融资约束的度量及其检验_蔡晓慧.pdfVIP

2011 年全国博士生学术论坛暨宏观经济青年学者论坛投稿论文  融资约束的度量及其检验 蔡 晓 慧  【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。   【关键词】融资约束代理变量投资-现金流敏感性 The Measurement of Financing Constraint and the Statistic Test Cai Xiaohui (National School of Development Peking University) 【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. 【Key words 】 financing constraint proxy variable invest-cash flow sensitivity