中国上市公司现金持有的价值研究
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摘要
在完美的资本市场中，公司是否持有流动资产与公司竞争优势和价值无关，但是资本市场远非完美，金融摩擦的存在使得公司制定金融政策时，要突出金融政策的灵活性，以期当公司遇到内外部条件变化时，能够及时且在不损害公司价值的情况下应对变化。有效地的流动性管理能够为公司提供必要的灵活性，作为最具流动性的现金资产是流动性管理的重中之重。金融摩擦的存在使公司的内外部融资成本出现了差异，不同的公司又因为所处行业、自身管理效率、财务特征等的不同而面临不同程度的外部融资约束，这些融资约束会影响公司现金持有的决策和持有现金价值。另外，中国资本市场的规模较小，企业外部融资多数依靠间接融资，因此中国上市公司面临的融资约束相对更为严重，所以从融资约束视角分析中国上市公司现金持有的作用和价值表现具有很强的现实意义。
本文首先从一个特征事实入手，通过实证回归融资约束不同的公司与现金持有水平的关系，发现受融资约束的公司会保留更多的现金储备，我们在该实证模型中控制住了可能影响现金持有水平的其他因素，因此这个结果是由融资约束的差异带来的，同时我们将无融资约束公司的现金持有水平看成是公司日常经营行为合理的现金持有水平，那么受融资约束的公司则表现出持有超额现金储备的行为。但是这些超额现金储备来自于哪里？根据现金-现金流敏感性的测度，我们发现无论是否受融资约束，现金-现金流敏感性都为正，但受融资约束的公司会从当期现金流中保留更大一部分作为现金资产持有，但是进一步的研究并没有得出融资约束与现金-现金流敏感性的单调性关系。
我们需要找到受融资约束公司持有超额现金储备的本质原因，才能从根本上解释公司持有超额现金的行为。根据凯恩斯的货币需求理论，除了正常经营的交易性需求外，公司还会出于谨慎性需求持有现金，但是我们使用的衡量标准与测度现金的谨慎性需求不同，我们使用现金流与增长机会的相关程度（我们称之为对冲需求）观察公司现金持有的动机，发现受融资约束的公司在面临高对冲需求时，更愿意持有现金，甚至会通过借债来增加现金余额；另外，通过选择外部资金供给冲击的特殊时间段，我们发现信贷紧缩会对公司的投资水平产生冲击，尤其对受融资约束的公司更为严重，但是现金储备则会缓解这种冲击，并且在受融资约束的公司缓解的力度更大。因此我们得出的结论是，面临外部融资约束的公司持有的超额现金储备具有对冲内部现金流负面变化和外部资金供给环境恶化而冲击投资需求的作用。
但这种正面的积极作用是否能够具有外在价值的表现形式呢？我们通过实证分析证明了受融资约束的公司出于对冲需求所持有的现金能够帮助企业在产品市场竞争和资本市场估值中获得超额回报。
一方面受融资约束的公司所持有的现金在资本市场存在溢价现象，而无融资约束的公司持有现金存在折价现象。另一方面，在实证考察现金持有额外增加一个单位所带来的超额收益时发现，无论是否受融资约束的公司，随着公司现金存量和杠杆水平的增加，现金的边际价值均会下降，但是平均来说，有融资约束公司的现金的边际价值是1.12元，而无融资约束公司的现金的边际价值只有0.87元，这0.25元的溢价表示的是两类公司进入市场的成本之差和股东对公司持有现金对冲内部现金流负面变化和外部资金供给环境恶化冲击投资需求作用的一种奖励。因此，受融资约束的公司所持有的超额现金会因为对冲作用而在资本市场中具有溢价效应，这体现了受融资约束公司的现金持有所具有的外在价值表现。
在产品市场竞争中，受融资约束公司的现金储备也同样表现出了它的价值。实证分析结果显示受融资约束公司持有现金能够为其产品带来市场份额的增加，而无融资约束的公司却会产生相反的效应。相对于竞争对手更大的现金储备能够为公司赢得竞争对手的市场份额，并且现金的这种竞争性优势会因为对手面临更紧的融资约束而被扩大。总体上来说，对于受融资约束的公司而言，现金在产品市场的竞争中是一件非常有力的武器，能够让公司具有争取到更大的市场份额的优势，同时带来更大的收益和利润。
因此本文总体的研究结论是，受融资约束的公司因为对冲作用而持有超额现金，并且现金的对冲作用确实能够为公司在产品市场的竞争优势和资本市场溢价带来切实的利益，这充分体现了公司持有现金的作用和价值所在。
In a perfect capital market, whether the Company holds liquid assets isindependent of the value of the company. But capital market is far from perfect, andthe existence of the financial friction enables the company financial policy decisionsto highlight the financial flexibility. Company could respond to changes in a timelymanner and without prejudice to the company's value when experiencing cash flow orinvestment opportunities to unanticipated changes. Effective liquidity management inthe financial policy for the company provides the necessary flexibility. As the mostliquid assets, cash assets, naturally is a top priority of liquidity management. Theexistence of financial frictions make the company's internal and external financingcosts is different, and different companies face different levels of external financingconstraints because the differences of the industries, management efficiency andfinancial characteristics, these financing constraints will affect the company's cashholdings policy decisions and cash holding value. Besides, China's capital market isrelatively small, the majority of external financing rely on indirect financing. Chineselisted companies face financing constraints relatively more serious, so the analysis ofthe role and value of Chinese listed companies holding cash has a strong practicalsignificance from the perspective of financing constraints.
Firstly, we start from a characteristic fact. through empirical regression betweenfinancing constraints and cash holdings,We found that the company constrained byfinancing will retain more cash reserves in the empirical model, we control otherfactors that may affect the cashholding level,So this is resulted by the differences infinancing constraints, and if we will regard the company's level of cash holdings withno financing constraints as a company's daily business activities and a reasonablelevel of cash holdings, then the company by financing constraints is demonstrated tohold the excess cash reserves. However, from where these excess cash reserves is?According to the measure of cash-cash flow sensitivity, we found that whether or notsubject to financing constraints, the cash-cash flow sensitivity is positive, but thecompany constrained by finance will retain a larger fraction of current cash flow as cash assets, and further research has not obtained the monotonic relationship betweenfinancing constraints and cash-cash flow sensitivity.
