摘要
本文对我国上市公司的财务困境成本问题进行理论与实证考察。首先基于现金流量和债权人视角定义债务违约为财务困境,选取2002-2004年间首次出现债务违约的97家公司为研究样本,从经营业绩观和权益价值观两方面考察了我国上市公司的财务困境成本问题。研究发现,虽然企业在经历财务困境之后经营业绩较之于陷入财务困境之前有所增长,但这种经营业绩上的增长并未带来权益市场价值的提高,相反,经行业调整之后权益的市场价值却平均下降了14.3%,即投资者对经历财务困境的企业估价降低,平均承担了14.3%的财务困境成本。
基于财务困境的形成及解决机制分析,本文构建财务困境成本的影响因素理论分析框架,从公司特征因素和公司治理因素两方面考察财务困境成本的影响因素。作者将公司特征因素分为资产特征、债务特征、产品特征和成长性四个方面。资产特征包括资产流动性、资产专用性、资产担保价值和资产规模四个指标。债务特征包括债务融资能力和债务结构之复杂程度。产品特征则指产品/服务的独特性。公司治理因素则包括股权结构、董事会特征和高管激励三个方面。
实证研究结果显示:(1)资产流动性与财务困境成本负相关。财务困境企业所处行业的经济状况越好,其资产流动性越强,财务困境成本越低;(2)资产专用性程度与财务困境成本正相关。资产专用性程度越高,财务困境成本越高;(3)资产担保价值与财务困境成本负相关。当财务困境企业拥有更高的存货和固定资产占总资产比例时,其资产的担保价值更大,财务困境成本更低;(4)成长性与财务困境成本正相关。拥有高成长性的企业在遭遇财务困境时,其持续经营价值受到的损害更大,财务困境成本更高;(5)法人股、流通股比例与财务困境成本负相关,国家股比例与财务困境成本正相关;(6)股权集中度与财务困境成本负相关。股权越集中,财务困境成本越低;(7)独立董事比例与财务困境成本负相关。
本文对预期财务困境成本、财务政策与违约概率之关系进行了理论分析。不同的企业因其资产特征、债务特征、公司治理特征存在差异,在陷入财务困境(发生债务违约)时各自承担的财务困境成本高低不等。因此,在财务正常状态下,当企业的预期财务困境成本较高时,该企业将倾向于保持较高的资产流动性水平,且/或采取较为保守的债务政策(即选择低负债率);当企业的预期财务困境成本较低时,该企业倾向于保持较低的资产流动性水平,且/或采取较为积极的债务政策(即选择高负债率)。显而易见,前一类财务政策对应的债务违约概率应较低,而后一类财务政策对应的债务违约概率应较高。同时,作者基于资本结构理论中的权衡理论,构建了一个简要的单期理论模型描述预期财务困境成本与债务违约概率之间的关系。该模型显示,预期财务困境成本愈高,债务违约概率愈小。
在理论分析的基础上,本文进一步对预期财务困境成本与违约概率之关系进行实证考察。作者选择显著影响财务困境成本高低的七个公司特征变量作为预期财务困境成本的替代变量,以考察预期财务困境成本在债务违约预测模型中的信息含量。单变量二元Logistic回归模型显示,在财务困境前1-2年,多数预期财务困境成本的替代变量具有显著的债务违约预测能力,即在债务违约预测模型中具有相对信息含量。多变量二元Logistic回归模型显示,预期财务困境成本类变量在债务违约预测模型中均具有显著的增量信息含量。
本文的研究意义在于:(1)投资者对经历财务困境的企业估价降低,平均承担了14.3%的财务困境成本。因此,投资者应努力关注对企业的财务困境风险及自身的投资风险,避免投资损失;(2)公司特征因素和公司治理因素均会影响到财务困境成本的高低,因此监管部门应对具有不同公司特征和不同公司治理背景的企业实行分类管理,提高监管效率;(3)现有财务困境预测文献中的会计比率类、现金流量类、市场收益类、市场收益方差类等四类预测变量只是反映了企业财务状况渐趋恶化的事后特征,与财务困境的发生并无内在联系,即不构成事前意义上的因果关系。这也是多年来财务困境预测研究未能在预测变量的选择上达成一致(甚至是基本一致)的原因之一。因此,挖掘事前信息构建预测变量成为财务困境预测研究的新领域,在此背景下预期财务困境成本类信息被引入预测变量,能够有效提高债务违约预测精确度,丰富了债务违约预测理论与方法。
总体说来,本研究的改进与创新之处体现在以下几个方面:
(1)基于债务违约定义财务困境。目前国内的相关研究对财务困境的定义基本上分为三类:其一,将ST公司界定为财务困境企业;其二,基于资产的流动性(例如流动比率)定义财务困境;其三,基于“价值创造观”界定企业的财务状况。作者认为,从财务困境研究的发展趋势来看,基于现金流量和债权人视角定义财务困境渐成主流,加之企业陷入财务困境最常见、最具代表性的事件就是债务违约,因此,本研究基于债务违约定义财务困境,进而研究中国上市企业的财务困境成本问题。
(2)基于经营业绩观和权益价值观度量中国上市公司的财务困境成本。本文基于经营业绩观和权益价值观两个视角率先考察中国上市公司的财务困境成本问题。所谓“经营业绩观”是指从企业自身考虑,度量企业经营业绩的损失;“权益价值观”则是指从投资者角度考虑,度量企业权益的市场价值损失。
(3)基于公司特征因素和公司治理因素双重视角构建了财务困境成本影响因素的理论分析框架。现有的财务困境成本影响因素研究散见于有关财务学文献,且呈现二个特点:其一,仅聚焦于个别公司特征因素,缺乏全面、系统的考察;其二,未能关注公司治理因素的影响。因此,本文在现有文献的研究基础上,基于公司特征因素和公司治理因素双重视角构建了财务困境成本的影响因素理论分析框架,全面、系统地探究了财务困境成本的影响因素,并对之加以实证检验。
(4)将预期财务困境成本引入债务违约预测模型。常见的财务困境预测变量包括会计比率类、现金流量类、市场收益类、市场收益方差类指标,但是这些指标只是反映了企业财务状况渐趋恶化的事后特征,与财务困境的发生并无内在联系,即不构成事前意义上的因果关系。因此,挖掘事前信息构建预测模型成为财务困境预测研究的新领域。本文在分析预期财务困境成本、财务政策与债务违约概率之间理论关系的基础上,首次提出将预期财务困境成本信息引入债务违约预测模型,具有理论上的创新价值。
