企业现金持有结构性差异的实证研究
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摘要
企业的现金持有问题已经成为一个学者越来越关注的领域,现金的持有水平能够反映企业的公司治理、投融资策略以及财务稳健性等信息。现金不同于某些财务指标,其受人为操控的影响很小,因此其能够更加客观地反映企业的实际经营情况。国内外学者分别从权衡理论、优序融资理论、信息不对称以及代理成本等角度出发,对企业的现金持有问题展开了研究。但他们的研究并没有涉及到多个行业现金持有特点的比较,而是将研究范围局限于单个行业或多行业的混合数据。
本文以中国国内A股不同行业上市公司作为研究对象,采用计量经济学的方法获得不同行业现金持有的实证模型,并判断这些模型是否存在结构性差异:如果存在差异,对差异形成的原因进行解释。根据证监会对我国上市公司行业划分的标准,本文选择制造业的三个二级行业(机械、电子、医药)以及房地产行业作为研究的样本。结合经典的企业现金持有理论,分别从企业的股权结构、财务信息和行业背景中提炼出一组解释变量:企业规模、股权集中度、负债率、负债结构、企业增长因子、历年现金流增量均值以及历年现金流增量标准差,以此建立了企业现金持有的理论模型。采用上市公司2006年年报中的财务数据,结合当期上市公司的股价,对模型进行多元线性回归,最后得到各行业现金持有的实证模型。
经过实证研究,我们发现行业间主要的结构性差异为:(1)负债率对电子行业的现金持有水平影响不显著,而对别的行业影响非常显著;(2)负债结构对医药行业的现金持有水平影响显著,但在别的行业中不显著;(3)行业规模对机械行业的现金持有水平影响显著,在别的行业中则不显著;(4)股权集中度对房地产行业的现金持有水平影响显著,但在别的行业中不显著。对这些差异形成的原因在论文最后一章进行了解释。
Cash holdings level is a more objective index compared with other indexes of a corporation because it is hardly affected by the intention of managers. The research on cash holdings has been restricted in the relation between cash holdings and factors from different angles of a corporation. There is no research that focuses on the structural differences of cash holdings in different industries, which, although, helps a lot deepen the understanding of how these factors affect cash holdings of a corporation.
This dissertation concentrates on seeking the structural differences of cash holdings of corporations in Electronics, Mechanism, Medicine and Real estate industry, and then tries to give a sensible explanation of the differences. The paper first constructs an academic model of cash holdings including seven factors which are corporation size, concentration of equity, debt ratio, debt structure, developing factor, average cash increment of past 5 years and standard deviation of past 5 years' cash increment. After that the model's parameters are estimated with data from Wind system.
Regression results show four differences in the industries' cash holding models. Which are (1) debt ratio has a significant positive influence on cash holdings except in Electronics industry;(2) debt structure has no significant influence on cash holdings except in Medicine industry;(3) corporation size has a significant positive influence on cash holdings only in Mechanism industry;(4)equity concentration has a significant influence on cash holdings only in Real estate industry. All these differences are explained in the last chapter of this dissertation.
本文以中国国内A股不同行业上市公司作为研究对象,采用计量经济学的方法获得不同行业现金持有的实证模型,并判断这些模型是否存在结构性差异:如果存在差异,对差异形成的原因进行解释。根据证监会对我国上市公司行业划分的标准,本文选择制造业的三个二级行业(机械、电子、医药)以及房地产行业作为研究的样本。结合经典的企业现金持有理论,分别从企业的股权结构、财务信息和行业背景中提炼出一组解释变量:企业规模、股权集中度、负债率、负债结构、企业增长因子、历年现金流增量均值以及历年现金流增量标准差,以此建立了企业现金持有的理论模型。采用上市公司2006年年报中的财务数据,结合当期上市公司的股价,对模型进行多元线性回归,最后得到各行业现金持有的实证模型。
经过实证研究,我们发现行业间主要的结构性差异为:(1)负债率对电子行业的现金持有水平影响不显著,而对别的行业影响非常显著;(2)负债结构对医药行业的现金持有水平影响显著,但在别的行业中不显著;(3)行业规模对机械行业的现金持有水平影响显著,在别的行业中则不显著;(4)股权集中度对房地产行业的现金持有水平影响显著,但在别的行业中不显著。对这些差异形成的原因在论文最后一章进行了解释。
Cash holdings level is a more objective index compared with other indexes of a corporation because it is hardly affected by the intention of managers. The research on cash holdings has been restricted in the relation between cash holdings and factors from different angles of a corporation. There is no research that focuses on the structural differences of cash holdings in different industries, which, although, helps a lot deepen the understanding of how these factors affect cash holdings of a corporation.
