投资者情绪、现金持有与上市公司投资
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摘要
从上世纪九十年代东南亚金融风暴，到2008年发端于美国并蔓延全球的金融危机，再到欧债危机引发的各国股市低迷，资本市场投资者高涨或低迷的情绪会导致股票价格系统性偏离其基本价值并对企业投资等活动造成冲击。但是，在外部资本市场变化和投资者情绪剧烈波动的影响下，企业由于自身财务状况的不同而体现出不同抵御风险和维持投资和经营的能力。基于这种现象，学术界和实务界开始关注一个在较长时间内被忽略的问题，即公司现金持有状况。
现金是企业流通性最强、最具普遍可接受性的资产，可直接用于投资等活动。所以，投资者情绪变化时，企业的自有资金状况就会对投资者情绪影响投资的程度产生调节作用：投资者情绪高涨下的低融资成本和高预期促进投资时，若企业还拥有充足的现金那么就更加愿意扩大投资规模；投资者情绪低落造成高融资成本和风险时，若企业自有资金也非常紧张就更不愿意将资金用于投资从而使得投资受到的影响更大。所以，相对于低现金持有的企业，高额现金持有企业的投资对于投资者情绪的敏感性更高。
基于以上分析，本研究将外部市场投资者情绪和企业层面的现金持有状况相结合，更深入的分析投资行为如何受到内外部因素的共同影响。立足于已有研究并结合我国企业控股权的性质和结构等因素，研究首先分析现金持有对投资者情绪作用于投资的各条渠道产生什么影响，进而检验现金持有对投资者情绪影响投资的程度产生什么样的调节作用。进一步的，文章还深入分析了不同终极控制人性质和两权分离制度下对现金持有调节投资—投资者情绪敏感性的程度是否存在差异。在以上分析的基础上，进一步检验不同投资者情绪和现金持有状况对于非效率投资的影响，进而从抵御外部冲击、维持经营的视角分析不同投资者情绪下现金持有价值是否有所不同。
根据以上思路，本研究的主要分为七个章节。第一章导论会结合实际提出研究问题，阐述其现实和理论意义，并介绍文章思路框架、主要创新与不足。第二章是文献综述，对投资者情绪、现金持有及投资等方面的文献进行系统梳理总结，为进一步分析投资者情绪、现金持有对于投资的影响奠定基础。第三章基于理论分析和我国实际，从作用机理和资源配置的视角提出文章的基本假设。第四到第六章对第三章提出的假设进行实证检验并对结果进行分析。最后一章结论则对文章的研究发现进行总结并分析不足以及未来的研究方向。
本文的研究发现主要有以下几点：第一，发现企业的内部现金持有状况会对投资者情绪影响投资的程度产生加剧或者减弱的调节作用：投资者情绪高涨时，高现金持有企业更加愿意扩大投资规模，投资者情绪低落时企业自有资金也非常紧张就更不愿意将资金用于投资从而使得投资受到的影响更大。所以，相对于低现金持有的企业，高额现金持有企业的投资对于投资者情绪的敏感性更高。
其次，发现不同控股权性质和两权分离度的企业，现金持有对投资者情绪影响投资的调节作用是不同的。信贷配给劣势地位、高经营和财务风险等因素使得非国有企业的持有现金的动机更强，相应减少了可用于投资的资金比例，使投资对投资者情绪的敏感性受现金持有的影响更小。研究还发现不同两权分离度也会产生影响：高两权分离度的企业终极控制人面对高涨的投资者情绪更容易将现金用于投资以及自利性行为，而低两权分离度的企业则更少的按照投资者情绪安排现金的使用，所以高两权分离度的企业现金持有对于投资--投资者情绪敏感性的影响更高。
第三，从投资效率来看，发现投资者情绪对非效率投资的“恶化效应”和“缓解效应”都会受现金持有状况的影响。过度投资的企业，其过度投资与投资者情绪间的正相关程度与现金持有额正相关；投资不足的企业，其投资不足与投资者情绪之间的负相关程度与现金持有额负相关。也就是说，高现金持有会使得高涨的投资者情绪下的投资过度程度更大，但会缓解在投资者情绪低落时的投资不足状况；现金持有不足，会使得投资者情绪低落时的投资过度更严重，但也会缓解投资者情绪高涨时的投资过度状况。
第四，从企业经营对自有现金的依赖程度以及现金对于企业价值贡献的视角，文章还分析了不同投资者情绪状态下现金持有的价值。企业持有现金有收益也有成本，其价值最终还是要看它对企业价值增值的贡献。检验发现，由于在投资者情绪低落时外部融资的成本加大，投资活动以及正常的生产经营更多的需要依靠内部资金，所以现金持有价值更高。
与已有研究与文献相比，本研究的创新体现在以下几方面：首先，已有对投资者情绪影响上市公司投资的研究没有将公司层面的资金状况考虑进来。投资是受内外部环境共同作用的，外部投资者情绪对投资的影响程度会由于企业自身的资金状况的不同而不同。
其次，发现了现金持有对投资者情绪和非效率投资的相关程度也会有影响。过度投资的企业，其过度投资与投资者情绪间的正相关程度与现金持有额正相关。而投资不足的企业，其投资不足与投资者情绪之间的负相关程度与现金持有额负相关。
第三，已有研究对现金持有价值的判断大多只立足于市值、业绩等公司层面的因素。本研究从抵御外部风险和对企业价值贡献的角度检验现金的价值效应，是分析现金持有价值的一个新的视角。检验证实，外部市场的变化使投资及生产经营对于内部资金的依赖度不同，造成了不同投资者情绪下的现金持有价值也不同。
Thinking about the facts of the financial crisis in Southeast Asia, the worldwide spread financial crisis originated in USA in2008, and also the the downturn of the stock market caused by the European debt crisis, people have recognized the significant influence of investor sentiment. The volatility of investor sentiment can not only make the stock price deviated from the fundamental value but also make the systematic deviation exist for quite a long time. Facing the drastic changing of the outside market, companies show the different abilities to afford the external crisis because of their different internal financial conditions. The fact that companies with sufficient cash saving show stable operation conditions and performances make the circle of theory and practice pay more attention to an issue which has been ignored for a long time----the corporate cash holding.
