中国上市公司投资现金流敏感性:两步GMM估计

Sensitivity of Investment to Cash Flow in Chinese Listed Firms: Two-Step GMM Estimation

投资现金流敏感性是理解微观企业行为与宏观经济波动的一个关键概念。论题基于中国Tobin’s Q存在偏差大的典型事实,运用变量误差模型设定下的两步GMM方法,考察中国企业投资现金流敏感性。随着中国资本市场不完美程度减轻,中国企业投资现金流敏感性表现出不断下降的趋势;中国银行业占优的资本市场环境里,中国企业投资现金流敏感性受信贷政策的影响大;不断紧缩的信贷政策使中国企业投资对内部资金的依赖急剧上升。

The sensitivity of investment to cash flow is the key concept for understanding micro firm behaviors and macro business cycles. On the basis of the typical fact that the significant errors exist in the Tobin＇s Q in China,this paper uses the two-step GMM estimation that is established in the errors-in-variables model to investigate the sensitivity of investment to cash flow in the Chinese enterprises. With a decreasing imperfection in the Chinese capital market,the sensitivity of investment to cash flow in the Chinese enterprises has displayed the smaller and smaller trend. The credit policy has a strong impact on the sensitivity of investment to cash flow in the circumstance where the Chinese banking dominates the capital market. The dependence of Chinese firms＇ investment on the internal funds rises sharply because of the continuously stringent credit policy in the recent years.