融资约束对中国企业实质影响的实证研究
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摘要
本研究致力于通过现代经济学的实证研究范式,考察融资约束和融资环境对中国企业的实质影响。具体而言,本研究将从企业绩效、股东回报、公司股票表现等多角度考察以下若干问题：1)融资约束和融资结构如何影响中国企业的产品市场竞争力；2)融资环境如何影响中国私营部门的生产效率；3)融资约束如何影响中国上市公司的股利政策；4)融资约束如何影响中国上市公司的股票表现,包括收益波动和微观交易行为。本研究的主要研究内容可以分章节归纳如下。
本研究在第二章系统回顾了企业融资理论和融资约束相关文献。通过对资本结构理论、权衡理论和优序融资理论的回顾,本章首先分析了融资约束问题的理论基础。然后,本章重点回顾了关于融资约束对企业财务行为影响的研究,特别是关于融资约束对企业投资行为影响的研究。最后,结合本研究所关心的问题,本章还回顾了关于融资约束如何影响企业经营决策、生产效率、股票表现的研究。
在第三章,本研究利用国家统计局《中国工业企业数据库》研究债务融资水平对我国制造业类企业市场竞争力的影响,并考察国有企业预算软约束在其中的作用,也同时考察民营企业的融资状况在其中的作用。本章发现高负债显著弱化了我国制造业企业的市场竞争力。进一步,本章发现当国有企业更可能存在预算软约束时,高负债对其市场竞争力有更严重的负面影响；当国有企业处于市场化程度较高地区时,高负债对其市场竞争力也将有更严重的负面影响。本章还发现,当民营企业具有较低融资成本时,高负债对其市场竞争力的负面影响将得到改善；当民营企业处于市场化程度较高地区时,高负债对其市场竞争力的负面影响也将得到改善。本章的研究结果表明,国有企业的预算软约束使债务融资没有发挥其战略效应和治理效应,从而弱化了国有企业的市场竞争力。而当民营企业融资状况得到改善后,债务融资将逐渐发挥战略效应,使得高负债对其市场竞争力的负面影响得到缓解。
在第四章,本研究基于国家统计局《中国工业企业数据库》所提供的规模以上私营工业企业数据,从企业层面,通过考察资本形成和要素生产率提高两个途径,系统研究了融资环境,也即区域金融发展水平对中国私营企业生产效率的影响。本章首先从生产函数变量和生产率变量的各个方面,分析了中国私营企业生产效率在1998至2007年间的动态演变,发现中国私营企业全要素生产率一直保持较快增长。然后,本章从金融深化、金融业效率、金融信用水平、信贷干预多角度构建中国各省、市、自治区的金融发展水平指标,利用多元回归方法考察区域金融发展如何影响私营企业的技术特征、单要素生产率、全要素生产率和要素边际生产率。本章研究发现在2004至2007年间,区域金融发展能够显著提高私营企业的单要素生产率、全要素生产率和要素边际生产率,但区域金融发展不但没有促进私营企业的人均资本积累,反而对其有一定的抑制作用。本章的研究表明,中国的金融发展能够提高要素在私营企业之间的配置效率及使用效率从而提高私营企业的要素生产率和要素投入效率。但在中国作为转型经济体和发展中国家的双重背景下,私营企业的竞争力仍然依靠廉价劳动力,而目前的金融发展水平还无法改变私营企业在资本获取时的弱势地位,也就不能改变私营企业过度依靠劳动要素投入的现实。
在第五章,本研究考察了融资约束如何影响我国上市公司的股利政策,并借用产品市场竞争来分析融资约束的影响途径。本章利用2001至2008年中国制造业类上市公司数据,用公司在行业中占据的市场份额度量公司的市场竞争力,分别依据KZ指数、公司总资产规模、公司实际控制人性质判断公司面临的融资约束程度。研究发现,当公司面临较高融资约束程度时,公司显著发放了较少的现金股利。然后本章将样本分为高融资约束组和低融资约束组,发现当公司面临高融资约束时,公司市场竞争力对股利支付有显著影响,而当公司面临较低融资约束程度时,这一影响不再显著。本章的研究结果表明,融资约束对我国上市公司的股利政策具有重要影响。
在第六章,本研究基于2001至2009年中国A股非金融类上市公司数据,实证考察了融资约束与公司股票收益率、股价同步性、股票交易的逆向选择成本之间的关系。通过交叉分组和多因子模型回归分析,本章研究发现,当控制各种系统性风险之后,融资约束程度较低的公司其股票具有更高的收益率水平,买入低融资约束公司,卖出高融资约束公司,将获得显著为正的套利回报。然后,利用市场模型计算出每一个公司的股价同步性后,本章研究发现融资约束程度较低的公司股价同步性更高。最后,通过分析高频数据,并利用价差分解模型估计股票交易的逆向选择成本,本章研究发现面临更高融资约束的公司,其股票交易的逆向选择成本更高。更进一步,本章还发现分析师跟进能够改善上市公司的信息不对称程度,降低公司的融资约束程度。这表明,融资约束程度不同的公司,其信息不对称程度的不同在股票交易过程中得到了反映。
第七章系统总结了本研究的主要研究结论,并根据相关研究结论提出了政策建议。此外,本章还归纳了本研究的局限性和不足之处,并且指出了进一步的研究方向。
总体而言,本研究的贡献在于更全面地分析了融资约束对中国企业的实质影响,拓展了企业融资约束问题的研究。细化来看,本研究的贡献和创新之处主要包括以下几点。
第一,本研究发现预算软约束在债务融资与企业产品市场竞争力之间扮演着重要角色,因而本文的研究表明现有理论还需完善,才能刻画类似于中国这样的转型经济体中的企业行为。并且,国内在相关领域的实证研究主要集中于上市公司,而本研究则利用工业企业数据研究相关问题,所使用的数据库覆盖了中国90%以上的制造业企业,样本更具有代表性,这为这一领域的研究提供了有力的经验证据。此外,本研究从负债如何影响制造业企业市场竞争力的角度进一步佐证了预算软约束的扭曲作用。
第二,虽然已经有学者开始关注中国的金融发展对于资本积累或要素生产率的影响,但尚无文献专门针对中国的私营企业进行相关研究,本研究则将相关领域的研究又推进一步。并且,本研究基于企业层面的微观数据考察中国金融发展与生产率发展的关系,弥补了已有研究的不足。此外,本研究同时考察了区域金融发展如何影响私营企业的人均资本积累、单要素生产率、全要素生产率及要素边际生产率,分析更加全面。
