本文關(guān)鍵詞：基于綜合指標(biāo)法的我國上市公司融資約束指數(shù)構(gòu)建及應(yīng)用研究　出處：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 融資約束 綜合指標(biāo)法 上市公司 貨幣政策 市場波動性 logistic回歸

【摘要】：早在20年前,融資約束已成為西方學(xué)術(shù)界關(guān)注的熱點(diǎn)。企業(yè)投資決定理論的演進(jìn)催生了融資約束理論的誕生,隨后西方學(xué)者們紛紛開始嘗試在投資決定模型中引入企業(yè)融資因素,建立投資-融資聯(lián)合模型,研究融資約束條件下企業(yè)的投資決定,并且對企業(yè)融資約束問題也做了許多探索性的研究,形成了融資約束的理論框架。 2008年以來,融資難、貸款難、投資難問題開始成為制約我國企業(yè)發(fā)展的重要因素。眾多企業(yè)表示資金缺乏,企業(yè)長期發(fā)展困難�！爸行∑髽I(yè)倒閉潮”、“民間借貸”等字眼頻頻出現(xiàn)于各大媒體,引起了廣大群眾的熱烈討論,同時(shí)也引發(fā)了實(shí)業(yè)界、學(xué)術(shù)界關(guān)于融資問題的探討。 從廣義的角度來講,融資約束是指在資本市場不完善的情況下,企業(yè)使用內(nèi)部資金和使用外部資金的成本存在差異,導(dǎo)致內(nèi)外融資具有不完全替代性,并由此產(chǎn)生投資低于最優(yōu)水平,投資決策過分依賴于企業(yè)內(nèi)部資金的問題。它對企業(yè)影響十分巨大,嚴(yán)重的融資問題可能給企業(yè)帶來致命的破壞。因此,本文想通過研究我國上市公司整體融資約束的狀況、特征以及它對企業(yè)帶來的影響,在借鑒國內(nèi)外相關(guān)研究的基礎(chǔ)上,提出如何進(jìn)一步改善我國企業(yè)融資環(huán)境、增強(qiáng)企業(yè)融資效率和效果的有關(guān)政策建議,以期為投資者制定投資計(jì)劃、政府決策層了解上市公司整體形勢以及制定政策方針提供一定的借鑒。 為此,本文按照“現(xiàn)狀描述——問題提出——文獻(xiàn)綜述——指數(shù)構(gòu)建——特征分析——影響分析——研究結(jié)論與建議”的思路展開了以下研究： 第一,在對我國融資約束問題做簡單描述后,本文做了較為詳實(shí)的文獻(xiàn)綜述。對西方企業(yè)投資決定理論、融資約束理論做了歸納整理,并重點(diǎn)研究了國外學(xué)者如何度量企業(yè)融資約束程度,得出了三類度量方法：企業(yè)行為特征度量法、綜合指數(shù)度量法以及單一變量度量法。其中企業(yè)行為特征度量法主要采用的是傳統(tǒng)投資理論中的投資-現(xiàn)金流敏感性模型、現(xiàn)金-現(xiàn)金流敏感性模型,通過模型實(shí)證得到的系數(shù)來間接反映企業(yè)融資約束的大��；綜合指數(shù)度量法則是現(xiàn)在較為常用的度量方法,在預(yù)分類的基礎(chǔ)上,它通過運(yùn)用各種影響融資約束大小的變量構(gòu)造一個(gè)統(tǒng)一的融資約束指數(shù),以綜合考量企業(yè)融資約束的程度,而在構(gòu)造模型的方法選取上,較為常用的有兩種：多元判別分析與logistic回歸。由于中外經(jīng)濟(jì)環(huán)境、資本市場的顯著差異,國外學(xué)者對融資約束的度量方法在研究我國經(jīng)濟(jì)時(shí)難以直接復(fù)制,因此,本文在國內(nèi)外研究的基礎(chǔ)上,結(jié)合當(dāng)前我國企業(yè)的具體情況,自建了衡量融資約束的指數(shù)。 第二,自建融資約束指數(shù),本文以滬深兩市A股市場非金融類公司2009-2012年的數(shù)據(jù)為樣本(剔除了在樣本期間被PT、ST、*ST的公司、新上市和退市的公司),選取了反映公司股權(quán)結(jié)構(gòu)、公司規(guī)模、現(xiàn)金能力、償債能力、盈利能力、發(fā)展能力的多個(gè)指標(biāo),以logistic回歸方法構(gòu)建了企業(yè)融資約束模型,并通過Hosmer和Lemeshow檢驗(yàn)、模型擬合優(yōu)度檢驗(yàn)以及錯判矩陣對回歸結(jié)果進(jìn)行了檢驗(yàn)。 