THIS dissertation reports the results of a theoretical and empirical investigation to the financial distress costs (FDCs) of China's listed companies. Firstly I define debt default as financial distress from the perspective of cash flows and debtor's interest, construct a sample of 97 listed companies that successively defaulted for first time during the year 2002 to 2004, and then examine financial distress cost issues in China's listed companies based on both operating-performance perspective and equity-value perspective. I find that financially-distressed firms improved their accounting performance after experiencing financial distress, but did not increase their equity values. Conversely the equity values decreased 14.3 percent through industry-adjusting, that is to say, investors undervalued financially-distressed firms, and undertook averagely 14.3 percent of FDC.
Analyzing the causes and resolving mechanism of financial distress, this dissertation constructs a theoretical analysis framework of determinants of FDCs involving both corporate characteristics aspects and corporate governance aspects. I devide corporate characteristics into four parts: asset characteristics, debt characteristics, product characteristics, and firm's growth. Asset characteristics consist of asset liquidity, asset specifity, collateral value, and asset size. Debt characteristics consist of debt capacity and complexity of debt structure. Product characteristic means uniqueness of product or services. Ownership structure, characteristics of Board of Director, and top management incentives are involved in corporate governance aspects.
The results of empirical study include: (1) Asset liquidity is negatively related to FDC. The better the economic condition in which financially-distressed firm is involved, the more liquid its assets are, therefore the higher FDC is. (2) The extent to asset specificity is positively related to FDC. The higher extent to asset specificity, the higher FDC is. (3) Collateral value of asset is negatively related to FDC. Financially-distressed firm has more collateral value of assets, therefore undertakes lower FDC, when it invests more percentage of inventories and fixed assets to total assets. (4) Growth is positively related to FDC. Financial distress will heavily damage going-concern value of firm with high growth opportunities. (5) The percentages of legal-man ownership and liquid ownership are negatively related to FDC, but that of state-owned ownership positively related to FDC. (6) Equity concentration is negatively related to FDC. The more concentrating equity, the lower FDC. (7) The percentage of independent directors is negatively related to FDC.
