【作者】 姜毅；

【导师】 刘淑莲；

【作者基本信息】 东北财经大学 ， 财务管理， 2013， 博士

【摘要】 Modigliani和Miller(1958)认为在完美资本市场中持有现金是毫无必要的。然而在现实资本市场中,由于交易成本的存在,企业和债权人、管理层和股东间的信息不对称,以及外部融资成本高于内部融资成本的现实,可能会限制企业的投资能力。融资约束理论认为融资约束企业持有现金是有价值的,可以使企业获得较大的财务弹性,当面临投资机会时,保证企业抓住各种有利可图的投资机会,而不会轻言放弃。而自由现金流理论则认为,由于代理成本的存在,管理层会以牺牲股东利益为代价囤积现金,以满足他们的个人私利。可见,两大理论对于现金持有量的解释是截然相反的。那么在代理冲突和融资约束同时存在的情况下企业的现金持有量又会呈现什么样的趋势?他们将如何影响持有现金的市场价值?将融资约束和代理问题结合起来,研究二者的交互效应对于企业现金持有水平的影响,具有较大的现实意义。本文在借鉴现金持有相关文献的基础上,从企业外部融资约束的视角出发,研究中国当前最主要的代理冲突——大小股东的代理冲突对于企业的现金持有量及其价值效应的影响,并进一步考察提高投资者保护程度能否约束大股东的行为,进而影响企业的现金持有量及其市场价值。全文共分7部分,各部分的具体内容如下：第1部分提出了本文的研究背景及研究意义；相关概念的界定；研究目标与研究内容；研究框架与研究方法；选题的研究改进与创新等。第2部分从融资约束和公司治理的角度系统、全面地梳理了现金持有量及其价值效应的研究文献。第3部分总结了现金持有行为的三大理论：交易成本理论、代理理论和融资约束理论。第4部分从现金持有的时间特征、行业特征、地区特征的角度分析了我国上市公司现金持有的现状以及公司治理的特点、股权融资和银行信贷融资制度。第5部分使用中国上市公司2005-2011年间的财务数据和市场数据,首先检验了大股东持股比例和现金持有量间的非线性关系；其次,在融资约束分组的基础上,进一步检验不同融资约束组的大股东控制和现金持有量的关系；最后,使用自行建立的投资者保护指数,检验投资者保护对于大股东控制的约束作用在不同融资约束组的差异。第6部分使用中国上市公司2005-2010年间的财务数据和市场数据,首先检验了大股东持股比例和企业价值间的非线性关系；其次,在融资约束分组的基础上,检验不同融资约束组的大股东持股比例和现金持有量的交互效应的价值差异；再次,使用自行建立的投资者保护指数,检验不同融资约束组的投资者保护、大股东持股比例和现金持有量的交互效应的价值差异；最后,从股权结构、董事会治理、信息披露、地区治理环境等具体治理机制角度,研究投资者保护指数中哪些治理措施能有效约束大股东行为,增加持有现金的市场价值。第7部分在综合全文的基础上,得出研究结论,并提出相应的政策建议,并指出本文的研究不足及后续的研究方向。本文主要的研究结论如下：第一,本文按时间、行业、地区的不同对样本公司分组,发现各组现金持有水平存在显著差异。从现金持有的时间特征看,呈现先下降后上升再平稳的趋势。2008年现金持有量均值达到最低点为15.538%。从现金持有的行业特征看：现金持有量水平最高的为传播与文化业达到30.691%,最低的为电力、煤气及水的生产和供应业,均值为8.168%。从现金持有的地区特征来看：最高的是贵州,均值为28.515%,最低的是吉林,只有8.893%。第二,大股东持股比例和现金持有量间呈倒“U”型关系。当第一大股东持股比例小于48%时,第一大股东持股比例与现金持有量间呈显著正相关关系；当第一大股东持股比例大于48%时,第一大股东持股比例与现金持有量间显著负相关。进一步将样本按可抵押资产规模和利息保障倍数分组,本文发现,当第一大股东持股比例低于48%时,越是融资约束企业现金持有量水平越多；当第一大股东持股比例高于48%时,越是融资约束企业现金持有量越低。为了检验投资者保护水平对于大股东行为的约束作用,本文采用主成分分析法建立了投资者保护指数,研究发现,当大股东持股比例小于48%时,无论企业的融资约束程度如何,提高投资者保护水平都会增加企业的现金持有量；当大股东持股比例大于48%时,只有融资约束企业,提高投资者保护程度才会降低现金持有量。第三,大股东持股比例和企业价值间呈现“U”字形态的非线性关系。当第一股东持股比例小于46%时,随着大股东持股比例的增加会降低大股东持有现金的市场价值；当第一大股东持股比例大于46%时,随着持股比例的增加会增加持有现金的市场价值。为了检验不同融资约束组的大股东持有现金的价值效应,本文仍然采用可抵押资产规模和利息保障倍数作为融资约束的分组标准,研究发现,当第一大股东持股比例小于46%时,越是融资约束企业,大股东控制的侵占行为越严重,大股东持有现金的边际价值越低；当第一大股东持股比例大于46%时,越是融资约束企业,大股东会主动降低现金持有量,增加持有现金的边际价值效应。为了验证投资者保护对于大股东控制的现金持有价值的影响,本文在模型中加入了投资者保护程度和大股东持股比例以及现金持有量的交互项,研究发现,无论第一大股东持股比例是否大于46%,该三维交互项的系数均显著为正,说明提高投资者保护程度会约束大股东的行为,增加持有现金的边际价值效应。进一步考察融资约束程度的差异是否会影响投资者保护对于大股东持有现金的边际价值的影响,研究发现,只有融资约束企业,提高投资者保护程度才会对大股东的行为起到约束作用,这可能是因为,融资约束企业大股的可支配现金比较少,提高投资者保护程度,能够对大股东实施有效监督,限制大股东的行为,增加持有现金的边际价值。第四,通过检验具体治理机制对大股东的约束作用,本文发现,当大股东持股比例小于46%时,提高股权制衡度、增加机构持股比例和持股机构家数、CEO的两职分离、会计师事务所所出具的标准无保留审计意见、所聘请的会计师事务所为国际四大所、提高总的市场化进程、降低政府对企业的干预程度、提高中介组织和法制化水平会增加大股东持有现金的市场价值；而增加董事会规模以及交叉上市会降低大股东持有现金的市场价值。当大股东持股比例大于46%时,增加机构持股比例和持股机构家数以及会计师事务所出具的标准无保留审计意见都能增加大股东持有现金的市场价值；而提高股权制衡度以及增加外部独立董事的持股比例会降低大股东持有现金的市场价值。本文的贡献在于以下几方面：第一,本文以代理理论和融资约束理论为基础,研究融资约束以及大小股东的代理冲突对上市公司现金持有量及其价值效应的影响,避免了先前学者单独从融资约束或代理冲突角度研究的局限性,完善了现金持有理论的研究内容,拓展了现金持有理论研究的框架。第二,本文不仅研究了大股东控制对现金持有量及其价值效应的影响,还探讨了投资者保护对于大股东控制下的现金持有量及其价值效应的影响。并且,在现金持有价值的研究中,进一步探讨了抑制大股东侵占动机的治理机制措施,以便于提高大股东持有现金的价值效应。第三,本文在综合考虑股权结构、董事会治理、信息披露、地区治理环境的等治理机制的基础上,运用主成分分析法建立了投资者保护指数,该指数的建立有利于从投资者保护整体水平的角度考察投资者保护与现金持有量及其价值效应的关系,避免了变量指标之间的内生性问题。更多还原

