理解自由现金流代理问题的显示性偏好方法研究

A Revealed Preference Approach to Understanding Free Cash Flow Agency Problem

与投资现金流敏感性等常用指标不同,管理层期望回报率与股东期望回报率的偏离程度是评价自由现金流代理问题严重程度的直接指标。但该指标难以观测,为此Robert和Huntley^([1])通过构建结构化方程,提出根据公司的投资支出估算上述指标的方法,并称之为显示性偏好方法.针对Robert和Huntley^([1])的结构化方程忽略公司融资决策信息的缺点,推导同时包含投资支出、融资成本、融资规模(可观测变量)和管理层期望回报率与股东期望回报率偏离程度(待估参数)的新的结构化方程,并应用J统计量和多组研究样本对新方程的有效性加以验证,同时与原方程比较。最后以过度投资为例说明管理层期望回报率与股东期望回报率偏离程度估计结果的应用价值。

Difference between manager＇s discount rate and shareholder＇s discount rate is accepted as a direct index of the severity of free cash flow agency problem. Robert and Huntley constructed a structural equation to estimate this index by using investment expenditure data, which is called revealed preference approach. Firstly, we improve Robert and Huntley＇s approach by combining information on cost of financing and scale of financing. Secondly we test the effectiveness of the improved approach by using J statistics and several research samples manager＇s discount rate and shareholder＇s At last, we show the application value of difference between discount rate.