本文關(guān)鍵詞： 現(xiàn)金持有 投資平滑 企業(yè)特征 行業(yè)競爭特征　出處：《湖南大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：投資和融資是企業(yè)最重要的兩項財務(wù)決策，兩者密不可分。高昂的投資調(diào)整成本，迫使企業(yè)努力維持投資的相對平對平穩(wěn)，企業(yè)具有很強(qiáng)的投資平滑動機(jī)。要保持投資的平穩(wěn)需要有資金的支撐，而信息不對稱、交易成本等因素的客觀存在，導(dǎo)致企業(yè)外部融資成本增加，而內(nèi)部現(xiàn)金流本身具有很大的不確定性，這使得企業(yè)投資平滑目標(biāo)的實現(xiàn)變得更加困難�，F(xiàn)金持有作為企業(yè)內(nèi)部融資的重要來源，其對于企業(yè)投資的作用近年來受到了越來越多的關(guān)注，然而現(xiàn)金持有對企業(yè)投資平滑目標(biāo)的實現(xiàn)具有怎樣的作用及其作用機(jī)制如何卻鮮有研究。 本文首先以我國滬、深兩市A股上市企業(yè)2000-2011年的面板數(shù)據(jù)為樣本，基于帶有凸性調(diào)整成本的動態(tài)歐拉方程投資模型，采用兩步系統(tǒng)GMM估計方法，實證檢驗了現(xiàn)金持有在中國上市企業(yè)投資中的總體平滑作用。實證結(jié)果表明，我國企業(yè)投資具有良好的慣性和很高的調(diào)整成本，企業(yè)投資平滑動機(jī)明顯；企業(yè)當(dāng)期現(xiàn)金持有增量對投資有顯著的反向作用，而期初現(xiàn)金持有存量對其有顯著的正向作用，表明企業(yè)通過降低現(xiàn)金持有水平、釋放流動性的方式來平滑其投資，而投資波動被平滑的程度則取決于企業(yè)期初的現(xiàn)金持有存量。 在此基礎(chǔ)上，通過分組回歸分析，本研究重點考察了融資受限程度、現(xiàn)金流風(fēng)險和對沖需求三個企業(yè)特征對現(xiàn)金持有投資平滑作用的影響。分組回歸結(jié)果表明，在高融資受限、高現(xiàn)金流風(fēng)險以及高對沖需求的企業(yè)中，現(xiàn)金持有對投資具有顯著的平滑作用；而在融資受限程度較低、現(xiàn)金流風(fēng)險和對沖需求較小的企業(yè)中，現(xiàn)金持有對投資的平滑作用不顯著。同時，本文還從行業(yè)間和行業(yè)內(nèi)兩個維度，考察了市場集中度以及行業(yè)內(nèi)企業(yè)之間的經(jīng)營相似度兩個行業(yè)競爭特征對現(xiàn)金持有投資平滑作用的影響。實證結(jié)果表明，處于高市場集中度行業(yè)以及企業(yè)間經(jīng)營相似度高的行業(yè)中的企業(yè)，其現(xiàn)金持有對投資具有顯著的平滑作用；而處于低市場集中度和低經(jīng)營相似度行業(yè)中的企業(yè)，，其現(xiàn)金持有在投資平滑過程中的作用不顯著。 本文實證檢驗了現(xiàn)金持有在企業(yè)投資中的平滑作用并分析了其作用機(jī)理，揭示了企業(yè)流動性與投資決策之間的聯(lián)系，進(jìn)一步深化了對企業(yè)現(xiàn)金持有及其價值的理解。本文的研究發(fā)現(xiàn)不僅豐富了關(guān)于現(xiàn)金持有與企業(yè)投資的研究成果，也為我國上市公司的現(xiàn)金持有政策和投資決策提供了一定的理論依據(jù)和實踐指導(dǎo)。
[Abstract]:Investment and financing are the two most important financial decisions, the two are inseparable. The high cost of investment adjustment forces enterprises to strive to maintain a relatively smooth investment. Enterprises have a strong investment smooth motivation. To maintain the stability of investment needs the support of funds, and information asymmetry, transaction costs and other factors objective existence, resulting in an increase in external financing costs. However, the internal cash flow itself has great uncertainty, which makes it more difficult to achieve the smooth target of enterprise investment. Cash holding is an important source of internal financing. In recent years, more and more attention has been paid to the effect of cash holding on enterprise investment. However, there is little research on how cash holding plays an important role in the realization of smooth investment goal and how it works. Based on the panel data of A share listed companies in Shanghai and Shenzhen stock markets from 2000 to 2011, this paper bases on the dynamic Euler equation investment model with convexity adjustment cost. Using the two-step system GMM estimation method, the paper empirically tests the overall smoothing effect of cash holding in the investment of listed enterprises in China. The empirical results show that the investment of Chinese enterprises has good inertia and high adjustment cost. The smooth motive of enterprise investment is obvious; The current cash holding increment has a significant reverse effect on the investment, while the initial cash holding stock has a significant positive effect on it, which indicates that the enterprise can reduce the cash holding level. The way in which liquidity is released smoothes its investments, and the degree to which investment volatility is smoothed depends on the amount of cash held by the firm at the beginning of the period. On this basis, through grouping regression analysis, this study focuses on the extent of financing constraints. The influence of three characteristics of cash flow risk and hedging demand on the smooth effect of cash holding investment. The result of grouping regression shows that in the enterprises with high financing limitation, high cash flow risk and high hedging demand. Cash holding has a significant smoothing effect on investment; However, cash holding has no significant smoothing effect on investment in the enterprises with low financing constraints and low cash flow risk and hedging demand. At the same time, this paper also from the inter-industry and intra-industry dimensions. The effects of market concentration and business similarity on the smoothness of cash holding investment are investigated. The empirical results show that. In the industry of high market concentration and the industry with high business similarity, the cash holding has a significant smoothing effect on the investment. However, in the industries of low market concentration and low operating similarity, the cash holding of enterprises is not significant in the process of investment smoothing. This paper empirically tests the smooth function of cash holding in enterprise investment, analyzes its mechanism, and reveals the relationship between corporate liquidity and investment decision. Further deepen the understanding of corporate cash holdings and their value. The findings of this paper not only enrich the research results on cash holdings and corporate investment. It also provides some theoretical basis and practical guidance for cash holding policy and investment decision of listed companies in China.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F275;F832.51

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