本文選題：現(xiàn)金持有 + 信息不對(duì)稱��； 參考：《華南理工大學(xué)》2012年博士論文

【摘要】：早在凱恩斯時(shí)期，經(jīng)濟(jì)學(xué)家就開始關(guān)注現(xiàn)金持有行為，放寬Modigliani-Miller定理的完美假說，更多學(xué)者不斷從理論和實(shí)證上豐富和發(fā)展了對(duì)公司現(xiàn)金持有問題的研究。但是從檢索的已有文獻(xiàn)來看，關(guān)于信息不對(duì)稱對(duì)公司現(xiàn)金持有問題研究的文獻(xiàn)相當(dāng)之少。信息不對(duì)稱對(duì)公司現(xiàn)金持有量的影響以及對(duì)現(xiàn)金持有價(jià)值的影響，把公司管理者和外部投資者利益一致和不一致情況下的關(guān)于現(xiàn)金持有問題的理論聯(lián)系起來，形成一個(gè)統(tǒng)一分析框架，是結(jié)合信息經(jīng)濟(jì)學(xué)和公司金融學(xué)對(duì)公司現(xiàn)金持有問題的一種探討，豐富有關(guān)現(xiàn)金持有問題的理論研究。同時(shí)，作為流動(dòng)性資產(chǎn)的現(xiàn)金是公司的血液，對(duì)公司運(yùn)營(yíng)的成敗具有決定作用。通過研究信息不對(duì)稱對(duì)中國(guó)上市公司現(xiàn)金持有的影響及這種影響的實(shí)質(zhì)內(nèi)涵揭示，，無論對(duì)上市公司的融資決策、公司治理，還是對(duì)證券市場(chǎng)信息環(huán)境建設(shè)、提高中國(guó)資本市場(chǎng)效率以及資源優(yōu)化配置都具有重要的現(xiàn)實(shí)意義。 本文以現(xiàn)金持有的權(quán)衡理論、融資優(yōu)序理論、自由現(xiàn)金流理論和委托代理理論為基礎(chǔ)，結(jié)合中國(guó)上市公司的特殊背景，分析信息不對(duì)稱如何影響公司現(xiàn)金持有以及現(xiàn)金持有的價(jià)值。通過信息不對(duì)稱對(duì)現(xiàn)金持有及其市場(chǎng)價(jià)值影響的實(shí)證研究，深入探討公司現(xiàn)金持有的決定因素和現(xiàn)金持有價(jià)值的內(nèi)涵。本論文著重解決一下幾個(gè)問題：第一，通過文獻(xiàn)綜述找出本論文的切入點(diǎn)是什么？第二，中國(guó)上市公司現(xiàn)金持有狀況及其相關(guān)制度背景如何？第三，信息不對(duì)稱對(duì)公司現(xiàn)金持有水平及其價(jià)值影響的機(jī)理何在？第四，上市公司信息不對(duì)稱如何直接測(cè)度？信息不對(duì)稱對(duì)中國(guó)上市公司現(xiàn)金持有水平影響如何？第五，信息不對(duì)稱對(duì)中國(guó)上市公司現(xiàn)金持有價(jià)值影響怎樣？不同信息環(huán)境下，中國(guó)上市公司現(xiàn)金持有價(jià)值如何？ 在對(duì)現(xiàn)有文獻(xiàn)進(jìn)行歸納整理和分析的基礎(chǔ)上，本文選擇以信息不對(duì)稱作為切入點(diǎn)對(duì)公司現(xiàn)金持有水平和現(xiàn)金持有價(jià)值的影響因素問題進(jìn)行研究。用四個(gè)主要章節(jié)去解決本論文提出的主要問題。 第三章以中國(guó)上市公司2001到2010年度、1710個(gè)公司、11043個(gè)數(shù)據(jù)，從公司財(cái)務(wù)數(shù)據(jù)和公司治理方面對(duì)公司現(xiàn)金持有現(xiàn)狀進(jìn)行分析，發(fā)現(xiàn)公司現(xiàn)金持有水平有不斷增長(zhǎng)的趨勢(shì)，行業(yè)間和行業(yè)內(nèi)的現(xiàn)金持有水平均有大幅的波動(dòng)和不同。公司規(guī)模越大現(xiàn)金持有水平越低，托賓Q值越高，現(xiàn)金持有水平越高，國(guó)有股比例越高，現(xiàn)金持有水平越低；并且，對(duì)于股權(quán)制衡度高的公司現(xiàn)金持有水平較高，高管持股比例高的公司現(xiàn)金持有水平也較高；同時(shí)，結(jié)合中國(guó)資本市場(chǎng)的發(fā)展、公司治理的演進(jìn)到信息披露制度的變化，分析相關(guān)制度背景，為后面章節(jié)的分析打下基礎(chǔ)。 第四章在分析比較各種信息不對(duì)稱變量和替代變量的基礎(chǔ)上，基于序貫交易模型和股價(jià)非同步波動(dòng)模型，利用股票分筆交易數(shù)據(jù)及公司股票日收益率、市場(chǎng)收益率、行業(yè)收益率數(shù)據(jù)，直接測(cè)度上市公司的知情交易概率和股價(jià)非同步波動(dòng)性作為信息不對(duì)稱指標(biāo)并具體分析中國(guó)上市公司信息不對(duì)稱狀況；同時(shí)，本章從靜態(tài)和動(dòng)態(tài)以及管理者和投資者利益是否一致等方面對(duì)信息不對(duì)稱對(duì)現(xiàn)金持有量及其價(jià)值影響的機(jī)理建立相應(yīng)的效用函數(shù)模型，并進(jìn)行分析，為后面章節(jié)提出相應(yīng)的理論假說和實(shí)證打下基礎(chǔ)。 第五章在借鑒Harford,Mansi,Maxwell(2008)模型的基礎(chǔ)上，加入信息不對(duì)稱變量，構(gòu)建信息不對(duì)稱對(duì)現(xiàn)金持有水平非平衡面板實(shí)證模型，實(shí)證結(jié)果表明，信息不對(duì)稱與中國(guó)上市公司現(xiàn)金持有量呈顯著負(fù)相關(guān)，支持自由現(xiàn)金流理論和委托代理理論，信息不對(duì)稱程度越高，管理者越可能濫用現(xiàn)金。在信息不對(duì)稱程度高的情況下，投資者沒有能力去監(jiān)督和約束管理者利用現(xiàn)金這種最便利的資產(chǎn)謀求私利。 第六章在借鑒Dittmar,Mahrt-Smith(2007)模型的基礎(chǔ)上，加入信息不對(duì)稱變量，構(gòu)建信息不對(duì)稱對(duì)現(xiàn)金持有價(jià)值影響非平衡面板實(shí)證模型，實(shí)證結(jié)果表明，信息不對(duì)稱與中國(guó)上市公司現(xiàn)金持有價(jià)值呈顯著負(fù)相關(guān)，公司治理替代變量和現(xiàn)金持有價(jià)值顯著正相關(guān)，支持自由現(xiàn)金流理論和委托代理理論，信息不對(duì)稱程度越高，管理者越可能濫用現(xiàn)金，導(dǎo)致現(xiàn)金持有價(jià)值下降，而提高公司治理，加強(qiáng)投資者保護(hù)可以提高現(xiàn)金持有價(jià)值。同時(shí)，利用不同信息環(huán)境下，特別是在境外交叉上市的中國(guó)上市公司的數(shù)據(jù)強(qiáng)化了公司現(xiàn)金持有價(jià)值和信息環(huán)境及公司治理之間的上述研究結(jié)論。 最后，在前面章節(jié)分析的基礎(chǔ)上，給出了本研究的結(jié)論、政策啟示以及研究展望。結(jié)論部分主要強(qiáng)調(diào)加強(qiáng)信息披露制度的建設(shè)、強(qiáng)化對(duì)投資者的保護(hù)力度以及提高上市公司的治理水平。