Cash is the fund temporarily exists in the company as the pattern of money which is also the most liquid asset of company. When facing the high outside financing costs and the undervalued estimation of company caused by the pessimistic investor sentiment, the daily operation and performance of company mostly based the internal fund. Under this condition, the cash holding condition would play an important role, especially in aggravating or releasing the outside shocks. If the cash saving is sufficient, then the influence of the pessimistic investor sentiment to financing, investment and so on would be released by the support of inside cash; oppositely, the lack of cash holding would make the company prone to decline the investment when facing bad outside market condition. High cash holding would magnify the increasing of investment caused by optimistic investor sentiment and low cash holding would magnify the decreasing of investment caused by pessimistic investor sentiment. So compared to low cash holding company, high cash holding company's investmen-investor sentiment sensitivity would be higher.
Based on the above analyses, we take the market level investor sentiment and the company level cash holding into account together and deeply think about the problem-how investments being influenced by the inside and outside factors. Initiated from the existing researches about the channels of how the sentiment influences investment, we analyze the different roles of cash holding in each channel in detail to see the total function of cash holding on changing the extent of the influence from sentiment to investment. We also make further tests based on the reality in our country by taking the ownership property and separation of control and cash flow right into accounts. Furthermore, tests about the influence of cash to the inefficient investment caused by sentiment which means the cash holding under different sentiment would bring financial consequences on assets allocation. Due to the different functions of cash holding to investment under different sentiment, we find that the value of cash changes with the sentiment conditions. The cash values tests proved the hypothesis that the cash value is higher during pessimistic investor sentiment period.
As the thoughts above, the dissertation is constituted with seven main chapters. The first chapter is the introduction which focuses on explaining the research problems from the reality, the theoretical and realistic meaning of the research and the main constructions. The second chapter is the literature review about the investor sentiment, cash holdings and value, investment and so on to form the theoretical basic for further analyze. The third chapter is about the key theoretical derivations of basic hypotheses and further tests about the ownership property and separation of control and cash flow right and also the cash holding values. The chapter four to chapter six is the empirical tests of all the hypotheses mentioned in the third chapter and the analyses of the results with the policy proposals. The last part includes the summary of the whole dissertation, the disadvantages and further researches prospects.
The main research findings can be summarized as the following four points:
First, the company cash holding condition can adjust the extent of influences of investor sentiment to corporate investment. That is to say, the high cash saving may magnify the acceleration influence of optimistic sentiment to investment and the low cash saving may make the inhibitory action of pessimistic sentiment to investment to be more serious. By the same reason, the high cash saving may release the inhibitory action of pessimistic sentiment to investment and low cash saving may also trail off the influence of optimistic sentiment to investment.
