融资约束指数设计与有效性评价——基于中国A股上市公司平行面板数据的实证分析

Design and Efficiency Evaluation of Financial Constraint Index: Based on The Empirical Analysis Using the Panel Data of A-share Companies

本文基于中国证券市场股权融资政策约束,利用二分法提出以是否实施股权融资为分析起点的融资约束判别模型,对我国A股上市公司的融资约束状态进行判别;并选取每股股利变化、公司规模、财务松弛、现金流量占总资产的比重和营业收入增长率5个识别融资约束状态的财务指标,采用ordered logistic回归模型构建融资约束指数。在此基础上,一方面以该指数作为融资约束高低的判别标准,检验不同约束组别现金-现金流敏感度的差异;另一方面将该指数作为实际投资水平的约束条件建立随机前沿方程,以检验融资约束指数对融资约束程度度量的有效性。检验结果表明高低融资约束组别现金-现金流敏感度具有显著差异,且融资约束指数与公司投资效率显著负相关,说明该融资约束指数具有较高的有效性,能够比较合理地衡量我国上市公司面临的融资约束。

On the basis of the＇policy constraints of equity financing in Chinese stock market, we use dichotomy to design a financial constraint model. The model tests whether the equity financing should be implemented and measures the degree of the financial constraints of A--share companies. According to the result of the above analysis, we choose the following five financial variables to i- dentify the financial constraints conditions., variation of dividends per share, company size, financial slack, proportion of cash flow and total assets, and increase rate of operating income. With these five variables we use ordered logistic regression model to build up a financial constraint index. U- sing this constraint index as a constraint of the real investment level, we set up a stochastic frontier function to test the effectiveness of financial constraint index. The test result shows that financial constraint index is negatively related to the investment efficiency, which indicates that this financial constraint index is more effective in measuring the financial constraints of Chinese listed companies.