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29220122StatisticalResearchVol.29No.2Feb.2012*。———。。C812A1002-4565201202-0058-08TheHedgingEffectofCorporateCashHoldingsEvidencefromChinaLuoQi&ZhangBiaoAbstractThispaperinvestigatestheinterdependenceofcorporatecashholdingsandinvestmentpoliciesintheframeworkoffinancingconstraintsandhedgingneedsandfurtherexaminestheeffectsofcashholdingsoninvestmentspending.Theresultsshowthatcorporationsmakecashholdingandinvestmentdecisionsjointlysubjecttotheconstraintsandhedgingneeds.Weconcludethatcorporationsmaintaininvestmentthroughchangingcashholdingswhichleadstothehighercashflowsensitivityofcashasanindicatoroffinancialconstraints.Wealsofindthatholdingcashasahedgingstrategyispredictedbythemarketandbothcashandinvestmentdecisionsarehighlyvaluedbyinvestors.KeywordsCorporateCashHoldingsFinancialConstraintsHedgingNeedsInterdependenceCashFlowSensitivities*70872035、08JA630059“”。、hedgingeffect。MyersMajluf1984。。。、。292·59·。Fazzarietal.1988——。KaplanZingales1997——。KaplanZingales1997——。—Almeidaetal.2004——。。———。Almeidaetal.2004—。Almeidaetal.2004—。PálFerrando2006—。PálFerrando2006—。Acharyaetal.2007—。Acharyaetal.2007——。Acharyaetal.2007、—。Gatchevetal.2010。Gatchevetal.2010。——。—Arslanetal.2006。DenisSibilkov2009。DenisSibilkov2009。——。20062000-2004A—Almeidaetal.2004。2007、2008—Almeidaetal.2004。2008Q·60·20122—。、、2004-2009A2003。、、。1%、99%108406。。、、、、KZ。KZ。、。4411。。。Acharyaetal.2007R&D。。Acharyaetal.20070.2-0.2。、0.3。1。—Inv、—△Cash。SalesQSalesQ。KCash。Q。rit-RBit。△E、△NA、△D、△I、NF。Cashit-1Leverageit-1。rit-RBitLeverageit-1。、InvitCFit。Salesit、Kit-1Sizeit。292·61·11Invit、/2△Cashit+——/3CFit+/4Salesit/5QitQ6Kit-1/7Cashit-1+/8Sizeit9Leverageit/10rit-RBitritRBit11△NAit—/12△Eit—/=—+13△Dit—/14△Iit—/15NFit/16HedgeDum10NFit。Cashit-1。、—、—Gatchevetal.20103SLSInvit=α0+α1CFit+α2Salesit+α3Qit+α4ΔCashit+α5Kit-1+ΣYear+ΣIndustry+εinvit1ΔCashit=β0+β1CFit+β2Salesit+β3Qit+β4Invit+β5Cashit-1+ΣYear+ΣIndustry+εcit2——α1、β1Gatchevetal.2010ΣYearΣIndustry21C102004—20085εinvit、εcit。2。2CF1%。———。·62·201222—Constant0.050***7.910.035***4.720.034***5.880.041***5.920.041***9.500.035***4.41CFit0.133***12.660.175***7.730.115***11.390.098***4.650.109***12.030.232***7.78Salesit-0.004**-2.01-0.009***-4.20-0.001-0.51-0.010***-4.38-0.003**-2.27-0.015***--6.53Qit-0.002**-2.25-0.0001-0.04-0.0001-0.12-0.002-1.40-0.002**-2.11-0.004**-1.96△Cash-0.121***-11.63-0.082***-5.34-0.093***-9.16-0.083***-6.28-0.066***-7.26-0.145***-10.20Kit-1-0.002-0.44-0.009-1.20-0.015**-2.59-0.011-1.26-0.019***-3.95-0.022**-2.69Adjust-R20.1490.2410.1470.1990.1110.205—Constant0.050***4.930