Second, companies'ownership property and separation of control and cash flow right may make the function of cash in adjusting the relationship between sentiment and investment change. Compared to state-owned companies, not-state-owned companies stay at the inferior status in the credit rationing, afford higher operation and financial risk which makes the requirement of cash saving to be stronger. This stronger cash holding intention makes not-state-owned companies put less money into the investment which lower the sensitivity of investment to sentiment. Secondly, separation of control and cash flow right would also make the function of cash holding to be different:the manager of companies with large separation of two rights are more likely to spend more money on investment when sentiment is high, which make the cash holding influence more on the sensitivity of investment to sentiment.
Third, from the perspective of the inefficiency of investment, the tests prove that the deterioration and mitigation functions of sentiment to inefficient investment are all influenced by cash holdings. The positive relation between over-investment and sentiment increases with the cash holding rising. The negative relation between under-investment and sentiment increases with the cash reducing. It is to say, high cash holding would make the over-investment to be more serious during high sentiment, but at the same time release the extent of the influence from low sentiment to under-investment; low cash holding would make the under-investment to be more serious during low sentiment, but at the same time release the extent of the influence from high sentiment to over-investment
Finally, based on the reliance of investment and operation to cash, we analyze and test whether the cash holding value varies with the sentiment. Cash holding bring benefits and costs which make the cash holding contribution to be decided by the difference between benefits and costs. Empirical tests prove the cash value ascends during pessimistic sentiment period. Because the cost of outside financing is higher this time and the operation rely more on internal fund.
The main innovative findings include the following three points. First, the existing researches about the influence of sentiment to investment ignored the internal fund conditions of different companies. This dissertation take the same outside sentiment condition and different company cash holding together to find the truth about how the investment be influenced by inside and outside factors. The state-owned condition and separation of control and cash flow right would make the influence extent of cash to be different. Second, further tests show the joint influence of sentiment and cash is also significant to the inefficiency of investment. The positive relation between over-investment and sentiment increases with the cash holding rising. On the other hand, the negative relation between under-investment and sentiment increases with the cash reducing. Third, thinking that the reliance of investment to cash varies with sentiment, the dissertation analyzes the cash holding value from the perspective of the value of cash holding to fight against the outside market shock. The tests show that the cash value is higher during low sentiment, because during this period the operation of the whole company relies more on internal fund. These tests supply a new perspective to test the value of cash holding.
现金是企业流通性最强、最具普遍可接受性的资产，可直接用于投资等活动。所以，投资者情绪变化时，企业的自有资金状况就会对投资者情绪影响投资的程度产生调节作用：投资者情绪高涨下的低融资成本和高预期促进投资时，若企业还拥有充足的现金那么就更加愿意扩大投资规模；投资者情绪低落造成高融资成本和风险时，若企业自有资金也非常紧张就更不愿意将资金用于投资从而使得投资受到的影响更大。所以，相对于低现金持有的企业，高额现金持有企业的投资对于投资者情绪的敏感性更高。
