【作者】 王利刚；

【导师】 金雪军；

【作者基本信息】 浙江大学 ， 政治经济学， 2007， 博士

【摘要】 本文以中国上市公司为对象，研究了公司现金持有的影响因素与公司现金持有的价值效应。在研究上遵循从现金持有的决策影响因素的研究到决策的绩效评价、从宏观影响因素到微观影响因素、从古典企业模式下到两权分离的现代公司模式下的逻辑路线。首先，本文系统分析了中国上市公司的现金持有的现状。通过从公司现金持有水平和公司现金持有的横截面分布离差特征二个纬度的分析，发现：中国上市公司现金资产比率均值和中位数水平分别为15.76％、12.62％，远高于国际水平，也高于世界低股东权利保护国家的平均水平；公司现金持有的横截面分布离差特征具有明显的行业差异性；其中信息技术产业公司的现金持有行为同质性最低；房地产产业公司的现金持有行为同质性最高。其次，通过单期现金缓冲储备模型和简单跨期权衡模型研究了宏观经济不确定性对非金融公司现金持有行为的影响。实证结果同时支持了上述两个模型的结论：当期公司现金持有行为的收敛抑或发散不仅受当期宏观经济不确定性的影响还受未来宏观经济不确定性的影响。此外，通过权衡理论、管理者代理成本以及融资层级理论三个视角考察了公司现金持有与商业周期变化的关系，实证结果显示商业周期对中国上市公司现金持有水平的作用方向总体并不明确。在分析完宏观经济因素后本文进一步考察了股东财富最大化假设下影响公司现金持有的微观经济因素。通过一个统一的三时点投融资模型，获得以下命题与推论：融资约束的公司其现金持有的现金流敏感性始终大于零；并且应用对冲工具进行现金流对冲操作的融资约束公司比未进行对冲操作的公司具有较低的现金持有的现金流敏感性。与融资约束公司不同，融资未约束的公司不具有系统性储备现金的倾向，即其现金持有的现金流敏感性不确定。上述命题的实证结果显示：融资约束的公司的确具有显著的现金持有的现金流敏感性，但与模型结论不同的是，融资未约束的公司也具有系统性现金储备倾向，尽管现金持有的敏感性程度要远远低于融资约束型公司。笔者认为这种现象归因于融资未约束公司存在较为严重的代理问题。由于公司对冲能力测度非常困难，笔者尝试进行了实证检验，研究结果提供了较弱的支持对冲能力对公司现金持有具有影响的证据。接着，进一步考虑了两权分离环境下代理问题对公司现金持有的影响。笔者认为，不同制度背景下高代理冲突、低治理效力的公司其经理人现金持有偏好存在差异，并进一步分析了偏好差异的动机基础。通过对公司的治理机制、股东权利保护与公司现金持有关系的研究，发现：高代理冲突的中国上市公司的经理人偏好于高现金持有，笔者认为这种现金持有偏好的动机不是出于规避外部治理机制对经理人的惩罚，而更多的是归因于管理者偏好保守财务政策的使然。笔者的实证方法的一个特点是建立了公司治理结构分值指标体系和股权结构分值指标体系来分别测度我国上市公司的治理效力和股东权利保护程度。最后，笔者检验了中国上市公司现金持有的价值效应。研究结果发现中国上市公司现金持有具有负的业绩效应。并且中国上市公司单位现金持有的边际股东价值在0.3451元到0.6726元区间，就其均值而言，大概等于0.5089元，远低于发达国家公司现金持有价值的估价水平。更多还原

【Abstract】 This dissertation focuses on the determinants and value effect of the corporate cash holdings in China, with listed corperates as its subjects. We follow the logic roads from the determinants of decisions to the performance of decisions, from the macroeconomic factors to the microeconomic factors, and from the classical enterprise pattern to the modern corporate pattern.First we make a cross-study on the actuality of Chinese listed coproates cash holdings.Through two latitudes of cash holdings level and the cross-sectional variance of coporate cash holdings ,we know: In China,the mean and the median of the listed corporates’ cash-to-asset ratio are 15.76% and 12.62% respectively, which is higher than the level of the world ,even higher than the level of the countries where shareholders rights are not well protected; there is apparent difference in the cross-variance of corporate cash holdings for different industries, thereinto, the behaviors of corporates cash holdings in the information technology industry are most diverse,and the opposition the real estate industry is.Second, Using an one-period cash-buffer model and a simple model that create a trade-off between current and future investments, we analyse the impact of macroeconomic uncertainty on cash holdings for Non-Financial Firms. Then,we test the empirical implications of two model ,and the result sustain both conclusions .Additionally,we research on the relationship between the business cycle and the corporate cash holdings according to three models:the trade-off model,the agency costs of managerial discretion theory, and the pecking order theory,the empirical examination shows that the relation is not so explicit.After the analysis on macroeconomic level ,we take an ulterior step to explore the microdeterminants of corporate cash holdings under the assumption that managers act at shareholders’ benefits.Using a three-period investment-and-financing model, we reach the conlusions: the cash flow sensitivity of cash holdings is always positive for financial constraint corporates , and for constraint corporates applying hedge instruments, their cash flow sensitivity of cash holdings is lower than those who do not. The financial unconstraint corporates have no clear relationship between cash holdings and cash flow. The empirical examination shows: The financial constraint corporates do have a positive sensitivity, and the unconstraint corporates also follow suite, although the sensitivity coefficient is higher for the financial constraint corporates.We suppose that the results above are due to serious agency problem for the financial unconstraint corporates.We attempt to measure the hedging ability, and find: some weak evidences support that high hedging ability firms have a low cash flow sensitivity.In sucession, we put forward to analyse the impact of agency problem on the cash holdings for non-financial firms.We argue that corporates with high managerial agency conflict and low governance efficience differ in preferences for cash holdings under the heterogeneous environments, in addition, we analyse the corporate motive base of the different preference for cash holdings .through testing the relationship between the corporate governance mechanism,the protection of shareholders rights and the corporate cash holdings, we find: In China , corporates with high agency problem show preference for high cash holdings , therefore we consider that the main reason is: managers are inclined to conservative financial polices, not to evade discipline from outside governance mechanisms. A contribution to existing literatures is that we set up two score-index systems to measure the corporate governance efficience and the protection degree of shareholders rights.In the end, we investigate the value effect of cash holdings for Chinese listed corporates.The evidence proves there are negative achievement effects on the corporates to have cash holdings, and the value of 1 yuan RMB cash holdings lies between 0.3451 yuan RMB and 0.6726yuan RMB, for the mean value, it is around 0.5089 yuan RMB , much lower than the value of cash holdings of corporates in developed countries .更多还原