.055***6.490.040***4.150.110***12.050.057***8.780.053***5.69CFit0.248***14.610.152***5.760.336***19.870.056**2.110.230***16.840.167***4.84Salesit0.005*1.640.00040.180.008**2.590.0010.320.013***5.85-0.002-0.76Qit0.005***3.100.010***3.580.009***5.760.0010.320.004***2.870.008***3.66INV-0.267***-8.90-0.144***-6.50-0.235***-7.51-0.165***-6.76-0.123***-5.39-0.271***-12.27Cashit-1-0.310***-25.01-0.285***-18.78-0.293***-24.74-0.418***-24.90-0.350***-29.71-0.277***-24.90Adjust-R20.2690.1670.2760.2330.2500.235Observations280228022802280244112802***0.01**0.05*0.1。——。——。Acharyaetal.2007—。1、23SLS3。3——。———0.2930.3520.252。292·63·3—Constant0.040***4.210.076***5.750.041***7.040.031***2.370.041***6.0730.048***5.40CFit0.198***10.620.079***4.600.161***10.090.102***5.360.154***1.000.071***4.62Salesit-0.004-1.39-0.007-1.32-0.003-0.88-0.001-0.19-0.004*-1.81-0.003-0.85Qit-0.001-0.43-0.003*-1.81-0.002-1.590.005**2.32-0.001-0.75-0.002-1.22△Cash-0.148***-8.59-0.099***-5.57-0.090***-5.69-0.116***-6.10-0.037***-2.60-0.088***-5.303Kit-1-0.036***-3.47-0.078***-5.720.036***4.58-0.034***-2.83-0.002-0.308-0.057***-5.63Adjust-R20.1790.1350.1070.1460.1300.107—Constant0.048***3.400.097***3.720.069***7.460.0140.660.063***6.300.076***5.39CFit0.293***10.480.202***6.0000.352***12.370.294***9.500.252***10.760.186***7.67Salesit0.0020.500.0060.600.011**2.110.012*1.710.015***3.910.0081.31Qit0.009***4.37-0.005-1.450.007***2.850.014***4.220.008***3.80-0.002-0.79INV-0.298***-7.17-0.286***-3.796-0.293***-5.87-0.315***-5.58-0.086**-2.35-0.157***-3.44Cashit-1-0.317***-17.99-0.313***-10.72-0.257***-14.97-0.318***-13.89-0.388***-21.03-0.334***-13.86Adjust-R20.3050.2050.2710.2770.2790.216Observations1201681112082417521228***0.01**0.05*0.1。。DenisSibilkov20092SLSCashit=α0+α1Sizeit+α2Leverageit+α3Qit+α4CFit+α5Salesit+ΣIndustry+Σyear+εit3Invit=β0+β1Cashit+β2Qit+β3CFit+β4Salesit+ΣIndustry+Σyear+εit43DenisSibilkov2009。4。。。·64·20122。。。DenisSibilkov2009γit-RBit=γ0+γ1ΔCashit+γ2HedgeDum*ΔCashit+γaΔNAit+γ4HedgeDum*ΔNAit+γ5ΔEit+γ6ΔDit+γ7Δlit+γ8NFit+γ9Cashit-1+γ10Leverage+γ11ΔCashit*Cashit-1+γ12ΔCashit*Leverage+ΣIndustry+ΣYear+εit55△CashHedgeDum×△Cashγ2γ2>0γ2γ2<0。DenisSibilkov20095△NAHedgeDum×△NAγ4γ4。0.106、0.247、0.0870.135、0.038、0.026。。Almeidaetal.2011、。。。—、—。—。—。、Gatchevetal.2010。。、。—。。。。。。292·65·Gatchevetal.2010——。—、—。、——。Q、。1.————A2007353-57.2.—20081092-99.3.————20061059-62.4AcharyaViralV.HeitorAlmeidaandMurilloCampello2007IscashnegativedebtAhedgingperspectiveoncorporatefinancialpoliciesJournalofFinancialInter
本文标题:公司持有现金的对冲作用
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