基于以上分析，本研究将外部市场投资者情绪和企业层面的现金持有状况相结合，更深入的分析投资行为如何受到内外部因素的共同影响。立足于已有研究并结合我国企业控股权的性质和结构等因素，研究首先分析现金持有对投资者情绪作用于投资的各条渠道产生什么影响，进而检验现金持有对投资者情绪影响投资的程度产生什么样的调节作用。进一步的，文章还深入分析了不同终极控制人性质和两权分离制度下对现金持有调节投资—投资者情绪敏感性的程度是否存在差异。在以上分析的基础上，进一步检验不同投资者情绪和现金持有状况对于非效率投资的影响，进而从抵御外部冲击、维持经营的视角分析不同投资者情绪下现金持有价值是否有所不同。
根据以上思路，本研究的主要分为七个章节。第一章导论会结合实际提出研究问题，阐述其现实和理论意义，并介绍文章思路框架、主要创新与不足。第二章是文献综述，对投资者情绪、现金持有及投资等方面的文献进行系统梳理总结，为进一步分析投资者情绪、现金持有对于投资的影响奠定基础。第三章基于理论分析和我国实际，从作用机理和资源配置的视角提出文章的基本假设。第四到第六章对第三章提出的假设进行实证检验并对结果进行分析。最后一章结论则对文章的研究发现进行总结并分析不足以及未来的研究方向。
本文的研究发现主要有以下几点：第一，发现企业的内部现金持有状况会对投资者情绪影响投资的程度产生加剧或者减弱的调节作用：投资者情绪高涨时，高现金持有企业更加愿意扩大投资规模，投资者情绪低落时企业自有资金也非常紧张就更不愿意将资金用于投资从而使得投资受到的影响更大。所以，相对于低现金持有的企业，高额现金持有企业的投资对于投资者情绪的敏感性更高。
其次，发现不同控股权性质和两权分离度的企业，现金持有对投资者情绪影响投资的调节作用是不同的。信贷配给劣势地位、高经营和财务风险等因素使得非国有企业的持有现金的动机更强，相应减少了可用于投资的资金比例，使投资对投资者情绪的敏感性受现金持有的影响更小。研究还发现不同两权分离度也会产生影响：高两权分离度的企业终极控制人面对高涨的投资者情绪更容易将现金用于投资以及自利性行为，而低两权分离度的企业则更少的按照投资者情绪安排现金的使用，所以高两权分离度的企业现金持有对于投资--投资者情绪敏感性的影响更高。
第三，从投资效率来看，发现投资者情绪对非效率投资的“恶化效应”和“缓解效应”都会受现金持有状况的影响。过度投资的企业，其过度投资与投资者情绪间的正相关程度与现金持有额正相关；投资不足的企业，其投资不足与投资者情绪之间的负相关程度与现金持有额负相关。也就是说，高现金持有会使得高涨的投资者情绪下的投资过度程度更大，但会缓解在投资者情绪低落时的投资不足状况；现金持有不足，会使得投资者情绪低落时的投资过度更严重，但也会缓解投资者情绪高涨时的投资过度状况。
第四，从企业经营对自有现金的依赖程度以及现金对于企业价值贡献的视角，文章还分析了不同投资者情绪状态下现金持有的价值。企业持有现金有收益也有成本，其价值最终还是要看它对企业价值增值的贡献。检验发现，由于在投资者情绪低落时外部融资的成本加大，投资活动以及正常的生产经营更多的需要依靠内部资金，所以现金持有价值更高。
与已有研究与文献相比，本研究的创新体现在以下几方面：首先，已有对投资者情绪影响上市公司投资的研究没有将公司层面的资金状况考虑进来。投资是受内外部环境共同作用的，外部投资者情绪对投资的影响程度会由于企业自身的资金状况的不同而不同。
其次，发现了现金持有对投资者情绪和非效率投资的相关程度也会有影响。过度投资的企业，其过度投资与投资者情绪间的正相关程度与现金持有额正相关。而投资不足的企业，其投资不足与投资者情绪之间的负相关程度与现金持有额负相关。
第三，已有研究对现金持有价值的判断大多只立足于市值、业绩等公司层面的因素。本研究从抵御外部风险和对企业价值贡献的角度检验现金的价值效应，是分析现金持有价值的一个新的视角。检验证实，外部市场的变化使投资及生产经营对于内部资金的依赖度不同，造成了不同投资者情绪下的现金持有价值也不同。
Thinking about the facts of the financial crisis in Southeast Asia, the worldwide spread financial crisis originated in USA in2008, and also the the downturn of the stock market caused by the European debt crisis, people have recognized the significant influence of investor sentiment. The volatility of investor sentiment can not only make the stock price deviated from the fundamental value but also make the systematic deviation exist for quite a long time. Facing the drastic changing of the outside market, companies show the different abilities to afford the external crisis because of their different internal financial conditions. The fact that companies with sufficient cash saving show stable operation conditions and performances make the circle of theory and practice pay more attention to an issue which has been ignored for a long time----the corporate cash holding.
Cash is the fund temporarily exists in the company as the pattern of money which is also the most liquid asset of company. When facing the high outside financing costs and the undervalued estimation of company caused by the pessimistic investor sentiment, the daily operation and performance of company mostly based the internal fund. Under this condition, the cash holding condition would play an important role, especially in aggravating or releasing the outside shocks. If the cash saving is sufficient, then the influence of the pessimistic investor sentiment to financing, investment and so on would be released by the support of inside cash; oppositely, the lack of cash holding would make the company prone to decline the investment when facing bad outside market condition. High cash holding would magnify the increasing of investment caused by optimistic investor sentiment and low cash holding would magnify the decreasing of investment caused by pessimistic investor sentiment. So compared to low cash holding company, high cash holding company's investmen-investor sentiment sensitivity would be higher.
