融资约束、不确定性与公司投资行为——基于我国制造业上市公司的实证分析

Financing Constraints,Uncertainty and Corporate Investment: An Empirical Analysis of China Listed Companies

本文以我国制造业上市公司1998—2002年的数据为研究对象,运用两阶段最小二乘法和临界估计方法,以股利支付率、Logistic回归值以及公司规模度量公司所受融资约束程度,以公司股票日收益率的波动性度量其不确定性,全面深入地研究了融资约束、不确定性和公司投资行为的关系。结果发现:(1)以股利支付率度量公司所受融资约束程度,融资约束程度加大了不确定性对公司投资行为的影响;而就Logistic回归值组以及公司规模组而言,融资约束减轻了不确定性对其投资行为的影响;(2)以Hansen所研究的临界回归估计方法研究不确定性下融资约束对公司投资行为的影响,结果发现,我国上市公司不存在临界效应。这些结果为我国政府监管部门制定上市公司投资政策提供了实证证据。

Based on the data of Chinese listed manufacturing companies from 1998 to 2002, with help of 2SLS and Threshold Estimate Method, and with the dividend payout ratio, the Logistic regression value and company scale to measure company's financing constraints degree, fluctuation of daily yield ratio of stocks to measure its uncertainty, this paper conducts a thorough empirical study on the relationship among the financing constraints, uncertainty and corporate investment. The results are as follow:1. With dividend payout ratio to measure company's financing constraints degree, when we compare dividend payout ratio low group and dividend payout ratio high groups, their coefficient is much larger. But as for the Logistic regression value group and company scale group, the lower the Logistic regression value or the smaller company's scale, the smaller their coefficient.2.With the help of Threshold Estimate Method, the listed company of our country does not have critical effects. The results of the research provided the empirical evidences for supervision departments making investment policies for listed companies.