融资约束的度量及其检验.docxVIP

所属领域：国际经济学 金融学 融资约束的度量及其检验 摘要：本文从企业融资约束的定义出发，利用中国A股上市公司的财务信息构造了反映企业融资约束的指标，并在投资-现金流敏感性框架下对指标的有效性进行了3个统计检验，结论是本文指标能有效代表企业融资约束。支撑本文结论的实证结果有：（1）本文指标比企业杠杆率能更有效的代表企业融资约束程度，且经济解释唯一；（2）本文指标和文献中关于受融资约束的企业的可观察的特征是吻合的；（3）在投资-现金流敏感性模型中加入本文指标有助于解决遗漏重要解释变量问题。本文其中一个贡献还在于部分证实了FHP（1988）和KZ(1997)实证结论不一致的原因：遗漏了真正的企业融资约束的代理变量使投资-现金流敏感性上升的来源（现期投资机会增加，或者企业融资约束程度上升）在模型中不能识别。本文指标在实证研究中有广泛的应用前景。此外，本文对有效代理变量设计的统计检验可以应用于其他的实证研究。 关键词：融资约束 代理变量 投资-现金流敏感性 Abstract: Based on the definition of financing constraint, an index is constructed in this paper to be a good proxy variable of financing constraint at firm level by using financial data of Chinese A-share listed firms. Then three tests are conducted under the framework of invest-cash flow sensitivity to show the index identify the degree of financing constraint at firm level efficiently. This argument is supported by some empirical results: (1) the index in this paper measure financing constraint more efficiently than the leverage; (2) the index in this paper is consistent with the observed characters of the firm with financing constraints; (3) omitted variables problem is alleviated when the invest-cash flow sensitivity model include the index in this paper. One contribution of this paper is to verifying the reason why the empirical results of FHP（1988）and KZ(1997) are inconsistent: the proxy variable of financing constraints is omitted, as the result that the source of invest-cash flow sensitivity can’t identify. The index of this paper has an extensive application prospect. In addition, the efficiency test of proxy variable in this paper can apply to other empirical research. Key words: financing constraint proxy variable invest-cash flow sensitivity 一 引言 企业融资约束问题是当前国内外文献研究的热点，如融资约束和经济波动 (Gayané Hovakimian 2010) ADDIN NE.Ref.{A8661DAD-7491-4A48-A2E9-21128B7CD23B}[1]，融资约束和投资( HYPERLINK /people/dietmar_harhoff Dietmar Harhoff,  HYPERLINK /people/john_vanreenen John Van Reenen 2010 ; Denis, D.J. and V. Sibilkov 2010) ADDIN NE.