第三,為了檢驗(yàn)不同企業(yè)融資約束的特征和差異,在已建立的模型基礎(chǔ)上,本文對我國上市公司融資約束的特征進(jìn)行了分析,從行業(yè)、股權(quán)結(jié)構(gòu)、公司年齡、公司規(guī)模、公司股票所在的板塊等方面分別進(jìn)行了特征分析,以全面了解我國上市公司融資約束狀況,不同類型企業(yè)融資約束的差異。 第四,為了研究融資約束會對企業(yè)產(chǎn)生怎樣的影響,本文在基本的投資模型中加入了反映宏觀金融生態(tài)環(huán)境的變量(貨幣政策與市場波動性),通過實(shí)證分析研究融資約束、宏觀金融環(huán)境與企業(yè)投資決策的關(guān)系。 通過以上的分析,本文得出了如下的結(jié)論： 第一：融資約束問題在我國上市公司中普遍存在,幾乎一半的企業(yè)面臨融資約束。2010-2012年我國上市公司面臨融資約束的平均概率呈現(xiàn)出了U型的特征。 第二：不同特質(zhì)的企業(yè)融資約束具有明顯的差異性。①大規(guī)模企業(yè)相比小規(guī)模企業(yè)融資約束程度更低；②企業(yè)融資約束的年齡分布與生命周期理論相匹配,即當(dāng)企業(yè)處于“初創(chuàng)期-成熟期”階段,融資約束表現(xiàn)出非線性遞增的態(tài)勢,融資約束在成熟期達(dá)到最大,隨后開始下降；③從行業(yè)的角度來看,房地產(chǎn)行業(yè)、傳播與文化產(chǎn)業(yè)、交通運(yùn)輸與倉儲業(yè)面臨融資約束的概率較低,批發(fā)和零售貿(mào)易、農(nóng)、林、牧、漁業(yè)以及制造業(yè)面臨融資約束的可能性較大,社會服務(wù)業(yè)、建筑業(yè)、信息技術(shù)業(yè)等則處于中間水平；④從主板到中小板再到創(chuàng)業(yè)板,融資約束的平均概率依次遞減。 第三：從企業(yè)財(cái)務(wù)狀況角度分析,影響融資約束的因素主要包括：現(xiàn)金能力、盈利能力、償債能力和發(fā)展能力,綜合運(yùn)用這些指標(biāo)構(gòu)建的融資約束指數(shù)具有較大的參考價(jià)值。具體來講,公司現(xiàn)金存量越大,經(jīng)營活動產(chǎn)生的現(xiàn)金流越大,財(cái)務(wù)冗余越多,則企業(yè)融資約束可能性越��；利潤率高,營業(yè)收入增長快的公司更容易獲得融資；流動性比率高,償債能力強(qiáng)的企業(yè)融資約束相比較低。 第四：宏觀金融生態(tài)環(huán)境對企業(yè)投資決策具有顯著影響,融資約束能加強(qiáng)他們之間的關(guān)系。寬松的貨幣政策能刺激企業(yè)投資,市場波動性與投資之間呈現(xiàn)出正相關(guān)關(guān)系,表明在我國資本市場不完善的經(jīng)濟(jì)環(huán)境下,企業(yè)管理層更偏好風(fēng)險(xiǎn),且高融資約束的企業(yè)對風(fēng)險(xiǎn)偏好的趨勢越明顯。 基于以上結(jié)論,本文分別從國家宏觀政策制定者角度、金融機(jī)構(gòu)角度、企業(yè)自身角度對緩解融資約束問題提出了相應(yīng)的建議： 第一：政府應(yīng)加快金融體制改革,完善資本市場。 (1)加快構(gòu)建多層次的資本市場,豐富資本市場產(chǎn)品。在構(gòu)建多層次的資本市場時(shí),綜合考慮我國經(jīng)濟(jì)發(fā)展的具體狀況、市場條件等因素,合理細(xì)化資本市場的層次。①根據(jù)市場供給與需求,大力發(fā)展債務(wù)資本市場、股權(quán)資本市場、銀行業(yè)資本市場的融資品種。②為中小企業(yè)提供更多的在資本市場融資的渠道。③積極發(fā)展機(jī)構(gòu)投資者,這些機(jī)構(gòu)投資者具備專業(yè)的知識和技能,投資經(jīng)驗(yàn)豐富,且一般投資規(guī)模較大,他們在降低市場波動性方面能發(fā)揮重要的作用。④在滿足市場需求以及規(guī)范管理的基礎(chǔ)上,豐富資本市場的交易機(jī)制。 (2)穩(wěn)步推進(jìn)利率市場化改革。利率市場化有利于增強(qiáng)金融機(jī)構(gòu)的風(fēng)險(xiǎn)觀念從而努力提升金融服務(wù)以更好的服務(wù)于中國企業(yè)；有利于企業(yè)尤其是國有企業(yè)提高資產(chǎn)利用率,抑制過度投資；有利于改善我國外部融資環(huán)境,充分利用國內(nèi)外資金在實(shí)體經(jīng)濟(jì)中的調(diào)節(jié)作用。 (3)加快民營銀行設(shè)立的步伐。