第三,虽然一些研究直接将公司发放股利的多少作为公司融资约束程度的标识,但基于融资理论对它们之间的关系进行检验的文献还不多见,本研究则丰富了相关文献。此外,本研究引入产品市场竞争来考察融资约束对公司股利发放的影响,间接上也推进了产品市场竞争与公司融资行为关系的研究。
第四,已有文献还没有全面考察中国上市公司融资能力和股票收益以及股价同步性的关系,本研究则尝试研究了相关问题。此外,现有研究还未将融资约束与公司股票的微观交易行为相联系,而本研究首次考察了融资约束、信息不对称和股票交易的逆向选择成本之间的关系,弥补了相关领域的空白。
This paper tries to study the real effects of financial constraints and financial circumstance on China's enterprises. Particularly, this study will focus on several key questions. Firstly, how do financial constraints and capital structure affect China's enterprises' performance in product market? Secondly, how does financial circumstance influence the productivity of China's private sector? Thirdly, how do financial constraints affect the payout policy of China's listed firms? Fourthly, how do financial constraints influence the stock performance of China's listed firms?
Specifically, the main contents of this study are as following.
In chapter 2,I review the main theories relate to financing of corporations and financial constraints, including capital structure theories, trade-off theories, and pecking-order theories. I also review some models of costly external finance. After then, I review some studies which focus on the relationship between financial constraints and corporate policies, such as investment and cash holding. Lastly, I review the literatures most relate to this study, including how financial constraints affect firm's productivity and stock performance.
In Chapter 3, based on a firm-level dataset collected annually from 1998 to 2007 by China's National Bureau of Statistics, this paper studies how debt financing affect China manufacturing firm's performance in product markets. I find that debt financing hurt firm's performance in product markets. Moreover, when the state-owned-enterprises (SOEs) have soft budget constraint, or locate in the area with high marketization degree, the negative influence of debt financing will more heavily in these SOEs. On the contrary, when the non-SOEs have low financing cost, or locate in the area with high marketization degree, the negative influence of debt financing will be alleviated in these non-SOEs. My findings suggest that when the SOEs have soft budget constraint, the role of debt financing as strategic effect and governance effect will be constrained. But on the contrary, a low degree of financial constraint for non-SOEs will strengthen the role of debt financing as strategic effect.
