金融资产配置与中国上市公司的投资波动
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摘要
本文利用2007—2015年中国A股非金融类上市公司半年期数据,从金融资产持有份额和金融渠道获利的双重视角考察了金融资产配置对企业投资波动的影响。实证结果显示,金融资产持有份额有助于平滑企业投资波动,且该效应在投资不足时更强,而金融渠道获利不存在显著影响。同时,金融资产持有份额的平滑作用在私有企业中要强于国有企业,但在不同融资约束的企业间不存在明显差异。通过改变模型设定、样本区间和替换因变量,上述结论具有稳健性。
Using the semi-annual data of non-financial listed companies from 2007 to 2015 in China, we investigate the effects of financial asset allocations on firm's fixed investment fluctuations, and then analyze the asymmetric roles and heterogeneity in different subsamples. We find that financial asset share is conductive to easing investment fluctuations, and the effect is stronger in the case with inadequate investment. Nevertheless, there is no significant relationship between financial profit and investment fluctuations. Furthermore, the smoothing role of financial asset share in private firms is larger than that in state-owned firms, but no significant differences exist among firms with different financial constraints. The conclusions are robust when we account for econometric specification, sample period and the dependent variable.
Using the semi-annual data of non-financial listed companies from 2007 to 2015 in China, we investigate the effects of financial asset allocations on firm's fixed investment fluctuations, and then analyze the asymmetric roles and heterogeneity in different subsamples. We find that financial asset share is conductive to easing investment fluctuations, and the effect is stronger in the case with inadequate investment. Nevertheless, there is no significant relationship between financial profit and investment fluctuations. Furthermore, the smoothing role of financial asset share in private firms is larger than that in state-owned firms, but no significant differences exist among firms with different financial constraints. The conclusions are robust when we account for econometric specification, sample period and the dependent variable.
引文
[1] Acemoglu,D.,V.M.Carvallho,A.Ozdaglar,and A.Tahbaz-Salehi,“The Network Origins of Aggregate Fluctuations”,Econometrica,2012,80(5),1977—2016.
[2] Acharya,V.V.,H.Almeida,and M.Campello,“Is Cash Negative Debt?A Hedging Perspective on Corporate Financial Policies”,Journal of Financial Intermediation,2007,16(4),515—544.
[3] Akkemik,K.A.,and S.Ozen,“Macroeconomic and Institutional Determinants of Financialization of Non-Financial Firms:Case Study of Turkey”,Socio-Economic Review,2013,12(1),1—28.
[4] Almeida,H.,M.Campello,and M.Weisbach,“The Cash Flow Sensitivity of Cash”,Journal of Finance,2004,59(4),1777—1804.
[5] Arrighi,G.,The Long Twentieth Century:Money,Power,and the Origins of Our Times.London:Verso Press,1994.
[6] Brown,J.R.,S.M.Fazzari,and B.C.Petersen,“Financing Innovation and Growth:Cash Flow,External Equity and the 1990s R&D Boom”,Journal of Finance,2009,64(1),151—185.
[7] Brown,J.R.,and B.C.Petersen,“Cash Holding and R&D Smoothing”,Journal of Corporate Finance,2011,17(4),694—709.
[8] Chang,X.,S.Dasgupta,G.Wong,and J.Yao,“Cash-Flow Sensitivities and the Allocation of Internal Cash Flow”,Review of Financial Studies,2014,72(12),3628—3657.
[9] Cooper,R.W.,and J.C.Haltiwanger,“On the Nature of Capital Adjustment Costs”,Review of Economic Studies,2006,73(3),611—633.
[10] Demir,F.,“Financial Liberalization,Private Investment and Portfolio Choice:Financialization of Real Sectors in Emerging Markets”,Journal of Development Economics,2009,88(2),314—324.
[11] Duchina,R.,O.Ozbasb,and B.Sensoyc,“Costly Finance,Corporate Investment,and the Subprime Mortgage Credit Crisis”,Journal of Financial Economics,2010,97(3),418—435.
[12] Fazzari,S.,R.G.Hubbard,and B.C.Petersen,“Financing Constraints and Corporate Investment”,Brookings Papers on Economic Activity,1988,1,141—195.