鼓勵民營資本進(jìn)入銀行業(yè)一方面有利于提高金融行業(yè)的活力,提高銀行業(yè)經(jīng)營的市場化程度,降低國有銀行壟斷地位；另一方面,民營資本進(jìn)入銀行業(yè)有利于規(guī)范和監(jiān)控民營資本,使其充分發(fā)揮資本的積極作用,有效的服務(wù)于實(shí)體經(jīng)濟(jì)；另外,民營銀行具有一定的企業(yè)特性,他們更懂企業(yè)的發(fā)展規(guī)律,且靈活性較高,相比國有銀行,他們在解決中小企業(yè)融資問題上更具優(yōu)勢。 (4)鼓勵民間金融。鼓勵民間金融是解決商品價(jià)格市場化與資金價(jià)格管制矛盾的有效措施之一(巴曙松2013)。政府應(yīng)當(dāng)鼓勵民間金融的發(fā)展,在保證其不高息攬存、過低利率放貸的情況下,政府可以嘗試使其合法化,放開對民間借貸的管制。 第二：政府應(yīng)加大對中小企業(yè)的扶持力度。 一方面政府在保持經(jīng)濟(jì)穩(wěn)增長的同時(shí)可以繼續(xù)推行穩(wěn)健的貨幣政策,發(fā)揮人民銀行的“窗口”指導(dǎo)作用,適度擴(kuò)大信貸規(guī)模,增加可貸資金量；另一方面,政府應(yīng)加大對新興產(chǎn)業(yè)的扶持力度。給予更多的優(yōu)惠政策,例如地方政府為企業(yè)提供信貸擔(dān)保、貸款補(bǔ)貼、中小企業(yè)證券交易減稅優(yōu)惠等,以降低企業(yè)的成本。另外,政府可推動建立面向中小企業(yè)的風(fēng)投機(jī)制,如多舉辦類似與財(cái)富論壇這樣的活動,為中小企業(yè)創(chuàng)造贏取風(fēng)投的機(jī)會。 第三：政府應(yīng)積極完善相關(guān)法律法規(guī),建立健全征信體系 近年來,為了解決我國企業(yè)融資難問題,中央政府以及各地方政府積極出臺了眾多關(guān)于促進(jìn)中小企業(yè)發(fā)展的法律法規(guī),但相關(guān)政策的落實(shí)度仍然不夠,具體措施上仍有許多需要細(xì)化明確的地方。關(guān)于信用體系建設(shè)方面,政府一方面要積極引導(dǎo)企業(yè)以誠信為本,另一方面政府應(yīng)積極動用各方力量,通過綜合信息共享平臺的建設(shè)和制度安排,建立健全征信體系和信息通報(bào)制度,記錄中小企業(yè)經(jīng)營狀況、交易等信息,以便市場交易雙方獲取對方信息,降低交易成本。 第四：金融機(jī)構(gòu)應(yīng)積極發(fā)展小微金融,做好業(yè)務(wù)、渠道、產(chǎn)品等創(chuàng)新工作。作為企業(yè)融資的重要渠道,金融機(jī)構(gòu)一方面要認(rèn)真貫徹國家相關(guān)法律法規(guī),調(diào)整信貸結(jié)構(gòu),提高對中小企業(yè)的關(guān)注度；另一方面要努力提升金融服務(wù),積極創(chuàng)新金融產(chǎn)品,開發(fā)適合中小企業(yè)的信貸產(chǎn)品。 第五：除了外部環(huán)境的營造外,中小企業(yè)對自身能力的提升也需重視。企業(yè)自身應(yīng)做好信息披露、健全財(cái)務(wù)制度、提升企業(yè)自身價(jià)值、優(yōu)化資本機(jī)構(gòu)、聯(lián)合經(jīng)營、合理投資。
[Abstract]:As early as 20 years ago, financing constraints has become a hot topic in the western academic circles. The enterprise investment decision theory evolution gave birth to the financing constraints theory, the western scholars began to try in the investment decision into enterprise financing factors in the model, the establishment of joint investment - financing model of financing constraints of enterprises investment decision on financing constraints and also done a lot of research, has formed the theoretical framework of financing constraints.
