-现金-现金流敏感性能检验融资约束假说吗-

-?*连玉君苏治丁志国:(,200610)(,20073)-,:Tobin.sQ(GMM),-,,,-:;;;:C812:A:1002-4565(2008)10-0092-08CanCashFlowSensitivityofCashbeUsedtoTesttheFinancialConstraintsHypothesis?LianYujunSuZhiDingZhiguoAbstract:FinancialconstraintshypothesisbasedonthecashflowsensitivityofcashBothistestedbysomeresearchers,buttheiropinionsaredifferenteachother.Thispaperreviewsthisquestionfromtheviewpointsofmodelingspecificationerror,measurementerrorandendogeneityerror.Theresultsshowthat,theendogeneityofcashflowandTobin.sQinducetheresultbiasesoftwopapers.ControllingtheendogeneityoftwovariablesbyusingtheGMM,wefindthatfinancialconstrainedfirmssignificantlyexhibitcashflowsensitivityofcash,whilethenon-financialconstrainedfirmsdonot.Weconcludethattheresultssupportthefinancialconstraintshypothesis,andthecashflowsensitivityofcashcanbeusedtotestthefinancialconstraintshypothesis.Keywords:Cashholding;Cashflow;Financialconstraint;GMM*/0(3171913);/0(20070410539);/0(70573040)一引言,,,Fazzari(1988)[1],-,,(1999)[2](2001)[3]KaplanZingales(1997)[4],,(Alti,2003;Cummins,2006;,2007)[5-7],Almeida(2004)[8],,-,(2006,/0)[9](2007,/0)[10]2510200810StatisticalResearchVol.25,No110Oct.2008,/02000-2004A,3936,-,/02002-20043050,-,,,/0/02,/03%(64P3050),,/0,-/03(5),-,/0/0,,,?-?3,,,,(Hayashi,1982)[11],,Tobin.sQ,(Tobin.sQ),,,-(/036,/03),(GMM)/0/0,:()-,(),,:2;3;4;二研究设计/0/0,Almeida(2004)[8]Almeida(2004)[8],,,-,,-,:$CASH=A0+B1CFit+B2Qit+B3SIZEit+Gi+Kt+Eit(1),$CASHitit,CF,Q,Tobin.sQ,SIZE,GiKt,Eit,,B1,,B1Almeida(2004)[8],,Almeida(2004)[8]3:Tobin.sQ,/0/0Almeida(2004)[8](1),3,(),Almeida(2004)[8]:2510:-?#93#$CASH=A0+B1CFit+B2Qit+B3SIZEit+B4EXPENit+B5$NWCit+B6$SDit+Gi+Kt+Eit(2),EXPEN,$NWC,$SD,$NWC$SD(),B4,B5B63,,CFit,(1)(2),,/0/0,(1)(nested)(2),,(1),/0/0()Tobin.sQ(1),CFitTobin.sQ,(Gomes,2001;Alti,2003)[5][12],Tobin.sQ,,B1,,Tobin.sQ,Q,Q,Tobin.sQ(Q),[11],[13],,,,Tobin.sQ/0/0Tobin.sQ,11Tobin.sQTobin.sQAlmeida(2004)[8]-,RFIit=(Iit+1+Iit+2)P2Iit,Iit,(2007)[7]/Q0Q,,Tobin.sQ,Q,:E[qit|8it]=E]s=0KsE[Pit+s|8it](3),KPit,Pit=bcxitb,xit=(OIit,Sit)c,QIitSit--xit(VAR):xit=Axit-1+Gi+Ct+uit(4),A,uit,xit-18itxit,(3):FQit=E[qit|8it]=bc(I-KA)-1KAxit-1(5),K=(1-D)P(1+r),D=15%,r=6%,KU018VAR(4)ArellanoandBover(1995)[14]GMM2.