【Abstract】 Cash holding theory is an important theory of corporate finance. Modigliani and Miller (1958) think that in perfect capital market holding cash is no necessary. However, in the reality capital market, due to the existence of the transaction cost, and the information asymmetry of enterprise and the creditors, the management and the shareholders, the external financing costs than the internal financing cost, may limit the ability of the enterprise investment. Financing constraints theory considers that constraints corporate holding cash is valuable, which can make the corporate obtain larger financial flexibility, when facing investment opportunities, the corporate have the ability to catch all kinds of profitable investment opportunities, and won’t give up. And free cash flow theory argues that, due to the existence of agency costs, the management will hoard cash at the expense of the shareholders’ interests and to meet their personal self-interest. It is clear that two theories are opposite for cash holdings explanation. So when the agency conflicts and financing constraints exist at the same time, cash holdings can present what kind of trend? How will they affect the value of cash holdings? Putting together financing constraints and agency problems, it has great practical significance to research the influence of the interaction effect of financing constraints and agency problems to cash holdings.Based on the related literature of cash holding, this article analyses how the main agency conflict in China, large and small shareholders influence cash holdings and value effects from the enterprise external financing constraints, and further investigate if improving investors protection can constraint large shareholder’s behavior, and influence cash holdings and value effects. The full text is divided into seven chapters, the specific content of each chapter is as follows:Chapter1puts forward the research background and research significance; The definition of the related concepts, The research target and research content; research framework and research methods; research improvement and innovation, etc.Chapter2combes the research literature of cash holdings and value effect from the perspective of financing constraints and corporate governance.Chapter3summarizes three theories of cash holding, transaction cost theory, agency theory and financing constraints theory.Chapter4analyzed the present situation of cash holdings and the characteristics of corporate governance and equity financing and bank credit financing system about China’s listed companies from cash holding’ time characteristics, industry characteristics, area characteristics.Chapter5using financial data and market data of Chinese listed companies from2005to2011, checks the nonlinear relationship between large shareholder share ratio and cash holdings; then, based on the financing constraints group, further tests the relations of large shareholder control and cash holdings in different financing constraints group; Finally, using the establishment of investor protection index, tests investor protection’s influence to large shareholder control in different financing constraints group.Chapter6using financial data and market data of Chinese listed companies from2005to2010, checks the nonlinear relationship of large shareholder share ratio and value; then, based on the financing constraints group, on the basis of test the difference of large shareholder shareholding ratio and the value of cash holdings in financing constraints group, then, using establishment investor protection index, tests if the interaction effect of investor protection, large shareholder share ratio and cash holdings has influence to value of cash holdings in the different financing constraints group, Finally, using the specific management mechanisms such as ownership structure, board of directors governance, information disclosure, area governance environment, tests which measurements can effectively constraint large shareholder behavior, increase the value of cash holdings.Chapter7puts forward