具有融资约束的企业投资理论与方法研究
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摘要
加入WTO以来,我国企业的外部环境和内部结构发生了深刻变化,其中最突出的表现是资本市场的兴起以及相应的外部融资行为市场化。在外部融资不确定的条件下,企业如何选择投资时机,如何优化投资规则已成为国内外企业投资融资领域的研究重点,因此,将投资与融资结合起来研究企业的投资行为具有重要的理论意义和较大的实用价值。
本文首先从中观经济学中的角度对加速理论、新古典投资理论、调整成本理论等企业投资理论进行了总结;然后,利用实物期权方法研究了企业投资成本不确定条件下的最优投资规则;第三,研究了现代企业融资理论,建立了不对称信息下的企业融资模型,并实证分析了我国上市公司的融资偏好及其成因;最后,研究了不完善资本市场下自有资本对企业投资行为的影响,给出了企业在预防性动机下的自有资本最优持有策略,并求解出了企业在融资约束下多期投资的最优临界点和最优投资规则。本文的创新之处如下:
第一,利用实物期权方法研究了企业满足简单柯布——道格拉斯生产函数下企业的资本边际价值的运动规则,求解出成本不确定条件下的企业最优投资临界值和最优投资规模,解决了企业在调整成本不确定条件下的投资时机和投资规模选择问题。
第二,深入研究了不完善市场下的自有资本对企业投资行为的影响,利用博弈理论建立了存在经理人私人利益下的企业融资的自有资本约束模型;研究了自有资本积累对降低企业融资约束的作用,并给出了平衡现期和未来投资需求情况下的企业自有资本的最优持有策略。
第三,建立了企业受到融资约束时,自有资本和投资时机双重不确定条件下的三期动态投资模型,通过比较各期投资价值,求解出了投资在不同延迟期下的最优临界点。并将面板数据与时间数据相结合,利用线性回归方法实证分析了我国沪深300指数样本上市公司的投资行为与前三期自有资本以及融资约束的关系。研究表明,我国上市公司的投资支出受经营活动现金流净额和融资能力约束较大,受到流动资金的约束较小,而与资产负债率和主营业务收入无关。
Since China’s entry into WTO, the internal structures of Chinese enterprises have been changing significantly to accommodate the turbulent external environment. Thanks to the emergence and prosperity of the domestic stock market, the external financing behaviors of the enterprises are becoming more market oriented. Under such external financing uncertainties, it is of great importance for the enterprises to make proper choice between investment opportunities and to optimize investment decision rules. Thus, it becomes more theoretically and empirically valuable to study the enterprises’investment behaviors influenced by both of its financing and investment activities.
This paper starts from summarizing the theories of corporate investment in the aspect of macroeconomics, including accelerating theory, neo-classical investment theory, cost adjustment theory, etc.. Then, real option method is used to study the optimal investment rules under uncertainties. Thirdly, it studies modern corporate financing theory, constructs a financing model in an environment of information imperfections, and empirically analyzes the financing preferences of the domestic listed companies and the reason causing these preferences. Finally, it studies the influence of internal fund on the investment behavior under the imperfect capital market, provides for the optimal internal capital holding strategies with defensive intention, and derives the optimal investment threshold and decision rule with financing constraints.
The innovation of this paper shows as follows. Firstly, I introduce the method of real option to analyze the moving patterns of capital marginal value for enterprises meeting the requirements of Cobb-Douglas production function, from which I derive optimal investment thresholds and scales under cost uncertainties. Secondly, I study the influence of internal fund on corporate investment behavior in the imperfect capital market, and utilize game theory to model the enterprises financing activities upon the constraints of internal fund under condition of the existence of private interests of managers. Moreover, I study the impact of internal capital accumulation upon the reduction of financing constraints, and provide the optimal cash holdings strategies balancing the investment demands between the current and the future. Thirdly, I construct a triple period dynamic model under the uncertainties of internal fund and investment timing. Through comparing the investment values of different periods, I derive the optimal investment threshold. Combining panel data with time data, I empirically analyze the relationship among corporate investment behavior, internal fund of different periods and financing constraints by the way of linear regression.