[Abstract]:In the period of Keynes, economists began to pay attention to cash holding behavior and broaden the perfect hypothesis of Modigliani-Miller theorem. More scholars have enriched and developed the research on corporate cash holdings theoretically and empirically. The influence of information asymmetry on the company's cash holdings and the value of cash holdings are associated with the theory of cash holding under the consistent and inconsistent interests of the corporate managers and external investors, forming a unified framework for the integration of information economics and corporate finance. A study of the problem of cash holding of a company enriches the theoretical study of the problem of cash holding. At the same time, cash as a liquidity asset is the blood of the company, which has a decisive role in the success or failure of the company's operation. It is of great practical significance to the financing decision of the listed companies, the corporate governance, the construction of the information environment of the securities market, the improvement of the efficiency of China's capital market and the optimal allocation of resources.
This paper, based on the trade-off theory of cash holding, optimal financing order theory, free cash flow theory and principal-agent theory, combines the special background of Chinese listed companies to analyze how information asymmetry affects the value of cash holdings and cash holdings. This paper focuses on the determinants of cash holdings and the connotation of cash holding value. This paper focuses on solving a few problems: first, what is the breakthrough point of this paper through literature review? Second, what is the situation of cash holding in China's listed companies and its related institutional background? Third, information asymmetry on Corporate Cash Holdings What is the mechanism of the impact of the level and its value? Fourth, how to measure the information asymmetry of listed companies directly? How does information asymmetry affect the level of cash holding in Chinese listed companies? Fifth, how does information asymmetry affect the value of cash holdings of Chinese listed companies? In different information environment, the value of cash holdings of Chinese listed companies is such as What?
On the basis of summarizing and analyzing the existing literature, this paper chooses the information asymmetry as a breakthrough point to study the influence factors of the company's cash holding level and the value of cash holding. Four main chapters are used to solve the main problems proposed in this paper.
The third chapter, from 2001 to 2010 of Chinese listed companies, 1710 companies and 11043 data, analyzes the current situation of company cash holdings from corporate financial data and corporate governance, and finds that there is a growing trend in the level of cash holding in the company, and the level of cash holding between industries and industries is greatly fluctuated and different. The higher the level of the cash holdings, the higher the Q Q value, the higher the cash holding level, the higher the proportion of the state-owned shares, the lower the cash holding level, and the higher level of cash holding for the companies with high balance of equity and the higher level of cash holding in the company with high proportion of senior executives; meanwhile, the corporate governance is combined with the development of the Chinese capital market. The evolution of theory to the change of information disclosure system, analysis of the relevant institutional background, lay a foundation for the analysis of the following chapters.