This dissertation theoretically analyses the relation among FDC, financial policy, and default probabilities. When defaulting, firms may endure financial distress to various levels of extent, and differ in FDC because of different asset characteristic, debt characteristic, and corporate governance aspects. So firms in normal financial status, which have higher expected costs of financial distress (ECFD), would be prone to maintain asset liquidity at a higher level, or select a more conservative debt policy (lower debt/asset ratio); oppositely, firms in normal financial status, which have lower ECFD, would be prone to maintain asset liquidity at a lower level, or select a more active debt policy (higher debt/asset ratio). Obviously, the former financial policy corresponds to lower default probability, the latter financial policy corresponds to higher default probability. According to the trade-off theory of capital structure, I then construct a simple single-period theoretical model to demonstrate the relation between expected costs of financial distress and default probabilities. The model reveals that higher expected costs of financial distress would lead to lower default probability.
I further empirically examine the relation between expected costs of financial distress and default probabilities based on theoretical analysis. I select seven corporate characteristic variables, which mainly determine financial distress costs, as proxy variables to expected costs of financial distress, in order to investigate information content of expected costs of financial distress in default predicting model. Univariate binary logistic regression model shows that many of proxy variables as expected costs of financial distress can provide significant default predicting power, in other words, they have relative information content in default predicting model. Multivariate binary logistic regression model shows all of the proxy variables as ECFD have incremental information content in default predicting model.
The contributions of this dissertation to theory and practice are listed as the following: (1) Investors undervalued firms experiencing financial distress, burdened 14.3% cost of financial distress, therefore they should be cautious about firm's financial distress risk and their investment safety to avoid capital loss. (2) Because both corporate characteristics and corporate governance aspects are the determinants of FDC, securities supervisor institution should classify listed firms according to their corporate characteristics and governance background so as to enhance supervising efficiency. (3) Predictors such as accounting ratios, cash flow ratios, market return, and Variance of market return, only reflect ex post characteristics of firm's bad financial condition. They do not really foretell the incidence of financial distress. There doesn't exist ex ante cause-effect relation between those predictors and financial distress. This is one of reasons that financial researchers haven't achieved an (even approximately) agreement on predictors selecting for many years. Therefore it becomes a new research field in financial distress prediction that how to mine ex ante information to construct predictor variables. On the above background the information about ECFD is treated as predictors so that predicting accurancy will be exciting improved and the theories and techniques of default prediction are expected to be greatly enriched.
The improvements and innovations of this dissertation can be concluded:
(1) Define default as financial distress. The definition of financial distress in domestic study can be devided into three classes: Class one defines ST firm as financially-distressed firm; Class two is based on asset liquidity (current ratio); Class three identifies firm's financial conditions from the perspective of value-adding. I argue that according to the academic development of financial distress issues, there is a widely-accepted trend to define financial distress based on cash flows and debtor's interests. Moreover, the most commonly-occurred and representative event while in financial distress is default. Therefore I investigate financial distress cost issues in China's listed firms defining financial distress as default.
(2) Measuring financial distress costs in China's listed companies based on both operating-performance perspective and equity-value perspective. I conduct a pioneering study on FDC in China's firms involving business performance and investors' interests. Operating-performance perspective measures operating losses of financially-distressed firm by firm itself; Equity-value perspective measures market losses of equity in the interests of investors.
(3) Constructing a theoretical analysis framework of FDC determinants based on corporate characteristics and governance aspects. Extant studies on determinants of FDC are scattered in finance literatures. These studies' shortcomings are: firstly focusing only on specific corporate characteristic and failing to give a systematic and comprehensive examination; Secondly ignoring corporate governance effects. Referencing the extant sparse studies, this dissertation constructs a theoretical analysis framework of FDC determinants based on corporate characteristics and governance aspects, gives a systematic and comprehensive investigation on FDC determinants, and empirically examines these determinants.
(4) Introducing proxy variables of ECFD to default predicting model. Widely-used predictors are accounting ratios, cash flow ratios, market return, and Variance of market return. These ratios only reflect ex post characteristics of firm's bad financial condition. They do not really foretell the incidence of financial distress. There doesn't exist ex ante cause-effect relation between those predictors and financial distress. Therefore it becomes a new research field in financial distress prediction that how to mine ex-ante information to construct predictor variables. This dissertation theoretically analyzes the relation among ECFD, financial policy, and default probabilities and introduces proxy variables of ECFD to default predicting model for the first time. This should be regarded as an innovation of FDC theory and default predicting techniques.
引文
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