[13] 郭庆旺、贾俊雪,“中国经济波动的解释:投资冲击与全要素生产率冲击”,《管理世界》,2004年第7期,第22—28页。
[14] Han,S.,and J.Qiu,“Corporate Precautionary Cash Holding”,Journal of Corporate Finance,2007,13(1),43—57.
[15] Hodrick,R.,and E.C.Prescott,“Post-War U.S.Business Cycles:An Empirical Investigation”,Journal of Money,Credit and Banking,1980,29(1),1—16.
[16] 胡奕明、王雪婷、张瑾,“金融资产配置动机:‘蓄水池’或‘替代’——来自中国上市公司的证据”,《经济研究》,2017年第1期,第181—194页。
[17] 靳庆鲁、孔祥、侯青川,“货币政策、民营企业投资效率与公司期权价值”,《经济研究》,2012年第5期,第96—106页。
[18] John,T.A.,“Accounting Measures of Corporate Liquidity,Leverage,and Costs of Financial Distress”,Financial Management,1993,22(3),91—100.
[19] 鞠晓生、卢荻、虞义华,“融资约束、营运资本管理与企业创新可持续性”,《经济研究》,2013年第1期,第4—16页。
[20] 刘端、彭媛、罗勇等,“现金持有在企业投资支出中的平滑作用——基于融资约束的视角”,《中国管理科学》,2015年第1期,第10—16页。
[21] 刘贯春,“金融资产配置与企业研发创新:‘挤出’还是‘挤入’?”,《统计研究》,2017年第7期,第49—61页。
[22] 刘贯春、张军、刘媛媛,“金融资产配置、宏观经济环境与企业杠杆率”,《世界经济》,2018年第1期,第148—173页。
[23] 刘霞辉“为什么中国经济不是过冷就是过热?”,《经济研究》,2004年第11期,第58—68页。
[24] Keynes,J.M.,The General Theory of Interest,Employment and Money.London:Macmillan,1936.
[25] Kim,C.,D.C.Mauer,and A.E.Sherman,“The Determinants of Corporate Liquidity:Theory and Evidence”,Journal of Corporate Finance,1998,33(3),335—359.
[26] Opler,T.,L.Pinkowitz,R.Stulz,and R.Williamson,“The Determinants and Implications of Corporate Cash Holding”,Journal of Financial Economics,1999,52(1),3—46.
[27] Orhangazi,?.,“Financialisation and Capital Accumulation in the Non-Financial Corporate Sector:A Theoretical and Empirical Investigation on the U.S.Economy:1973-2003”,Cambridge Journal of Economics,2008,32(6),863—886.
[28] Ryoo,S.,“Long Waves and Short Cycles in a Model of Endogenous Financial Fragility”,Journal of Economic Behavior & Organization,2010,74(3),163-186.
[29] Seo,H.J.,H.S.Kim,and T.C.Kim,“Financialization and the Slowdown in Korean Firm’s R&D Investment”,Asian Economic Papers,2012,11(3),35—49.
[30] Shin,H.Y.,“Financialization and Stagnant Corporate Investment in Korea since the Asian Financial Crisis”,Working Paper,2012.
[31] Smith,C.W.,and R.M.Stulz,“The Determinants of Firms’ Hedging Policies”,Journal of Financial and Quantitative Analysis,1985,20(4),391—405.
[32] Stockhammer,E.,“Financialization and the Slowdown of Accumulation”,Cambridge Journal of Economics,2004,28(5),719—741.
[33] Stulz,R.M.,“Rethinking Risk Management”,Journal of Applied Corporate Finance,1996,9(3),8—25.
[34] 孙工声,“中国宏观经济波动:内部调整还是外部冲击”,《金融研究》,2009年第11期,第60—73页。
[35] Tobin,J.,“Money and Economic Growth”,Econometrica,1965,33(4),671—684。
[36] Tornell,A.,“Real vs.Financial Investment:Can Tobin Taxes Eliminate the Irreversibility Distortion?”,Journal of Development Economics,1990,32(2),419—444.