The fourth chapter, based on the analysis and comparison of various information asymmetry variables and alternative variables, based on the sequential transaction model and the non synchronous volatility model of the stock price, uses the stock transaction data and the company's stock daily yield, the market return rate and the industry return data, to directly measure the informed trading probability and the non synchronous fluctuation of the stock price on the market. As an indicator of information asymmetry and specific analysis of information asymmetry in China's listed companies, this chapter sets up a corresponding function model for the mechanism of information asymmetry on cash holdings and its value from the static and dynamic conditions, as well as whether the interests of managers and investors are consistent. The section puts forward the corresponding theoretical hypothesis and empirical evidence to lay the foundation.
The fifth chapter, on the basis of Harford, Mansi and Maxwell (2008) model, constructs an asymmetric information asymmetry panel model with information asymmetry variables. The empirical results show that information asymmetry is negatively correlated with the cash holdings of Chinese listed companies, and supports free cash flow theory and principal-agent theory. The higher the information asymmetry, the more likely the manager is to abuse the cash. In the case of high information asymmetry, investors have no ability to supervise and restrict managers to use the most convenient assets, such as cash, to seek private benefits.
The sixth chapter, on the basis of Dittmar and Mahrt-Smith (2007) model, joins the information asymmetry variable to construct an asymmetric panel empirical model on the impact of information asymmetry on the value of cash holdings. The empirical results show that information asymmetry is negatively correlated with the value of cash holding of Chinese listed companies, the replacement variables of corporate governance and cash holding. There is a significant positive correlation, supporting free cash flow theory and principal-agent theory. The higher the information asymmetry, the more likely the managers misuse cash, which leads to the decline in the value of cash holdings, and the improvement of corporate governance and the enhancement of investor protection can improve the value of cash holding. The data of Chinese Listed Companies in the city strengthen the above research conclusions between cash holding value, information environment and corporate governance.
Finally, on the basis of the analysis in the preceding chapter, the conclusion of this study, policy inspiration and research prospect are given. The conclusion is mainly emphasized on strengthening the construction of information disclosure system, strengthening the protection of investors and improving the governance level of listed companies.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F275;F832.51;F224

【引證文獻(xiàn)】

相關(guān)博士學(xué)位論文 前1條

1 黃琪;信息不對(duì)稱與市場(chǎng)效率的關(guān)系研究[D];山東大學(xué);2014年

相關(guān)碩士學(xué)位論文 前1條

1 柳筱t@;自由現(xiàn)金流與過度投資[D];安徽財(cái)經(jīng)大學(xué);2014年

本文編號(hào)：2011041