自由现金流量创造力与违约风险——来自A股公司的经验证据

Free Cash Flow Productivity and Default Risk:Evidence from A-Share Listed Companies

本文基于我国A股上市公司数据,研究了企业自由现金流量创造力与违约风险之间的关系。研究发现:(1)企业自由现金流量创造力越强,其违约风险越低。经过一系列稳健性检验后,该结论依旧成立。(2)自由现金流量创造力越强的企业往往有更低的债务规模、更高的资产收益率和更低的股票波动,因而其违约风险更低。(3)自由现金流量创造力与违约风险的负相关关系,主要存在于货币政策紧缩时期以及外部信息环境较差的企业。本文发现意味着,监管部门和投资者应重视上市公司自由现金流量创造力不足所带来的潜在债务违约风险,通过不断提高公司自由现金流量创造力,助力我国宏观经济与微观企业高质量发展。

The default risk of Chinese firms,which has been increasing since 2014,has attracted significant attention from the government and market participants.Accordingly,reducing default risk is essential for reforming the economy and instigating high-quality development.A number of recent studies focus on the default risk of Chinese firms.These studies examine various determinants of default risk,such as corporate strategies,innovation,financial asset allocation,labor costs and implicit government guarantees.However,few studies examine how free cash flow productivity,a fundamental attribute of firms,affects firm default risk.In the long run,the criterion for judging the development quality of a firm is whether it can sustainably create value for capital providers.In turn,the ability to create value for capital providers relies on whether the firm can persistently produce cash value added.A high-quality development firm should demonstrate sustainable productivity on cash value added,which first requires the firm to attain persistent free cash flow productivity.Thus,rather than using financing cash inflows to pay capital providers,a high-quality firm should generate operating cash flow above and beyond its investments and the required return to its creditors and shareholders.We propose that there are three mechanisms by which free cash flow productivity can reduce default risk:first,firms with higher free cash flow productivity are more likely to rely on lower-cost internal financing to cover their investments and less on debt financing;second,firms with higher free cash flow productivity have higher quality assets and higher return on assets;and third,a high level of free cash flow productivity in the long run implies sustainable profitability,which in turn leads to a more transparent information environment and less uncertainty about the value of firm assets.This paper empirically examines whether free cash flow productivity affects default risk.Specifically,following the literature on free cash flow,this paper measures the free cash flow productivity of firms.Using a sample of A-share listed firms in China,we examine the association between free cash flow productivity and firm default risk,especially when controlling for traditional financial indicators.We find a negative and significant association between free cash flow productivity and firm default risk.Thus,our results suggest that firms with higher free cash flow productivity have lower default risk.This finding is supported by various robustness tests.Moreover,firms with higher free cash flow productivity have lower debt ratios,higher return on assets and lower stock volatility,and thus less default risk.The negative association between free cash flow productivity and default risk mainly arises in periods of monetary policy tightening and in firms with poor external information environments,which partly explains the increase in debt defaults following the tightening of monetary policy in recent years.This paper makes the following three contributions to the literature.First,this paper contributes to the literature on free cash flow.While studies discuss agency conflict in the use of free cash flow and use free cash flow to measure the agency cost,there is little discussion of the economic significance of free cash flow as a financial indicator from the perspective of free cash flow productivity.Thus,this paper adds to the literature on free cash flow by measuring free cash flow productivity and testing its impact on default risk.Second,from an accounting perspective,this paper complements the literature on corporate default risk by examining the effect of free cash flow productivity as a measure of firm asset quality on default risk.Using the theoretical framework of Merton(1974),the literature focuses on operating cash flow and indirect measures of asset quality,and ignores more multidimensional cash flow information.Using our proposed analytical“five-forces model”,we find that free cash flow productivity can more directly capture fundamental information about asset quality from an accounting perspective,and thus incrementally affect default risk.As a result,this paper extends the literature on default risk.Finally,the findings of this paper have a number of policy implications.In recent years,the default risk of Chinese firms has been increasing and regulators have begun to use free cash flow as a key indicator of the financial management of state-owned enterprises.In this context,our findings can help regulators and stakeholders understand the effects of free cash flow productivity and develop effective measures to encourage listed firms to enhance their free cash flow productivity and,in turn,reduce their debt default risk.Overall,the findings of this paper can help reduce systemic financial risk and contribute to the development of a world-class financial management system.