本文首先从中观经济学中的角度对加速理论、新古典投资理论、调整成本理论等企业投资理论进行了总结;然后,利用实物期权方法研究了企业投资成本不确定条件下的最优投资规则;第三,研究了现代企业融资理论,建立了不对称信息下的企业融资模型,并实证分析了我国上市公司的融资偏好及其成因;最后,研究了不完善资本市场下自有资本对企业投资行为的影响,给出了企业在预防性动机下的自有资本最优持有策略,并求解出了企业在融资约束下多期投资的最优临界点和最优投资规则。本文的创新之处如下:
第一,利用实物期权方法研究了企业满足简单柯布——道格拉斯生产函数下企业的资本边际价值的运动规则,求解出成本不确定条件下的企业最优投资临界值和最优投资规模,解决了企业在调整成本不确定条件下的投资时机和投资规模选择问题。
第二,深入研究了不完善市场下的自有资本对企业投资行为的影响,利用博弈理论建立了存在经理人私人利益下的企业融资的自有资本约束模型;研究了自有资本积累对降低企业融资约束的作用,并给出了平衡现期和未来投资需求情况下的企业自有资本的最优持有策略。
第三,建立了企业受到融资约束时,自有资本和投资时机双重不确定条件下的三期动态投资模型,通过比较各期投资价值,求解出了投资在不同延迟期下的最优临界点。并将面板数据与时间数据相结合,利用线性回归方法实证分析了我国沪深300指数样本上市公司的投资行为与前三期自有资本以及融资约束的关系。研究表明,我国上市公司的投资支出受经营活动现金流净额和融资能力约束较大,受到流动资金的约束较小,而与资产负债率和主营业务收入无关。
Since China’s entry into WTO, the internal structures of Chinese enterprises have been changing significantly to accommodate the turbulent external environment. Thanks to the emergence and prosperity of the domestic stock market, the external financing behaviors of the enterprises are becoming more market oriented. Under such external financing uncertainties, it is of great importance for the enterprises to make proper choice between investment opportunities and to optimize investment decision rules. Thus, it becomes more theoretically and empirically valuable to study the enterprises’investment behaviors influenced by both of its financing and investment activities.
This paper starts from summarizing the theories of corporate investment in the aspect of macroeconomics, including accelerating theory, neo-classical investment theory, cost adjustment theory, etc.. Then, real option method is used to study the optimal investment rules under uncertainties. Thirdly, it studies modern corporate financing theory, constructs a financing model in an environment of information imperfections, and empirically analyzes the financing preferences of the domestic listed companies and the reason causing these preferences. Finally, it studies the influence of internal fund on the investment behavior under the imperfect capital market, provides for the optimal internal capital holding strategies with defensive intention, and derives the optimal investment threshold and decision rule with financing constraints.
The innovation of this paper shows as follows. Firstly, I introduce the method of real option to analyze the moving patterns of capital marginal value for enterprises meeting the requirements of Cobb-Douglas production function, from which I derive optimal investment thresholds and scales under cost uncertainties. Secondly, I study the influence of internal fund on corporate investment behavior in the imperfect capital market, and utilize game theory to model the enterprises financing activities upon the constraints of internal fund under condition of the existence of private interests of managers. Moreover, I study the impact of internal capital accumulation upon the reduction of financing constraints, and provide the optimal cash holdings strategies balancing the investment demands between the current and the future. Thirdly, I construct a triple period dynamic model under the uncertainties of internal fund and investment timing. Through comparing the investment values of different periods, I derive the optimal investment threshold. Combining panel data with time data, I empirically analyze the relationship among corporate investment behavior, internal fund of different periods and financing constraints by the way of linear regression.
引文
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