This dissertation concentrates on seeking the structural differences of cash holdings of corporations in Electronics, Mechanism, Medicine and Real estate industry, and then tries to give a sensible explanation of the differences. The paper first constructs an academic model of cash holdings including seven factors which are corporation size, concentration of equity, debt ratio, debt structure, developing factor, average cash increment of past 5 years and standard deviation of past 5 years' cash increment. After that the model's parameters are estimated with data from Wind system.
Regression results show four differences in the industries' cash holding models. Which are (1) debt ratio has a significant positive influence on cash holdings except in Electronics industry;(2) debt structure has no significant influence on cash holdings except in Medicine industry;(3) corporation size has a significant positive influence on cash holdings only in Mechanism industry;(4)equity concentration has a significant influence on cash holdings only in Real estate industry. All these differences are explained in the last chapter of this dissertation.
引文
[1]Baumol,Williams J.The transactions demand for cash:an inventory theoretic approach[J].Quarterly Journal of Economics,1952,66:545-556
[2]Miller,Merton,and Daniel Orr.A model of the demand for money by firm s[J].Quarterly Journal of Economics,1966,80:413-435
[3]Shleifer,A.,Vishny,R.W.Liquidation values and debt capacity:a market equilibrium approach Journal of Finaneel992,47,1343-1366
[4]Myers,S C,and Majluf,N.Corporate financing and investment and decisions when firms have information that investor do not have[J].Journal of Financial Economics,1984,13:187-221
[5]Williamson,Oliver.Corporate Finance and Corporate Governance[J].Journal of Finance,1988,43:567-591
[6]Fares E.,M.Jensen.Separation of Ownership and control[J].Journal of Law and Economics,1983,26:301-325
[7]John,T.A..Accounting measures of corporate liquidity,leverage,and costs of financial distress[J].Financial Management,1993,22:91-100
[8]Flannery,M.J..Asymmetric Information and Risky Debt Maturity Choice[J].Journal of Finance,1986,41:19-37
[9]Kim,C.S.,Mauer,D.C.,Sherman,A.E..The determinants of corporate liquidity:Theory and evidence[J].Journal of Financial and Quantitative Analysis 1998,33:335-359
[10]Myers,S.C..The capital structure puzzle[J].Journal of Finance,1984,39:575-592
[11]Jensen,M..Agency Costs of Free Cash Flow,Corporate Finance,and Takeovers[J].American Economic Review,1986,76:323-329
[12]Morck,R.,Shleifer,A.,Vishny,R..Management ownership and market valuation:An empirical analysis[J].Journal of Financial Economics,1988,20:293-315
[13]Stulz,Rene.Managerial Control of Voting Rights:Financing Policies and the Market for Corporate Control[J].Journal of Financial Economics,1988,20:25-54
[14]Mikkelson,W.H.,Partch,M.M..Do persistent large cash reserves hinder performance[J].Journal of Financial and Quantitative Analysis,2003,38:275-294
[15]Harford,J.,Corporate cash reserves and acquisitions[J].Journal of Finance,1999,54:1 969-1997