(Errorinvariable),(1):y=X*B+E,X=X*+U(6),X*,X,UB-:^B=A-1Xcy,Var(^B)=(ycy-bAbc)A-1XcXA-1(N-k)(7),A=XcX-S,S=diag[N(1-ri)s2i],N,s2ii,riiri=1,Tobin.sQ(1),#94#200810Tobin.sQrTobin1,01950185,,Tobin.sQ(1)()Durbin-Wu-Hausman(DWHtest)(1)Tobin.sQCFCFit,Tobin.sQ,GMM(1),CFitTobin.sQ,,Anderson(1984)[15]LR(underidentification),(canonicalcorrelation),Hansen.sJ(overidentification),,Hansen.sJ,三样本筛选分组方法及组间差异检验()CSMAR,:(1)199811A;(2)STPPT;(3)100%,;(4),100%,1999-2005453,3171,,Winsorized11(N=453,T=7,NT=3171)CASH01139010950100301469PCF0105201076-0137201563PTobinQ11520015570180851878PaFQ0194801875-0195991893SIZE21117901869181837241776EXPEN0105401060-0128901520PbNWC-0101401182-0143201447(--)PSD01870011580134411000P:(1)=(+(+;(2)=+-(),/0/0,3,,,,/0(2007)[7],,,,,,,,,,Fazzari(1988)[1],,,,,,(1999)[2]/02510:-?#95#/0())))Bootstrap-/0/0,,/0(Bootstrap)H0Bd=0,-p,,:(1)n1n2,n=n1+n2;(2)nn1n2,;(3)CFit,di;(4)23k(,k=1000),di(i=1,2,,,k)d,p四结果及分析()2(1)(2)Almeida(2004)[8],,(1)(2),(Gi)(Kt),White-Huber2(1),,CFit1%,/034/03/0,,(1),()-,2p,(1),(2)CFit,()CFit,p,CFit,/0/0()Tobin.sQ/0/0Tobin.sQ,/Q0(FQ)/-0(RFI)(1)Q,32A:(1)B:(2)CFTobinQSIZEEXPEN$NWC$SLCONSAd-jR2p01462***01495***01427***01434***01407***01317***01362***01335***(7149)(7101)(7105)(6153)(7114)(5170)(5193)(7196)-01016-0101101010-01067-010100100401020-01034(-0178)(-0123)(0157)(-1160)(-0165)(0116)(1140)(-1127)01039*-01017010280102401050**-0103101044*01012(1166)(-0172)(1107)(1106)(2137)(-1154)(1195)(0157)-01603***-01419***-01627***-01476***(-7182)(-7180)(-7121)(-7106)-01304***-01403***-01260***-01420***(-5163)(-7174)(-4136)(-7153)-01135***-01176***-01091*-01219***(-3130)(-5157)(-1191)(-6132)-01811*01345-01636-01464-11000**01659-01954**-01213(-1172)(0166)(-1115)(-0195)(-2136)(1150)(-2102)(-0149)011680124401189011530141101544014010149101812019030145101897:(1)***,***1%,5%10%,t;(2)PCF,(Bootstrap)1000,#96#2008103:/Q0(FQ)(Q)-(RFI)(Q)CFQSIZECONSAd-jR2p01467***01495***01427***01430***01494***01490***01372***01494***(7149)(6199)(7104)(6131)(3128)(2188)(2179)(4107)-0100101002-01001-01004-010030100101001**01007***(-0124)(0109)(-0193)(-1153)(-0143)(0195)(2100)(3131)01041*-0101701026010250108201126**01134*01089*(1170)(-0173)(0196)(1111)(1105)(2122)(1189)(1171)-01885*01333-01572-01586-11725-21837**-21837*-11956*(-1177)(0163)(-1101)(-1120)(-1107)(-2124)(-1191)(-1176)0116701243011890114201144012330116101187018300192501941012254:TobinQrTobin=0195TobinQrTobin=0185CFTobinQSIZECONSAd-jR2p01461***01495***01427***01435***01458***01495***01427***01436***(10154)(13133)(11154)(9194)(10140)(13133)(11154)(9199)-01019-0101201011-01075***-01029-0101501015-01100***(-1105)(-0148)(0177)(-2198)(-1105)(-0148)(0177)(-2199)01039**-0101701028*0102401038*-0101701029*01023(1198)(-1115)(1165)(1113)(1191)(-1115)(1168)(1110)01005-01010*-010060100701008-01009*-0100601012(0151)(-1183)(-0185)(0192)(0170)(-1166)(-0189)(1134)01169012440