[37] 张成思、张步昙,“中国实业投资率下降之谜:经济金融化视角”,《经济研究》,2016年第12期,第32—46页。
(1) 假定存在如下两种情形:一是金融渠道获利10万元而营业利润为-10万元;二是金融渠道获利-10万元而营业利润为10万元。此时,两者直接利用金融渠道获利除以营业利润得到的数值相同(均为-1),但两种情形金融渠道获利的贡献截然不同。
(2) 在探讨金融资产配置与企业投资波动的关系时,有必要对金融资产和固定资产的收益率及风险进行控制。遗憾的是,由于金融资产投资的短期限特征,难以得到金融资产的投资收益率,而建立在此基础上的风险度量则无法获得。不过,本文对个体固定效应和时期固定效应进行了刻画,控制了企业层面的异质性特征(管理者的投资风险偏好)及随时间变化的宏观环境特征(宏观投资风险),在一定程度上消除了该问题的干扰。
(3) 当金融资产持有份额水平值取滞后一期时,广义(狭义)口径指标与金融渠道获利的相关系数为0.0716(-0.0249);当金融资产持有份额波动项取滞后一期时,广义(狭义)口径指标与金融渠道获利波动项的相关系数为-0.0753(-0.0661)。
[2] Acharya,V.V.,H.Almeida,and M.Campello,“Is Cash Negative Debt?A Hedging Perspective on Corporate Financial Policies”,Journal of Financial Intermediation,2007,16(4),515—544.
[3] Akkemik,K.A.,and S.Ozen,“Macroeconomic and Institutional Determinants of Financialization of Non-Financial Firms:Case Study of Turkey”,Socio-Economic Review,2013,12(1),1—28.
[4] Almeida,H.,M.Campello,and M.Weisbach,“The Cash Flow Sensitivity of Cash”,Journal of Finance,2004,59(4),1777—1804.
[5] Arrighi,G.,The Long Twentieth Century:Money,Power,and the Origins of Our Times.London:Verso Press,1994.
[6] Brown,J.R.,S.M.Fazzari,and B.C.Petersen,“Financing Innovation and Growth:Cash Flow,External Equity and the 1990s R&D Boom”,Journal of Finance,2009,64(1),151—185.
[7] Brown,J.R.,and B.C.Petersen,“Cash Holding and R&D Smoothing”,Journal of Corporate Finance,2011,17(4),694—709.
[8] Chang,X.,S.Dasgupta,G.Wong,and J.Yao,“Cash-Flow Sensitivities and the Allocation of Internal Cash Flow”,Review of Financial Studies,2014,72(12),3628—3657.
[9] Cooper,R.W.,and J.C.Haltiwanger,“On the Nature of Capital Adjustment Costs”,Review of Economic Studies,2006,73(3),611—633.
[10] Demir,F.,“Financial Liberalization,Private Investment and Portfolio Choice:Financialization of Real Sectors in Emerging Markets”,Journal of Development Economics,2009,88(2),314—324.
[11] Duchina,R.,O.Ozbasb,and B.Sensoyc,“Costly Finance,Corporate Investment,and the Subprime Mortgage Credit Crisis”,Journal of Financial Economics,2010,97(3),418—435.
[12] Fazzari,S.,R.G.Hubbard,and B.C.Petersen,“Financing Constraints and Corporate Investment”,Brookings Papers on Economic Activity,1988,1,141—195.
[13] 郭庆旺、贾俊雪,“中国经济波动的解释:投资冲击与全要素生产率冲击”,《管理世界》,2004年第7期,第22—28页。
[14] Han,S.,and J.Qiu,“Corporate Precautionary Cash Holding”,Journal of Corporate Finance,2007,13(1),43—57.
[15] Hodrick,R.,and E.C.Prescott,“Post-War U.S.Business Cycles:An Empirical Investigation”,Journal of Money,Credit and Banking,1980,29(1),1—16.
[16] 胡奕明、王雪婷、张瑾,“金融资产配置动机:‘蓄水池’或‘替代’——来自中国上市公司的证据”,《经济研究》,2017年第1期,第181—194页。
[17] 靳庆鲁、孔祥、侯青川,“货币政策、民营企业投资效率与公司期权价值”,《经济研究》,2012年第5期,第96—106页。
[18] John,T.A.,“Accounting Measures of Corporate Liquidity,Leverage,and Costs of Financial Distress”,Financial Management,1993,22(3),91—100.