Since 2008, financing, loans difficult, the difficult problem of investment has become an important factor restricting the development of our enterprises. Many enterprises that lack of funds, the long-term development of the enterprise. Small and medium enterprises "closures", "borrowing" and other words frequently appear in various media, caused a lively discussion of the masses, at the same time also led the industry, on the financing of the academic circles.
From the broad perspective, refers to the financing constraints in the imperfect capital market, enterprises use internal funds and external funds cost differences, resulting in internal and external financing has not completely replaced, and the resulting investment is lower than the optimal level of investment decision, too dependent on the enterprise internal funds. It is the enterprise the impact is huge, serious financing problems may bring fatal damage. Therefore, this paper wants to research China's listed companies financing constraint conditions, characteristics and influence it brings to the enterprise, on the basis of relevant research at home and abroad, the paper discusses how to further improve the financing environment of China's enterprises, the relevant policy recommendations to enhance the efficiency and effectiveness of enterprises financing, in order to develop investment plans for investors, government decision-makers understand the overall situation of listed companies and to develop policy guidelines provided For a certain reference.
For this reason, the following ideas are put forward according to the idea of "the description of the current situation -- the problem of literature review, index construction, feature analysis, impact analysis, research conclusion and suggestion".
At first, a brief description on the China's financing constraints, this paper made a detailed literature review. Decision theory to the western enterprise investment, financing constraints theory summary, and focuses on the research of foreign scholars on how to measure the degree of financing constraints, obtained three kinds of measurement methods: enterprise behavior measure comprehensive index measurement method and single variable metric method. The enterprise behavior measurement method is mainly used in the traditional investment theory in the investment - cash flow sensitivity model, cash flow sensitivity model, the coefficients obtained through the empirical model to indirectly reflect the size of the financing constraints; comprehensive index measurement principle is now commonly used to measure in the method, based on the pre classification, it is through the use of a variety of variables influencing the structure size of the financing constraints of a unified financing constraint index, comprehensive Considering the enterprise financing constraints degree, and selects the method to construct the model, commonly used in two ways: multivariate discriminant analysis and logistic regression. The foreign economic environment, significant differences in the capital market, foreign scholars on the measure of financing constraints in the study of China's economy is difficult to copy, therefore, basic research in this paper, at home and abroad, according to the specific situation of China's enterprises, built to measure the financing constraint index.
Second, the self financing constraint index, the Shanghai and Shenzhen two stock market A non-financial companies 2009-2012 data as sample (excluding PT, in the sample period ST, *ST company, listed and delisting of the company), selected to reflect the company's ownership structure, company size, cash ability, solvency, profitability a number of indicators of ability, development ability, using logistic regression method to construct the enterprise financing constraint model, and through Hosmer and Lemeshow test, model test of goodness of fit and error matrix of the regression results are verified.
Third, for the characteristics and differences of financing constraints in different enterprises inspection, based on the established model, the characteristics of the financing constraints of Listed Companies in China are analyzed, from the industry, ownership structure, company age, company size, company's stock plate and other aspects of characteristic analysis, to fully understand the financing constraints of Listed Companies in China, the difference of financing constraints of different types of enterprises.
Fourth, in order to study the financing constraints impact on enterprises, this paper adds reflect the macroscopic financial ecological environment variables in the basic model of investment (monetary policy and market volatility), through empirical analysis of the relationship between financing constraints, macro financial environment and enterprise investment decision.
Through the above analysis, this paper draws the following conclusions:
Firstly, the financing constraint is widespread in China's listed companies. Almost half of the enterprises are facing financing constraints. In.2010-2012, the average probability of financing constraints of Listed Companies in China shows a U characteristic.
Second: the enterprise financing constraints with different characteristics have obvious differences. The large-scale enterprises compared to small business financing constraints degree is lower; the age distribution and the theory of life cycle of the enterprise financing constraints match, when the enterprise is in the initial stage to maturity stage, the financing constraints show non-linear increasing trend and reached the maximum the financing constraints in the mature period, then began to decline; from the industry point of view, the real estate industry, communication and culture industry, transportation and warehousing industry is facing financing constraints of low probability, wholesale and retail trade, agriculture, forestry, animal husbandry, fishery and the manufacturing industry is facing the possibility of financing constraints, social services the construction industry, information technology industry is in the middle level; from the motherboard to the small board and the gem, the average probability of financing constraints in descending order.