In Chapter 4, based on the data of China's scale private industry firms from the same firm-level dataset collected by China's National Bureau of Statistics, this paper studies how financial circumstance or regional financial development affect China's private firms'productivity via capital accumulation and the improving of factor's productivity.I find that regional financial development can improve private firms' single factor productivity, total factor productivity and factor's marginal productivity, but restrain the capital accumulation. Therefore, the financial development in China can improve the allocation and using efficiency of factors among private firms. But the disadvantaged position in financing of private sector can't be changed by the current level of financial development.
In Chapter 5, using China's listed manufacturing firms' data from 2001 to 2008, this paper studies how financial constraints affect the payout policy of China's listed firms. I find that financially constrained firms pay fewer cash dividends. Moreover, I also find that for firms with financial constraints, cash dividends are positively related to the firm's market share within its industry. In addition, I find that non-state-owned-enterprises (non-SOEs) pay out more cash dividends when the firm's market share within its industry is higher. My study suggests that the dividend policy of China's listed firms is influenced by financial constraints.
In Chapter 6, using China's listed non-financial firms'data from 2001 to 2009, this paper studies how financial constraints influence firm's stock returns, stock price co-movement and adverse selection costs. Based on double sort analysis and factor models, I find financially constrained firms earn lower return than their unconstrained counterparts. Moreover, stock returns of financially unconstrained firms are found to move together. Lastly, I find financially constrained firms have higher adverse selection costs during the trading process.
In Chapter 7, I conclude the main results of this study and suggest some policy recommendations. I also conclude some deficiencies of this paper in the last chapter.
The main contributions of this study are as following.
Firstly, this study finds soft budget of SOEs play an important role in the relationship between debt financing and firm's performance in product market. Moreover, most existed researches related to this issue in China are based on the data of listed firms. But this paper studies such issue using a firm-level dataset collected annually from 1998 to 2007 by China's National Bureau of Statistics, which contains more than 90 percent manufacturing firms in China. Furthermore, this study adds new empirical evidence to the theories of soft budget.
Secondly, this study contribute to the literatures relate to the relationship between financial development and productivity in China, especially in the private sector. Moreover, this paper studies such issue using firm level dataset. Furthermore, this study considers capital accumulation, single factor productivity, total factor productivity and marginal productivities of factors simultaneously.
Thirdly, this paper adds new empirical evidence to the studies which focus on the relationship between financial constraints and firm's payout policy. Furthermore, this paper also adds new empirical evidence to the literatures about product market competition and firm's financing activities.
