融资约束、营运资本与公司投资:来自中国的证据

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。

Financial Constraints, Working Capital and Corporate Investment:Evidence from China

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.