We have to find the reason why financing constrained companies hold excesscash reserves to explain their behaviors. According to the Keynesian money demandtheory, in addition to transaction demand, companies also hold cash because of theprudential demand. However, different from the measure standard of prudentialdemand, we use the correlation of cash flow and growth opportunity (which we callthe hedging needs) to observe the motivation of holding cash. We find that thefinancing constrained companies prefer to hold cash when they exposed to highhedging needs, they even increased cash in hand by running into debt. In addition, bychoosing special time intervals in which external funding strikes happened, we findthat credit crunch would affect companies' investment level, especially financingconstrained companies; however, cash reservations, particularly for financingconstrained companies, would alleviate this kind of strikes. So we reach ourconclusion that, facing external financing constraint, the excess cash held bycompanies has the functions of hedging disadvantage internal cash flow changes andexternal funding conditions deteriorate which both strike demand for investment.
However, is this positive active role having the manifestations of the externalvalue？Proved through empirical analysis, cash held by the company with financingconstraints for hedging needs help the company getting the excess returns in theproduct market competition and capital market valuation,
On the one hand the holding cash of company with the financing constraints at apremium in the capital market, and the holding cash of company without thefinancing constraints at a discount in the capital market On the other hand, in theempirical investigation of excess returns when company hold additional units cash,we found that whether or not subject to financing constraints, with the cash stock andleverage increases, the marginal value of cash will fall, but on average,The marginalvalue of the company's cash of financing constraints is1.12yuan, the marginal valueof the company's cash without financing constraints is only0.87yuan, the0.25yuanpremium represents the cost difference between the two types of companies enteringthe market and shareholders’ reward for the company holding cash hedge internal cash flow’s negative change and the supply of external funding for environmentaldegradation impact investment demand.Therefore, excess cash held by company withfinancing constraints get premium in the capital market because the hedging effect,which reflects the performance of the external value of the cash held by the companywith financing constraints
In product market competition, cash reserves of firms with financial constraintsalso show their value. The empirical results show that cash holding by firms withfinancial constraints can increase the product market share, by contrast, cash holdingby firms without financial constraints will decrease the product market share.Compare with the competitor, more cash reserves can help firms to win the marketshare, and the competitive advantage of cash will expand because of the opponent ofmore serious financial constraints. In short, cash is a very powerful weapon inproduct market competition to the firms with financial constraints, and it can makethe firm win a bigger market share and get more profit.