Fourthly, existed studies didn't consider how financial constraints affect stock performance of China's listed firms except this paper. Moreover, this paper is also the first study which relates financial constraints to stock's adverse selection costs during the trading process.
本研究在第二章系统回顾了企业融资理论和融资约束相关文献。通过对资本结构理论、权衡理论和优序融资理论的回顾,本章首先分析了融资约束问题的理论基础。然后,本章重点回顾了关于融资约束对企业财务行为影响的研究,特别是关于融资约束对企业投资行为影响的研究。最后,结合本研究所关心的问题,本章还回顾了关于融资约束如何影响企业经营决策、生产效率、股票表现的研究。
在第三章,本研究利用国家统计局《中国工业企业数据库》研究债务融资水平对我国制造业类企业市场竞争力的影响,并考察国有企业预算软约束在其中的作用,也同时考察民营企业的融资状况在其中的作用。本章发现高负债显著弱化了我国制造业企业的市场竞争力。进一步,本章发现当国有企业更可能存在预算软约束时,高负债对其市场竞争力有更严重的负面影响；当国有企业处于市场化程度较高地区时,高负债对其市场竞争力也将有更严重的负面影响。本章还发现,当民营企业具有较低融资成本时,高负债对其市场竞争力的负面影响将得到改善；当民营企业处于市场化程度较高地区时,高负债对其市场竞争力的负面影响也将得到改善。本章的研究结果表明,国有企业的预算软约束使债务融资没有发挥其战略效应和治理效应,从而弱化了国有企业的市场竞争力。而当民营企业融资状况得到改善后,债务融资将逐渐发挥战略效应,使得高负债对其市场竞争力的负面影响得到缓解。
在第四章,本研究基于国家统计局《中国工业企业数据库》所提供的规模以上私营工业企业数据,从企业层面,通过考察资本形成和要素生产率提高两个途径,系统研究了融资环境,也即区域金融发展水平对中国私营企业生产效率的影响。本章首先从生产函数变量和生产率变量的各个方面,分析了中国私营企业生产效率在1998至2007年间的动态演变,发现中国私营企业全要素生产率一直保持较快增长。然后,本章从金融深化、金融业效率、金融信用水平、信贷干预多角度构建中国各省、市、自治区的金融发展水平指标,利用多元回归方法考察区域金融发展如何影响私营企业的技术特征、单要素生产率、全要素生产率和要素边际生产率。本章研究发现在2004至2007年间,区域金融发展能够显著提高私营企业的单要素生产率、全要素生产率和要素边际生产率,但区域金融发展不但没有促进私营企业的人均资本积累,反而对其有一定的抑制作用。本章的研究表明,中国的金融发展能够提高要素在私营企业之间的配置效率及使用效率从而提高私营企业的要素生产率和要素投入效率。但在中国作为转型经济体和发展中国家的双重背景下,私营企业的竞争力仍然依靠廉价劳动力,而目前的金融发展水平还无法改变私营企业在资本获取时的弱势地位,也就不能改变私营企业过度依靠劳动要素投入的现实。
在第五章,本研究考察了融资约束如何影响我国上市公司的股利政策,并借用产品市场竞争来分析融资约束的影响途径。本章利用2001至2008年中国制造业类上市公司数据,用公司在行业中占据的市场份额度量公司的市场竞争力,分别依据KZ指数、公司总资产规模、公司实际控制人性质判断公司面临的融资约束程度。研究发现,当公司面临较高融资约束程度时,公司显著发放了较少的现金股利。然后本章将样本分为高融资约束组和低融资约束组,发现当公司面临高融资约束时,公司市场竞争力对股利支付有显著影响,而当公司面临较低融资约束程度时,这一影响不再显著。本章的研究结果表明,融资约束对我国上市公司的股利政策具有重要影响。
在第六章,本研究基于2001至2009年中国A股非金融类上市公司数据,实证考察了融资约束与公司股票收益率、股价同步性、股票交易的逆向选择成本之间的关系。通过交叉分组和多因子模型回归分析,本章研究发现,当控制各种系统性风险之后,融资约束程度较低的公司其股票具有更高的收益率水平,买入低融资约束公司,卖出高融资约束公司,将获得显著为正的套利回报。然后,利用市场模型计算出每一个公司的股价同步性后,本章研究发现融资约束程度较低的公司股价同步性更高。最后,通过分析高频数据,并利用价差分解模型估计股票交易的逆向选择成本,本章研究发现面临更高融资约束的公司,其股票交易的逆向选择成本更高。更进一步,本章还发现分析师跟进能够改善上市公司的信息不对称程度,降低公司的融资约束程度。这表明,融资约束程度不同的公司,其信息不对称程度的不同在股票交易过程中得到了反映。
第七章系统总结了本研究的主要研究结论,并根据相关研究结论提出了政策建议。此外,本章还归纳了本研究的局限性和不足之处,并且指出了进一步的研究方向。
总体而言,本研究的贡献在于更全面地分析了融资约束对中国企业的实质影响,拓展了企业融资约束问题的研究。细化来看,本研究的贡献和创新之处主要包括以下几点。
第一,本研究发现预算软约束在债务融资与企业产品市场竞争力之间扮演着重要角色,因而本文的研究表明现有理论还需完善,才能刻画类似于中国这样的转型经济体中的企业行为。并且,国内在相关领域的实证研究主要集中于上市公司,而本研究则利用工业企业数据研究相关问题,所使用的数据库覆盖了中国90%以上的制造业企业,样本更具有代表性,这为这一领域的研究提供了有力的经验证据。此外,本研究从负债如何影响制造业企业市场竞争力的角度进一步佐证了预算软约束的扭曲作用。
第二,虽然已经有学者开始关注中国的金融发展对于资本积累或要素生产率的影响,但尚无文献专门针对中国的私营企业进行相关研究,本研究则将相关领域的研究又推进一步。并且,本研究基于企业层面的微观数据考察中国金融发展与生产率发展的关系,弥补了已有研究的不足。此外,本研究同时考察了区域金融发展如何影响私营企业的人均资本积累、单要素生产率、全要素生产率及要素边际生产率,分析更加全面。
第三,虽然一些研究直接将公司发放股利的多少作为公司融资约束程度的标识,但基于融资理论对它们之间的关系进行检验的文献还不多见,本研究则丰富了相关文献。此外,本研究引入产品市场竞争来考察融资约束对公司股利发放的影响,间接上也推进了产品市场竞争与公司融资行为关系的研究。
第四,已有文献还没有全面考察中国上市公司融资能力和股票收益以及股价同步性的关系,本研究则尝试研究了相关问题。此外,现有研究还未将融资约束与公司股票的微观交易行为相联系,而本研究首次考察了融资约束、信息不对称和股票交易的逆向选择成本之间的关系,弥补了相关领域的空白。
This paper tries to study the real effects of financial constraints and financial circumstance on China's enterprises. Particularly, this study will focus on several key questions. Firstly, how do financial constraints and capital structure affect China's enterprises' performance in product market? Secondly, how does financial circumstance influence the productivity of China's private sector? Thirdly, how do financial constraints affect the payout policy of China's listed firms? Fourthly, how do financial constraints influence the stock performance of China's listed firms?