the corresponding policy suggestions, and points out the research limitations and future research direction based on summarizing the full text.This paper’s mainly research results are as follows:First, this article divides the sample into difference group according to the time and industry, the area, finds that cash holding level has significant different group. From time features, cash holdings presents the trend of first decline then up. In2008, the average of cash holdings reaches the lowest point15.538%. From industry features, communication and culture industry has the highest level of cash holdings, reaches30.691%, electric power, gas and water production and supply industry has the lowest cash holdings, reaches8.168%. From area features, GuiZhou has the highest cash holdings, reaches28.515%, JiLin has the lowest cash holdings, reaches8.893%.Second, we find the inverse "U" type relationship between large shareholder share ratio and cash holdings. When the share ratio of the largest shareholder is less than48%, there is a significant positive correlation between the share ratio of the largest shareholder and cash holdings; When the share ratio of-the largest shareholder is more than48%, there is significant negative correlation between the share ratio of the largest shareholder and cash holdings.Dividing the sample into constrain group and unconstrain group according to the mortgage asset scale and the multiple of interest safeguard, we find, when the share ratio of the largest shareholder is lower than48%, constraints group has more cash holdings than unconstrain group;when the share ratio of the largest shareholder is higher than48%, constraints group has lower cash holdings than unconstrain group. In order to test the influence of investor protection to large shareholder behavior, we first establish the investor protection index with the principal component analysis method, then find, when large shareholder share ratio is less than48%, improving the level of protection of investors will increase corporate cash holdings in constrain group and unconstrain group; When large shareholder share ratio is more than48%, improving the degree of protection of investors will reduce the cash holdings only in constrain group.Third, we find the "U" nonlinear relationship between large shareholders share ratio and value. When the first shareholder share ratio is less than46%, with the increase of the share ratio of large shareholder will reduce the value of cash holdings; When the share ratio of the largest shareholder is more than46%, with the increase of the share ratio will increase the value of cash holdings. In order to test the difference of the value of cash holdings of large shareholders controlling in the different financing constraints group, using mortgage assets scale and the multiple of interest safeguard as the standards of financing constraints, we find when the share ratio of the largest shareholder is less than46%, large shareholders’occupying behavior is more serious, there is lower marginal value of cash holdings in financing constraints; When the share ratio of the largest shareholder is more than46%, large shareholders will actively reduced cash holdings, there is the higher marginal value of cash holdings in financing constraints. In order to test the influence of investor protection to large shareholder control, we introduce interactive item of investor protection,large shareholder share ratio and cash holdings in the model,find three dimensional interactive item’s coefficients is significantly