Thus, we conclude that firms with financial constraints hold excess cash in orderto hedging, and the hedging effect of cash can bring benefits for firms in aspects ofproduct market competitive advantage and capital market premium, it shows theeffect and value of cash holding.
本文首先从一个特征事实入手，通过实证回归融资约束不同的公司与现金持有水平的关系，发现受融资约束的公司会保留更多的现金储备，我们在该实证模型中控制住了可能影响现金持有水平的其他因素，因此这个结果是由融资约束的差异带来的，同时我们将无融资约束公司的现金持有水平看成是公司日常经营行为合理的现金持有水平，那么受融资约束的公司则表现出持有超额现金储备的行为。但是这些超额现金储备来自于哪里？根据现金-现金流敏感性的测度，我们发现无论是否受融资约束，现金-现金流敏感性都为正，但受融资约束的公司会从当期现金流中保留更大一部分作为现金资产持有，但是进一步的研究并没有得出融资约束与现金-现金流敏感性的单调性关系。
我们需要找到受融资约束公司持有超额现金储备的本质原因，才能从根本上解释公司持有超额现金的行为。根据凯恩斯的货币需求理论，除了正常经营的交易性需求外，公司还会出于谨慎性需求持有现金，但是我们使用的衡量标准与测度现金的谨慎性需求不同，我们使用现金流与增长机会的相关程度（我们称之为对冲需求）观察公司现金持有的动机，发现受融资约束的公司在面临高对冲需求时，更愿意持有现金，甚至会通过借债来增加现金余额；另外，通过选择外部资金供给冲击的特殊时间段，我们发现信贷紧缩会对公司的投资水平产生冲击，尤其对受融资约束的公司更为严重，但是现金储备则会缓解这种冲击，并且在受融资约束的公司缓解的力度更大。因此我们得出的结论是，面临外部融资约束的公司持有的超额现金储备具有对冲内部现金流负面变化和外部资金供给环境恶化而冲击投资需求的作用。
但这种正面的积极作用是否能够具有外在价值的表现形式呢？我们通过实证分析证明了受融资约束的公司出于对冲需求所持有的现金能够帮助企业在产品市场竞争和资本市场估值中获得超额回报。
一方面受融资约束的公司所持有的现金在资本市场存在溢价现象，而无融资约束的公司持有现金存在折价现象。另一方面，在实证考察现金持有额外增加一个单位所带来的超额收益时发现，无论是否受融资约束的公司，随着公司现金存量和杠杆水平的增加，现金的边际价值均会下降，但是平均来说，有融资约束公司的现金的边际价值是1.12元，而无融资约束公司的现金的边际价值只有0.87元，这0.25元的溢价表示的是两类公司进入市场的成本之差和股东对公司持有现金对冲内部现金流负面变化和外部资金供给环境恶化冲击投资需求作用的一种奖励。因此，受融资约束的公司所持有的超额现金会因为对冲作用而在资本市场中具有溢价效应，这体现了受融资约束公司的现金持有所具有的外在价值表现。
在产品市场竞争中，受融资约束公司的现金储备也同样表现出了它的价值。实证分析结果显示受融资约束公司持有现金能够为其产品带来市场份额的增加，而无融资约束的公司却会产生相反的效应。相对于竞争对手更大的现金储备能够为公司赢得竞争对手的市场份额，并且现金的这种竞争性优势会因为对手面临更紧的融资约束而被扩大。总体上来说，对于受融资约束的公司而言，现金在产品市场的竞争中是一件非常有力的武器，能够让公司具有争取到更大的市场份额的优势，同时带来更大的收益和利润。
因此本文总体的研究结论是，受融资约束的公司因为对冲作用而持有超额现金，并且现金的对冲作用确实能够为公司在产品市场的竞争优势和资本市场溢价带来切实的利益，这充分体现了公司持有现金的作用和价值所在。
In a perfect capital market, whether the Company holds liquid assets isindependent of the value of the company. But capital market is far from perfect, andthe existence of the financial friction enables the company financial policy decisionsto highlight the financial flexibility. Company could respond to changes in a timelymanner and without prejudice to the company's value when experiencing cash flow orinvestment opportunities to unanticipated changes. Effective liquidity management inthe financial policy for the company provides the necessary flexibility. As the mostliquid assets, cash assets, naturally is a top priority of liquidity management. Theexistence of financial frictions make the company's internal and external financingcosts is different, and different companies face different levels of external financingconstraints because the differences of the industries, management efficiency andfinancial characteristics, these financing constraints will affect the company's cashholdings policy decisions and cash holding value. Besides, China's capital market isrelatively small, the majority of external financing rely on indirect financing. Chineselisted companies face financing constraints relatively more serious, so the analysis ofthe role and value of Chinese listed companies holding cash has a strong practicalsignificance from the perspective of financing constraints.
