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论文编号：	683
作者编号：	2120062011
上传时间：	2008/6/20 11:23:22
中文题目：	融资约束对中国上市公司投资行为
英文题目：	Research on the effect of fina
指导老师：	黄福广
中文关键字：	融资约束 投资行为 现金流tl
英文关键字：	Financing constraint Investme
中文摘要：	在MM定理所假设的完美的资本市场上，企业在进行投资决策时，所考虑的唯一因素就是投资机会，由于内外部资金成本相等，可以完全代替，企业的投资活动与其融资活动不相关。而在现实中，由于资本市场的信息不对称、公司委托代理问题等的影响，内外部融资成本不再相等，产生融资约束，公司的投资决策将受到融资约束的影响，本文旨在探讨公司的融资约束情况即公司内外部资金成本差异的大小对于企业投资行为的影响。 本文通过对国内外融资约束与公司投资关系的相关文献分析，结合转型经济条件下中国上市公司融资的特点，在公司投资模型中引进融资约束指标，以1998～2006年中国A股市场756家上市公司为研究对象，使用上市公司最终控制人的类型，资产负债率和净资产收益率作为公司面临融资约束程度大小的分组标准，对样本总体进行分类，使用STATA8.0对静态面板数据进行处理，研究了在不同融资约束衡量指标下，融资约束与投资－现金流敏感性之间的关系。 研究结果表明，根据净资产收益率和资产负债率所作的分组中，融资约束程度与投资现金流敏感性之间均是非线性关系，公司的投资－现金流敏感性不能反应公司的融资约束程度；根据上市公司最终控制人的类型所作的分组中，事先被划分为融资约束程度较低的组即国有企业的投资现金流敏感性比较高，而事先被划分为融资约束程度较高的组即非国有企业投资对现金流不敏感，同样说明投资现金流敏感性的大小并不能很好的区分融资约束程度。经过进一步的动因检验发现，国有企业较高的投资现金流敏感性是由代理问题而不是融资约束问题所驱动的。并且通过进一步的稳健性检验，仍得出融资约束程度与投资现金流敏感性之间是非线性关系的结论，由此得到本文的结论，投资－现金流敏感性并非衡量融资约束程度的有效变量。最后，本文分析了研究的不足之处以及未来研究的方向。
英文摘要：	In a perfect market provided by MM theory, the only factor a manager consider when making an investment decision is whether the net present value of the project is positive or not. In such circumstance, when a manager making an investment decision, the internal financing and external financing can take place of each other, investment behavior has nothing to do with the financing behavior. While in the real world, cost of external financing and internal financing will no longer be the same because of information asymmetry and agency problem in capital market. Financial constraints will have an effect on the investment behavior. The purpose of this paper is to have a research on whether financial constraints have relationship with the investment-cash flow sensitivity. Based on a myriad of papers associated with corporate investment behavior and financing constraints this paper introduces measurement of financing constraints into corporate investment model under the transition period in China. Using STATA 8.0 to analysis 756 static panel data from 1998~2006 in the A share stock market in China, this paper brings in the final controller of a firm, debt ratio and ROE as three criteria to separate firms facing different financing constraints in order to analysis the different sensitivity between investment and cash flow with different financing constraints situation. The result shows that the investment-cash flow sensitivity and the degree of financing constrained firms defined by debt-to-asset ratio or ROE is not monotony. The investment-cash flow sensitivity is not a valid material to detecting financing constraints. And when a firm’s final controller is state which will be put into the less financing constraint group in the first place, investment is more sensitivity to the cash flow and the more financing constraints group has no relationship between investment and cash flow which also shows that investment cash flow sensitivity is useless for detecting financing constraints. In the additional test, high sensitivity between investment and cash flow of state company is mainly caused by agency problem. The robustness test also shows similar results. So I argues that investment-cash flow sensitivity is not a valid criteria for the degree of financial constrained. In the end I list some point that can be improved and the research of future research on this problem.
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