[16]Jensen M.C.,The Modem Industrial Revolution,Exit,and the Failure of Internal Control Systems[J].Journal of Finance,1993,48:831-880
[17]Borokhovich,Kenneth A.,Robes Parrino,Teresa Trapani.Outside Directors and CEO Selection[J].Journal of Financial and Quantitative Analysis,1996,31:337-355
[18]Shleifer,A.,R.Vishny,Large Shareholders and Corporate Control[J].Journal of Political Economy,1986,94:461-488
[19]Shleifer,A.,Vishny,R.W.,Asurvey of corporate governance[J].Journal of Finance,1997,52:737-784
[20]Dittmar,A.et al.International corporate governance and corporate cash holdings [J].Journal of Financial and Quantitative Analysis,2003,38:111-134
[21]Weinstein,D.E.,and Y.Yafeh,On the costs of a bank centered financial system:evidence form the changing main bank relations in Japan[J].Joumal of Finance,1998,53:635-672
[22]Rajan,R.G.,Zingales,L.,What do we know about capital structure? Some evidence from international data[J].Journal of Finance 1995,50:1421-1460
[23]Myers,Stewart C.,Determinants of Corporate Borrowing[J].Journal of Financial Economics,1977,5:147-175
[24]Diamond,D.W.,Seniority and maturity of debt contracts[J].Journal of Financial Economics,1993,33:341-368
[25]Ozkan,A.,Corporate bankruptcies,liquidation costs and the role of banks[J].The Manchester School.1996.64:104-119
[26]Opler,T.,Pinkowitz,L.,Stulz,R.,Williamson,R.,The determinants and implications of cash holdings Journal of Financial Economics,1999,52:3-46
[27]Kusnadi,Y.,Corporate Cash Holdings and Corporate Governance Mechanisms[R].Hong Kong University of Science & Technology,SSRN Working Papers,2003
[28]Fama,E.What's Different about Banks[J]Journal of Monetary Economics,1985,15:29-39
[29]Ferreira,M,and Vilela,A.Why do firm hold cash? evidence from EMU countries[J].European Financial Management,2004,10:295-319
[30]凯恩斯著;高鸿业译.就业、利息和货币通论[M].北京:商务印书馆,1999:174-186
[30]于东智,胡国柳,王化成.企业的现金持有决策与公司治理分析[J].金融论坛,2006,(10):28-35
[31]张献华,姜秀珍,田亮.影响企业现金持有量的经济学诠释[J].经济问题探索,2004(3):45-49
[32]吴尚宗,吴红梅,冯海涛.现行最佳现金持有量模式存在的问题及改进意见[J].商业研究,2001(3):32-35
[33]彭桃英,周伟.中国上市公司高额现金持有动因研究[J].会计研究2006(5):35-38
[34]张人骥,刘春江.股权结构、股东保护与上市公司现金持有量[J].财贸经济,2005(2):34-43
[35]张文彤.SPSS高级教程[M].北京:高等教育出版社,2004:120-150
[2]Miller,Merton,and Daniel Orr.A model of the demand for money by firm s[J].Quarterly Journal of Economics,1966,80:413-435
[3]Shleifer,A.,Vishny,R.W.Liquidation values and debt capacity:a market equilibrium approach Journal of Finaneel992,47,1343-1366
[4]Myers,S C,and Majluf,N.Corporate financing and investment and decisions when firms have information that investor do not have[J].Journal of Financial Economics,1984,13:187-221
[5]Williamson,Oliver.Corporate Finance and Corporate Governance[J].Journal of Finance,1988,43:567-591
[6]Fares E.,M.Jensen.Separation of Ownership and control[J].Journal of Law and Economics,1983,26:301-325
[7]John,T.A..Accounting measures of corporate liquidity,leverage,and costs of financial distress[J].Financial Management,1993,22:91-100
[8]Flannery,M.J..Asymmetric Information and Risky Debt Maturity Choice[J].Journal of Finance,1986,41:19-37