Firstly, we start from a characteristic fact. through empirical regression betweenfinancing constraints and cash holdings,We found that the company constrained byfinancing will retain more cash reserves in the empirical model, we control otherfactors that may affect the cashholding level,So this is resulted by the differences infinancing constraints, and if we will regard the company's level of cash holdings withno financing constraints as a company's daily business activities and a reasonablelevel of cash holdings, then the company by financing constraints is demonstrated tohold the excess cash reserves. However, from where these excess cash reserves is?According to the measure of cash-cash flow sensitivity, we found that whether or notsubject to financing constraints, the cash-cash flow sensitivity is positive, but thecompany constrained by finance will retain a larger fraction of current cash flow as cash assets, and further research has not obtained the monotonic relationship betweenfinancing constraints and cash-cash flow sensitivity.
We have to find the reason why financing constrained companies hold excesscash reserves to explain their behaviors. According to the Keynesian money demandtheory, in addition to transaction demand, companies also hold cash because of theprudential demand. However, different from the measure standard of prudentialdemand, we use the correlation of cash flow and growth opportunity (which we callthe hedging needs) to observe the motivation of holding cash. We find that thefinancing constrained companies prefer to hold cash when they exposed to highhedging needs, they even increased cash in hand by running into debt. In addition, bychoosing special time intervals in which external funding strikes happened, we findthat credit crunch would affect companies' investment level, especially financingconstrained companies; however, cash reservations, particularly for financingconstrained companies, would alleviate this kind of strikes. So we reach ourconclusion that, facing external financing constraint, the excess cash held bycompanies has the functions of hedging disadvantage internal cash flow changes andexternal funding conditions deteriorate which both strike demand for investment.
However, is this positive active role having the manifestations of the externalvalue？Proved through empirical analysis, cash held by the company with financingconstraints for hedging needs help the company getting the excess returns in theproduct market competition and capital market valuation,
On the one hand the holding cash of company with the financing constraints at apremium in the capital market, and the holding cash of company without thefinancing constraints at a discount in the capital market On the other hand, in theempirical investigation of excess returns when company hold additional units cash,we found that whether or not subject to financing constraints, with the cash stock andleverage increases, the marginal value of cash will fall, but on average,The marginalvalue of the company's cash of financing constraints is1.12yuan, the marginal valueof the company's cash without financing constraints is only0.87yuan, the0.25yuanpremium represents the cost difference between the two types of companies enteringthe market and shareholders’ reward for the company holding cash hedge internal cash flow’s negative change and the supply of external funding for environmentaldegradation impact investment demand.Therefore, excess cash held by company withfinancing constraints get premium in the capital market because the hedging effect,which reflects the performance of the external value of the cash held by the companywith financing constraints
In product market competition, cash reserves of firms with financial constraintsalso show their value. The empirical results show that cash holding by firms withfinancial constraints can increase the product market share, by contrast, cash holdingby firms without financial constraints will decrease the product market share.Compare with the competitor, more cash reserves can help firms to win the marketshare, and the competitive advantage of cash will expand because of the opponent ofmore serious financial constraints. In short, cash is a very powerful weapon inproduct market competition to the firms with financial constraints, and it can makethe firm win a bigger market share and get more profit.
Thus, we conclude that firms with financial constraints hold excess cash in orderto hedging, and the hedging effect of cash can bring benefits for firms in aspects ofproduct market competitive advantage and capital market premium, it shows theeffect and value of cash holding.
引文
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