of financing constraints and non-business income. By the theoretic analysis,we find that the cash-holding endogenous mechanisms in various issue subjects are different. Meanwhile,using Chinese corporate bonds data of 2008—2012 and selecting the appropriate exogenous variables and instrumental variables to regress,the results confirm the theoretical analysis. Our empirical research suggests that precautionary savings are central to understand the effects of cash on credit risk. Next,this paper analyzes the differences of the process on cash holdings between unlisted public companies and listed companies issuing bonds,the endogeneity of which can change the size of the indirect effect and direct effect.