融资约束与代理成本对上市公司非效率投资的影响——基于双边随机边界模型的实证度量

在有效地控制企业最优投资水平的前提下,本文将融资约束与代理成本同时纳入到前沿异质性双边随机边界模型(Two-tier stochastic frontier model)框架下对我国上市公司的非效率投资程度进行了实证度量,并探讨了各种财务因素对融资约束与代理成本的影响.实证结果表明:融资约束的存在使得上市公司的投资支出较最优水平低了37.5％,而代理成本导致上市公司的投资支出超出其最优水平的30.6％,两者的净效果使我国上市公司整体上表现为投资不足,投资不足率为6.9％.此外,流动资产净额和资本存量的增加有助于缓解公司面临的融资约束程度,而规模较大、持有较多自由现金流的公司内部代理问题更为严重,并且不同规模和地区之间的上市公司非效率投资程度存在较大的差异.

The Influence of Financial constraint and Agency Cost on Investment Inefficiency of listed Firms: An empirical Measurement based on Two-tier stochastic frontier Model

In a perfect situation,the investment of a firm can reach to its optimal level which is totally decided by invest opportunity.In reality,however,the actual investment would unilaterally deviate from its optimal level because of defects of stock market as well as agency problem.At present,the most popular theories concerning investment activities are financial constraint and agency cost which are based on Q model.Nevertheless,the measurement bias of Tobin’s Q and the variation of grouping criteria would lead to disagreement in the empirical results.Other previous studies which estimate the investment efficiency by residual of OLS regression can not avoid the problems that the residual of the OLS regression would be affected by white noise and the residual expectation is zero,and hence influences the accuracy of the investment efficiency.The limitation of previous researches provides us an opportunity to further study the issue of investment efficiency. In this paper,we select a panel data of 248 firms which floated in A share markets of Shenzhen security exchange and Shanghai stock exchange before January 1,2000.On the basis of controlling firms’ annual optimal investment level appropriately,this paper employs two-tier stochastic frontier model to measure the investment inefficiency of listed firms by combining financial constraint and agency cost,and therefore overcome many defects that encountered by previous studies.In addition,we also discuss the impossible impacts of various financial factors on financial constraint and agency cost.Lastly,we test the robustness of our results from the aspects of firm size and financial status of various regions. The empirical results show that the existence of financial constraint resulted in 37.5% loss of investment efficiency;and agency cost lead the investment expenditure exceeding its optimal level of 30.6%.The net effect of financial constraint and agency cost lead the listed firms over-invest 6.6% above the optimal rate.The further analysis implies that 59.2% of the firms are undercapitalized than its optimal level of 24.4%,while 40.78% of the firms are overinvested with an overinvestment ratio of 18.5%.Furthermore,the increase of net liquid assets and capital reserve are helpful to alleviate the financial constraint faced by firms,while firms with more assets and free cash flow are suffered from a more serious agency problem.At last,the robust tests indicate that the investment inefficiency is quiet different between various sizes and regions of listed firms. In summary,the actual undercapitalization ratio is relatively low even though Chinese firms are generally underpriced.The results illustrate that the investment inefficiency of listed firms can only be eliminated by the improving of investment decision-making efficiency and profitability as well as the reducing of dependence on external financing.