Third: from the point of view of the financial situation of enterprises, the influence factors of financing constraints include: cash ability, profitability, solvency and development ability, the indexes of the comprehensive use of financing constraint index has great reference value. Specifically, the greater the cash stock, cash flow from operating activities greater financial slack the more is the financing constraints less likely; high profit margins, operating income grew faster, easier access to financing; liquidity ratio is high, relatively low financing constraints strong solvency.
Fourth: has a significant effect on investment decision of macro financial ecological environment of enterprises, financing constraints can strengthen the relationship between them. The loose monetary policy can stimulate investment, between market volatility and investment have a positive correlation, that does not end in our capital market, good economic environment, enterprise management risk preference and the risk appetite of trend and high financing constraint enterprises more obvious.
Based on the above conclusions, from the perspective of national macroeconomic policymakers and from the perspective of financial institutions, the paper puts forward corresponding suggestions for alleviating financing constraints from the perspective of financial institutions.
First: the government should speed up the reform of the financial system and improve the capital market.
(1) accelerate the construction of multi-level capital market, the capital market products. In the construction of multi-level capital market, considering the specific situation of China's economic development, market conditions and other factors, a reasonable refinement of capital market level. According to the market supply and demand, vigorously develop the debt capital markets, equity capital markets. The capital market of the banking industry. The variety of financing in the capital market to provide more financing channels for small and medium enterprises. The positive development of institutional investors, the institutional investors have the professional knowledge and skills, rich experience in investment, and the large scale of investment, they can play an important role in reducing the volatility of the market. In the meeting market demand and standardized management on the basis of the trading mechanism of rich capital markets.
(2) to promote the interest rate marketization reform. The interest rate market is conducive to enhancing the risk of financial institutions to the idea that efforts to improve financial services to better serve the China enterprises; help enterprises especially state-owned enterprises to improve asset utilization, to curb excessive investment; to improve our external financing environment, make full use of domestic regulation foreign capital in the real economy.
(3) to speed up the pace of the establishment of private banks. To encourage private capital into the banking sector on the one hand to improve the financial industry market vitality, improve the degree of banking operation, reduce the monopoly of state-owned banks; on the other hand, private capital into the banking sector to regulate and monitor private capital, make it play a positive role capital, effectively serve the real economy; in addition, the private bank has certain characteristics of the enterprise, they understand the rules of development of enterprises, and high flexibility, compared to the state-owned banks, they have more advantages in solving the financing problem of small and medium-sized enterprises.
(4) encourage private finance encourage nongovernmental finance is one of the effective measures to solve the commodity market price and capital price regulation contradiction (BA 2013). The government should encourage the development of private finance, in that it does not solicit depositors high interest rates, low interest rate lending circumstances, the government can try to make it legalized, borrowing let go of control.
Second: the government should strengthen the support for small and medium-sized enterprises.
On the one hand the government while maintaining the steady growth of the economy can continue to implement prudent monetary policy, the people's Bank of "window" play a guiding role, expand the credit scale, increase the amount of loanable funds; on the other hand, the government should increase the support for emerging industries. To give more preferential policies, such as the local government credit guarantee, credit subsidies, tax breaks and other securities trading of small and medium-sized enterprises, in order to reduce the cost of enterprises. In addition, the government can promote the establishment of venture capital mechanism for small and medium enterprises, such as hold more similar and wealth Forum on such activities, to create winning venture opportunities for small and medium-sized enterprises.
Third: the government should actively improve the relevant laws and regulations, establish and improve the credit system
In recent years, in order to solve the problem of China's enterprise financing, the central government and the local government has introduced a number of positive about promoting the development of SMEs related laws and regulations, but the implementation of the policy is still not enough, there are still many specific measures need to refine the clear place. On the construction of credit system, the government should actively guide companies in good faith, on the other hand, the government should actively use all forces, arrangement of system and construction of the platform through comprehensive information sharing, establish a sound credit system and information notification system, recording medium and small enterprises operating conditions, transaction information, transaction so that both sides of the market access to other information, reduce transaction costs.
Fourth: financial institutions should actively develop small and micro finance, do business, channels, products and other innovative work. As an important channel of corporate finance, financial institutions on the one hand, we should conscientiously implement the relevant national laws and regulations, adjust credit structure, improve the degree of concern for small and medium-sized enterprises; on the other hand, we must strive to improve financial services, financial innovation product development, suitable for small and medium enterprises credit products.
Fifth: in addition to the creation of external environment, small and medium-sized enterprises should also pay attention to their own capabilities. Enterprises themselves should do well in information disclosure, improve financial system, enhance their own value, optimize capital institutions, jointly operate and invest rationally.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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