positive whatever share ratio of the largest shareholder is more than46%, which means improving the degree of investors protection will constraint large shareholder behavior, increase the marginal value of cash holdings. Further testing investor protection’s influence to the marginal value of cash holdings of large shareholder controlling in the different financing constraints group, we find improving the degree of investors protection would constrain large shareholder’s behavior only in financing constraints group, which may be the disposable cash of large shareholder is less in financing constraints group, improving the degree of investors protection can carry out effective supervision to large shareholders, to limit large shareholder’s behavior, increase the marginal value of cash holdings.Fourth, through testing the specific governance mechanism’s constraining function to large shareholder,this article finds when large shareholder share ratio is less than46%, improving the degree of ownership balance, increasing institution share ratio and the numbers of institution, the chairman of the board and CEO is different people, the standard unqualified audit opinion from accountants firm, employing the international four accounting firm, improving the market index, reducing government intervention to firm, improving the intermediary organization and legalization level, will increase the marginal value of cash holdings of large shareholders controlling; and increasing the size of the board, cross listing will reduce the marginal value of cash holdings of large shareholders controlling. When large shareholder share ratio is more than46%, increasing institution share ratio and the numbers of institution and the standard unqualified audit opinion from accountants firm can increase the marginal value of cash holdings of large shareholders controlling; and improving he degree of ownership balance as well as increasing external independent director’s share ratio will reduce the marginal value of cash holdings of large shareholders controlling.The main contributions of this paper are the following aspects:First, based on agency theory and financial constraint theory, this paper studies the relation of financing constraints, agency conflict of large shareholder and small shareholder, cash holdings and value effect, which avoids the limitation of previous scholars individual research financing constraints or agency conflict perspective, improve the cash holding’s theory research content, expand the cash holding theory research framework.Second, this paper researches not only the influence of large shareholder control to cash holdings and value effect, but also discusses the influence of the governance effect of investor protection to large shareholder control to cash holdings and value influence. And, in the study of the value of cash holdings, this paper discusses the governance measures which can restrain large shareholders occupy motive, so as to improve large shareholder control’s value effect of cash holdings.Third, based on the comprehensive consideration of the ownership structure of the board-of directors, management, information management, such as the area of the environment on the basis of governance mechanism, this paper uses principal component analysis to establish the investor protection index, the index’s establishment contributes to study the relation of investor protection and cash holdings and value effects from the overall level of investor protection, avoids the endogeneity problem between the variables.更多还原