融资约束、不确定性与上市公司投资效率

Financial Constraints, Uncertainty and Firms' Investment Efficiency

本文以异质性随机前沿模型为基础,定量测算了中国上市公司在融资约束情况下的投资效率。结果表明:(1)融资约束的存在使得中国上市公司的投资支出比最优水平低了约20-30%,平均投资效率仅为72%。(2)在上市公司的三种主要融资方式中,现金流量的增加不但能缓解融资约束,还能降低后续融资的不确定性;而股权融资和债务虽然能够有效缓解融资约束,但前者无法降低融资不确定性,而后者会显著加剧融资不确定性。(3)大规模公司和东部地区上市公司面临的融资约束和融资不确定性较低,而小规模公司和西部地区上市公司的融资约束有逐渐加剧的倾向。

This paper estimates the investment efficiency of Chinese listed firms by using the heteroscedastie stochastic frontier model. The results show that, （1） the efficiency of Chinese listed firms investment declines 20-30% due to the financial constraints, with average efficiency at 72%; （2） among three main kinds of financing channel, the increase of cash flow can reduce both financial constraints and uncertainties, and equity financing can only reduce financial constraints, while although debt financing can reduce financial constraints, it will enlarge the uncertainties; （3） large firms and eastern firms face less financing constraints and uncertainties, while small firms and western firms suffer increasingly severe financial constraints.