Based on the above analyses, we take the market level investor sentiment and the company level cash holding into account together and deeply think about the problem-how investments being influenced by the inside and outside factors. Initiated from the existing researches about the channels of how the sentiment influences investment, we analyze the different roles of cash holding in each channel in detail to see the total function of cash holding on changing the extent of the influence from sentiment to investment. We also make further tests based on the reality in our country by taking the ownership property and separation of control and cash flow right into accounts. Furthermore, tests about the influence of cash to the inefficient investment caused by sentiment which means the cash holding under different sentiment would bring financial consequences on assets allocation. Due to the different functions of cash holding to investment under different sentiment, we find that the value of cash changes with the sentiment conditions. The cash values tests proved the hypothesis that the cash value is higher during pessimistic investor sentiment period.
As the thoughts above, the dissertation is constituted with seven main chapters. The first chapter is the introduction which focuses on explaining the research problems from the reality, the theoretical and realistic meaning of the research and the main constructions. The second chapter is the literature review about the investor sentiment, cash holdings and value, investment and so on to form the theoretical basic for further analyze. The third chapter is about the key theoretical derivations of basic hypotheses and further tests about the ownership property and separation of control and cash flow right and also the cash holding values. The chapter four to chapter six is the empirical tests of all the hypotheses mentioned in the third chapter and the analyses of the results with the policy proposals. The last part includes the summary of the whole dissertation, the disadvantages and further researches prospects.
The main research findings can be summarized as the following four points:
First, the company cash holding condition can adjust the extent of influences of investor sentiment to corporate investment. That is to say, the high cash saving may magnify the acceleration influence of optimistic sentiment to investment and the low cash saving may make the inhibitory action of pessimistic sentiment to investment to be more serious. By the same reason, the high cash saving may release the inhibitory action of pessimistic sentiment to investment and low cash saving may also trail off the influence of optimistic sentiment to investment.
Second, companies'ownership property and separation of control and cash flow right may make the function of cash in adjusting the relationship between sentiment and investment change. Compared to state-owned companies, not-state-owned companies stay at the inferior status in the credit rationing, afford higher operation and financial risk which makes the requirement of cash saving to be stronger. This stronger cash holding intention makes not-state-owned companies put less money into the investment which lower the sensitivity of investment to sentiment. Secondly, separation of control and cash flow right would also make the function of cash holding to be different:the manager of companies with large separation of two rights are more likely to spend more money on investment when sentiment is high, which make the cash holding influence more on the sensitivity of investment to sentiment.
Third, from the perspective of the inefficiency of investment, the tests prove that the deterioration and mitigation functions of sentiment to inefficient investment are all influenced by cash holdings. The positive relation between over-investment and sentiment increases with the cash holding rising. The negative relation between under-investment and sentiment increases with the cash reducing. It is to say, high cash holding would make the over-investment to be more serious during high sentiment, but at the same time release the extent of the influence from low sentiment to under-investment; low cash holding would make the under-investment to be more serious during low sentiment, but at the same time release the extent of the influence from high sentiment to over-investment
Finally, based on the reliance of investment and operation to cash, we analyze and test whether the cash holding value varies with the sentiment. Cash holding bring benefits and costs which make the cash holding contribution to be decided by the difference between benefits and costs. Empirical tests prove the cash value ascends during pessimistic sentiment period. Because the cost of outside financing is higher this time and the operation rely more on internal fund.
The main innovative findings include the following three points. First, the existing researches about the influence of sentiment to investment ignored the internal fund conditions of different companies. This dissertation take the same outside sentiment condition and different company cash holding together to find the truth about how the investment be influenced by inside and outside factors. The state-owned condition and separation of control and cash flow right would make the influence extent of cash to be different. Second, further tests show the joint influence of sentiment and cash is also significant to the inefficiency of investment. The positive relation between over-investment and sentiment increases with the cash holding rising. On the other hand, the negative relation between under-investment and sentiment increases with the cash reducing. Third, thinking that the reliance of investment to cash varies with sentiment, the dissertation analyzes the cash holding value from the perspective of the value of cash holding to fight against the outside market shock. The tests show that the cash value is higher during low sentiment, because during this period the operation of the whole company relies more on internal fund. These tests supply a new perspective to test the value of cash holding.
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