上市公司自由现金流与资本结构动态调整研究

A study of the free cash flow and dynamic adjustment of capital structure in public companies

本文采用我国沪深两市A股非金融上市公司2004–2012年的财务数据,首先通过动态面板系统GMM模型,估算出我国上市公司的最优资本结构,并计算出资本结构调整速度为0.186;然后建立了反映自由现金流盈亏程度和资本结构偏离程度如何影响资本结构调整的固定效应模型,分析得出与单独调整资本结构的情况相比,企业同时调整资本结构和自由现金流时,调整成本降低,调整速度加快;当资本结构调整至(或接近)最优状态后,企业会保持资本结构在最优水平,不受自由现金流调整的影响。上述结论对企业是否存在融资约束具有稳健性,但受融资约束的企业调整成本相对较高,调整速度相对较慢。

Based on the financial data of all A- share companies listed on Shanghai Stock Exchange or Shenzhen Stock Exchange before 2003（ excluding financial firms） for the time period 2004 – 2012,and using the system GMM estimator of dynamic panel data model,this paper estimated the target capital structure of China＇s public companies and calculated an adjustment speed of0. 186. Then we built a fixed- effect model to reflect the joint effects of free cash flow and the deviation of capital structure on adjustment speed of capital structure. The research shows that compared to adjusting the capital structure individually when the company can adjust capital structure and free cash flow simultaneously,the adjustment cost will become lower and the adjustment speed will be faster. After the capital structure is adjusted to（ or close to） the target structure,public companies will keep it at the optimal level,regardless of the adjustment of free cash flow. Whether companies face financial constraints or not,the conclusion is robust. But companies facing financial constraints adjust their capital structure at a slower speed,compared with companies not facing financial constraints.