[19] 鞠晓生、卢荻、虞义华,“融资约束、营运资本管理与企业创新可持续性”,《经济研究》,2013年第1期,第4—16页。
[20] 刘端、彭媛、罗勇等,“现金持有在企业投资支出中的平滑作用——基于融资约束的视角”,《中国管理科学》,2015年第1期,第10—16页。
[21] 刘贯春,“金融资产配置与企业研发创新:‘挤出’还是‘挤入’?”,《统计研究》,2017年第7期,第49—61页。
[22] 刘贯春、张军、刘媛媛,“金融资产配置、宏观经济环境与企业杠杆率”,《世界经济》,2018年第1期,第148—173页。
[23] 刘霞辉“为什么中国经济不是过冷就是过热?”,《经济研究》,2004年第11期,第58—68页。
[24] Keynes,J.M.,The General Theory of Interest,Employment and Money.London:Macmillan,1936.
[25] Kim,C.,D.C.Mauer,and A.E.Sherman,“The Determinants of Corporate Liquidity:Theory and Evidence”,Journal of Corporate Finance,1998,33(3),335—359.
[26] Opler,T.,L.Pinkowitz,R.Stulz,and R.Williamson,“The Determinants and Implications of Corporate Cash Holding”,Journal of Financial Economics,1999,52(1),3—46.
[27] Orhangazi,?.,“Financialisation and Capital Accumulation in the Non-Financial Corporate Sector:A Theoretical and Empirical Investigation on the U.S.Economy:1973-2003”,Cambridge Journal of Economics,2008,32(6),863—886.
[28] Ryoo,S.,“Long Waves and Short Cycles in a Model of Endogenous Financial Fragility”,Journal of Economic Behavior & Organization,2010,74(3),163-186.
[29] Seo,H.J.,H.S.Kim,and T.C.Kim,“Financialization and the Slowdown in Korean Firm’s R&D Investment”,Asian Economic Papers,2012,11(3),35—49.
[30] Shin,H.Y.,“Financialization and Stagnant Corporate Investment in Korea since the Asian Financial Crisis”,Working Paper,2012.
[31] Smith,C.W.,and R.M.Stulz,“The Determinants of Firms’ Hedging Policies”,Journal of Financial and Quantitative Analysis,1985,20(4),391—405.
[32] Stockhammer,E.,“Financialization and the Slowdown of Accumulation”,Cambridge Journal of Economics,2004,28(5),719—741.
[33] Stulz,R.M.,“Rethinking Risk Management”,Journal of Applied Corporate Finance,1996,9(3),8—25.
[34] 孙工声,“中国宏观经济波动:内部调整还是外部冲击”,《金融研究》,2009年第11期,第60—73页。
[35] Tobin,J.,“Money and Economic Growth”,Econometrica,1965,33(4),671—684。
[36] Tornell,A.,“Real vs.Financial Investment:Can Tobin Taxes Eliminate the Irreversibility Distortion?”,Journal of Development Economics,1990,32(2),419—444.
[37] 张成思、张步昙,“中国实业投资率下降之谜:经济金融化视角”,《经济研究》,2016年第12期,第32—46页。
(1) 假定存在如下两种情形:一是金融渠道获利10万元而营业利润为-10万元;二是金融渠道获利-10万元而营业利润为10万元。此时,两者直接利用金融渠道获利除以营业利润得到的数值相同(均为-1),但两种情形金融渠道获利的贡献截然不同。
(2) 在探讨金融资产配置与企业投资波动的关系时,有必要对金融资产和固定资产的收益率及风险进行控制。遗憾的是,由于金融资产投资的短期限特征,难以得到金融资产的投资收益率,而建立在此基础上的风险度量则无法获得。不过,本文对个体固定效应和时期固定效应进行了刻画,控制了企业层面的异质性特征(管理者的投资风险偏好)及随时间变化的宏观环境特征(宏观投资风险),在一定程度上消除了该问题的干扰。
(3) 当金融资产持有份额水平值取滞后一期时,广义(狭义)口径指标与金融渠道获利的相关系数为0.0716(-0.0249);当金融资产持有份额波动项取滞后一期时,广义(狭义)口径指标与金融渠道获利波动项的相关系数为-0.0753(-0.0661)。
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