【作者】 叶蓓；

【导师】 夏新平； 袁建国；

【作者基本信息】 华中科技大学 ， 企业管理， 2008， 博士

【摘要】 近二十年来的国内外财务研究表明,企业投资支出与内部现金流存在显著相关关系。上市公司投资支出随现金流大幅波动,可能在现金流充裕或不足时分别伴随投资过度或不足,极大地损害股东和相关方利益。对此,主流研究在理性人假设基础上,分别提出了企业投资的“融资约束假说”和“自由现金流假说”,依此谋求治理方案。然而,大量心理学实验证实,管理者普遍存在过度自信的心理偏误。这种决策主体的非理性特征可能影响企业投资行为,并使得建立在主流理论基础上的治理机制失去效力。为此,本文尝试借鉴和发展新兴的行为金融研究成果,研究我国上市公司管理者过度自信心理对企业投资-现金流敏感度以及投资效率的影响,以期为非效率投资治理提供依据。论文首先放松了相关行为金融研究的信息对称假设,通过构造投资决策模型,分别研究融资逆向选择条件下和管理者道德风险条件下过度自信对投资决策的影响。研究结果表明,对于上市公司这类“优质企业”而言:(1)管理者过度自信可能导致企业投资过度或不足;(2)管理者过度自信程度与企业投资-现金流敏感度正向关联;其他条件一定,企业融资约束程度越高,则投资-现金流敏感度越高;(3)在融资逆向选择和道德风险双重作用下,管理者过度自信与企业非效率投资几率的关系可能是非单调的;(4)过度自信管理者的道德风险与所受监督无关,与股权激励负相关;较高程度的自信水平有助于节约治理成本。其次,论文针对我国上市公司管理者过度自信状况及其对投资-现金流敏感度、投资效率的影响展开实证研究:(1)基于企业景气调查和管理者持股变动的分析表明,绝大多数上市公司管理者表现出过度自信倾向;该自信程度与某些管理者个体特征和组织治理特征相关;(2)融资约束条件下管理者过度自信对投资-现金流敏感度影响的实证研究表明,1)由董事、高管组成的管理者群体自信程度对公司投资行为的影响较CEO个人或高管团队更为显著;2)管理者自信程度对投资-现金流敏感度具有显著正向影响;3)融资约束程度越高,过度自信管理者所在公司的投资-现金流敏感度越高。上述结论在控制信息不对称或委托代理问题后依然成立;(3)对上市公司管理者过度自信与投资效率(企业价值)关系的联立方程检验表明,1)管理者自信度与企业价值之间存在显著反馈关系;2)企业价值提高有助于增强管理者自信心;3)管理者自信对投资效率具有非单调作用——适度水平下管理者自信有助于提高企业价值,但超过一定限度后对其有不利影响。本研究为上市公司非效率投资治理提供了新的政策意见和建议:(1)非效率投资治理不可忽视决策者非理性心理的影响;(2)减少管理者过度自信倾向、稳定现金流水平、增加信息披露、减少融资约束均有利于避免投资支出大起大落;(3)公司治理机制既要鼓励和选拔自信人才进入管理团队,也要注重及时干预和调整管理者自信心理,防止其演变为过度自信;(4)监督激励机制应根据管理者自信程度适当调整等等。更多还原

【Abstract】 The overseas and domestic financial studies in the recent twenty years have both certified significant correlations between corporate investments and internal cash flows. When the capital expenditures of listed companies fluctuate greatly with different cash flow levels, it may be accompanied by over- or under-investment with surplus or inadequate cash flows, which harms the interests of shareholders and other related parties. Based on the rational person hypothesis, mainstream studies put forth investment theories such as the financial constraint hypothesis or the free cash flow hypothesis, and seek relevant governance measures. However, a great deal of psychological experiments has proved that overconfidence is prevelant among corporate managers. With this irrationality in decision-making, governance measures based on mainstream studies may fail to work. This paper tries to learn from and push forward the emerging behavioral financial research, and study managerial overconfidence of Chinese listed companies as well as its effect on investment-cash flow sensitivity and investment efficiency. The purpose is to provide clues for improving inefficient investment governance.The paper first gives up the asymmetric information hypothesis of the related study. By means of an investment decision model, it theoretically investigates the effect of managerial overconfidence on investment decisions under the conditions of financing adverse-selection and managerial moral hazard respectively. The analysis shows that for "good companies" represented by listed companies: (1) managerial overconfidence may result in over- or under-investment; (2) it is positively related to the companies’ investment-cash flow sensitivity; all else equal, the more severe the financial constraint, the higher the above sensitivity; (3) taking both financing adverse-selection and managerial moral hazard into account, managerial overconfidence may have a non-monotonic effect on inefficient investment probabilities; (4) the degree of moral hazard of overconfident managers is unrelated to supervision, but is negatively affected by ownership incentives; overconfidence at a high level helps save corporate governance costs.The paper proceeds to empirically investigate how mangerial overconfidence affects investments and firm value of Chinese listed companies: (1) by measuring overconfidence based on Entrepreneur Confidence Index and management shareholding respectively, the paper shows that the majority of managers tend to be overconfident, and some of their personal characteristics and corporate governance features lead to difference in managerial confidence; (2) under the condition of financial constraint, 1) the overconfidence of management group composed of directors and executives has a more significant effect on corporate investments than that of CEOs or executives; 2) managerial overconfidence is significantly and positively related to corporate investment-cash flow sensitivity; 3).this effect is more evident when firms face serious financial constraint. The above findings hold even after controlling for asymmetric information problems or agency problem; (3) the effect of managerial overconfidence on investment efficiency (firm value) is explored by means of a simultaneous equation model, which shows that: 1) there is a significant interaction between managerial overconfidence and firm value via investment decisions; 2) firm value increase helps promote managerial confidence; 3) the effect of managerial confidence on firm value is non-monotonic, that is, the former up to a certain degree helps raise firm value (hence improve investment efficiency), but later on harms it.The study provides new policy implications for inefficient investment governance of listed companies: (1) the governance should not ignore decision-makers’ cognitive bias; (2) it is helpful to reduce managers’ inclination for overconfidence, stabilize cash flows, increase information disclosure or reduce financial constraint in order to prevent fluctuations in investments; (3) corporate governance should encourage and promote confident talents into the management team as well as timely intervene and adjust their self-confidence, so as to prevent it from being transformed into overconfidence; (4) supervision and incentive measures should be properly adapted to managers’ confidence levels, and so on.更多还原