财务政策现金faulkender and stata课程配套.pptx

CorporateFinancialPolicyandtheValueofCashFaulkenderandWang,2006,JournalofFinance,61(4):1957-1990.

BasicQuestionsWhatisthemarginalvalueofcorporatecashholdings?Previousliterature:estimatethemarginalvalueofdebt,seeBenefit/CostsofcashholdingsHowisthevalueofcashdifferacrossfirmsHowisthevalueofcashdifferinvariouscorporatepolices

BasicIdeas(Threecashregimes)Themarginalvalueofcashshouldvarylargelydependingonhowthecashisused:R1:increasingdistributionstoequityviadividendpaymentsorsharerepurchases,1-?dR2:decreasingtheamountofcashthatneedstoberaisedinthecapitalmarkets,dependinguponthefirm’scapitalmarketaccessibility,1/(1-f)R3:servicingdebtorotherliabilitiesofthefirm.

BasicConclusionsTheaveragemarginalvalueofcashacrossallfirmsis$0.94.Asfirms’cashlevelsandleverageincrease,theirmarginalvalueofcashdecreasessignificantly.Themarginalvalueofcashis$0.13higheriffirmdistributecashstockrepurchaseratherthanbydividendpayments.TheaveragemarginalvalueofcashforFCfirmsissignificantlyhigherthanNFCfirms.ThedifferenceinthemarginalvalueofcashbetweenFCfirmsandNFCfirmsislargeamongfirmsthathavevaluableinvestmentopportunitiesbutlowlevelsofinternalfunds.(HighQ,LowInter-funds)

EmpiricalPredictions

EmpiricalMethodologyExcessreturn=rit-RitBRitBisthe5x5portfolioreturn(value-weighted),formedineachyear.

EmpiricalMethodology

Data1971-2001CompustatExcludefinancialfirmsandutilityfirmsTrimfirm-specificfactorsanddependentvariablesat1%tailsDropfirm-yearswithNA0,MV0,Div0Finalsample:82187firm-years

SummaryStatistics

FinancialConstraintsPayoutratio:totaldividends/earningsSorteachyear,cutat30th(70th)percentileFirmSize:salesSorteachyear,cutat30th(70th)percentileLong-termbondrating:with/withoutbondratingCommercialpaperrating:with/withoutcommercialpaper