Specifically, the main contents of this study are as following.
In chapter 2,I review the main theories relate to financing of corporations and financial constraints, including capital structure theories, trade-off theories, and pecking-order theories. I also review some models of costly external finance. After then, I review some studies which focus on the relationship between financial constraints and corporate policies, such as investment and cash holding. Lastly, I review the literatures most relate to this study, including how financial constraints affect firm's productivity and stock performance.
In Chapter 3, based on a firm-level dataset collected annually from 1998 to 2007 by China's National Bureau of Statistics, this paper studies how debt financing affect China manufacturing firm's performance in product markets. I find that debt financing hurt firm's performance in product markets. Moreover, when the state-owned-enterprises (SOEs) have soft budget constraint, or locate in the area with high marketization degree, the negative influence of debt financing will more heavily in these SOEs. On the contrary, when the non-SOEs have low financing cost, or locate in the area with high marketization degree, the negative influence of debt financing will be alleviated in these non-SOEs. My findings suggest that when the SOEs have soft budget constraint, the role of debt financing as strategic effect and governance effect will be constrained. But on the contrary, a low degree of financial constraint for non-SOEs will strengthen the role of debt financing as strategic effect.
In Chapter 4, based on the data of China's scale private industry firms from the same firm-level dataset collected by China's National Bureau of Statistics, this paper studies how financial circumstance or regional financial development affect China's private firms'productivity via capital accumulation and the improving of factor's productivity.I find that regional financial development can improve private firms' single factor productivity, total factor productivity and factor's marginal productivity, but restrain the capital accumulation. Therefore, the financial development in China can improve the allocation and using efficiency of factors among private firms. But the disadvantaged position in financing of private sector can't be changed by the current level of financial development.
In Chapter 5, using China's listed manufacturing firms' data from 2001 to 2008, this paper studies how financial constraints affect the payout policy of China's listed firms. I find that financially constrained firms pay fewer cash dividends. Moreover, I also find that for firms with financial constraints, cash dividends are positively related to the firm's market share within its industry. In addition, I find that non-state-owned-enterprises (non-SOEs) pay out more cash dividends when the firm's market share within its industry is higher. My study suggests that the dividend policy of China's listed firms is influenced by financial constraints.
In Chapter 6, using China's listed non-financial firms'data from 2001 to 2009, this paper studies how financial constraints influence firm's stock returns, stock price co-movement and adverse selection costs. Based on double sort analysis and factor models, I find financially constrained firms earn lower return than their unconstrained counterparts. Moreover, stock returns of financially unconstrained firms are found to move together. Lastly, I find financially constrained firms have higher adverse selection costs during the trading process.
In Chapter 7, I conclude the main results of this study and suggest some policy recommendations. I also conclude some deficiencies of this paper in the last chapter.
The main contributions of this study are as following.
Firstly, this study finds soft budget of SOEs play an important role in the relationship between debt financing and firm's performance in product market. Moreover, most existed researches related to this issue in China are based on the data of listed firms. But this paper studies such issue using a firm-level dataset collected annually from 1998 to 2007 by China's National Bureau of Statistics, which contains more than 90 percent manufacturing firms in China. Furthermore, this study adds new empirical evidence to the theories of soft budget.
Secondly, this study contribute to the literatures relate to the relationship between financial development and productivity in China, especially in the private sector. Moreover, this paper studies such issue using firm level dataset. Furthermore, this study considers capital accumulation, single factor productivity, total factor productivity and marginal productivities of factors simultaneously.
Thirdly, this paper adds new empirical evidence to the studies which focus on the relationship between financial constraints and firm's payout policy. Furthermore, this paper also adds new empirical evidence to the literatures about product market competition and firm's financing activities.
Fourthly, existed studies didn't consider how financial constraints affect stock performance of China's listed firms except this paper. Moreover, this paper is also the first study which relates financial constraints to stock's adverse selection costs during the trading process.
引文
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