[9]Kim,C.S.,Mauer,D.C.,Sherman,A.E..The determinants of corporate liquidity:Theory and evidence[J].Journal of Financial and Quantitative Analysis 1998,33:335-359
[10]Myers,S.C..The capital structure puzzle[J].Journal of Finance,1984,39:575-592
[11]Jensen,M..Agency Costs of Free Cash Flow,Corporate Finance,and Takeovers[J].American Economic Review,1986,76:323-329
[12]Morck,R.,Shleifer,A.,Vishny,R..Management ownership and market valuation:An empirical analysis[J].Journal of Financial Economics,1988,20:293-315
[13]Stulz,Rene.Managerial Control of Voting Rights:Financing Policies and the Market for Corporate Control[J].Journal of Financial Economics,1988,20:25-54
[14]Mikkelson,W.H.,Partch,M.M..Do persistent large cash reserves hinder performance[J].Journal of Financial and Quantitative Analysis,2003,38:275-294
[15]Harford,J.,Corporate cash reserves and acquisitions[J].Journal of Finance,1999,54:1 969-1997
[16]Jensen M.C.,The Modem Industrial Revolution,Exit,and the Failure of Internal Control Systems[J].Journal of Finance,1993,48:831-880
[17]Borokhovich,Kenneth A.,Robes Parrino,Teresa Trapani.Outside Directors and CEO Selection[J].Journal of Financial and Quantitative Analysis,1996,31:337-355
[18]Shleifer,A.,R.Vishny,Large Shareholders and Corporate Control[J].Journal of Political Economy,1986,94:461-488
[19]Shleifer,A.,Vishny,R.W.,Asurvey of corporate governance[J].Journal of Finance,1997,52:737-784
[20]Dittmar,A.et al.International corporate governance and corporate cash holdings [J].Journal of Financial and Quantitative Analysis,2003,38:111-134
[21]Weinstein,D.E.,and Y.Yafeh,On the costs of a bank centered financial system:evidence form the changing main bank relations in Japan[J].Joumal of Finance,1998,53:635-672
[22]Rajan,R.G.,Zingales,L.,What do we know about capital structure? Some evidence from international data[J].Journal of Finance 1995,50:1421-1460
[23]Myers,Stewart C.,Determinants of Corporate Borrowing[J].Journal of Financial Economics,1977,5:147-175
[24]Diamond,D.W.,Seniority and maturity of debt contracts[J].Journal of Financial Economics,1993,33:341-368
[25]Ozkan,A.,Corporate bankruptcies,liquidation costs and the role of banks[J].The Manchester School.1996.64:104-119
[26]Opler,T.,Pinkowitz,L.,Stulz,R.,Williamson,R.,The determinants and implications of cash holdings Journal of Financial Economics,1999,52:3-46
[27]Kusnadi,Y.,Corporate Cash Holdings and Corporate Governance Mechanisms[R].Hong Kong University of Science & Technology,SSRN Working Papers,2003
[28]Fama,E.What's Different about Banks[J]Journal of Monetary Economics,1985,15:29-39
[29]Ferreira,M,and Vilela,A.Why do firm hold cash? evidence from EMU countries[J].European Financial Management,2004,10:295-319
[30]凯恩斯著;高鸿业译.就业、利息和货币通论[M].北京:商务印书馆,1999:174-186
[30]于东智,胡国柳,王化成.企业的现金持有决策与公司治理分析[J].金融论坛,2006,(10):28-35
[31]张献华,姜秀珍,田亮.影响企业现金持有量的经济学诠释[J].经济问题探索,2004(3):45-49
[32]吴尚宗,吴红梅,冯海涛.现行最佳现金持有量模式存在的问题及改进意见[J].商业研究,2001(3):32-35
[33]彭桃英,周伟.中国上市公司高额现金持有动因研究[J].会计研究2006(5):35-38
[34]张人骥,刘春江.股权结构、股东保护与上市公司现金持有量[J].财贸经济,2005(2):34-43
[35]张文彤.SPSS高级教程[M].北京:高等教育出版社,2004:120-150