现金流分配的影响因素及其启示

How do firm allocate cash flow is an important question in corporate finance, which is related to improvement in profitability and stock market performances. However, the empirical results are controversial. In this project, we examine cash flow allocation by including all the uses of cash flow (investment, change in cash holdings, dividend, reductions in debt and equity financing) into a multi-equations framework. We use Beveridge-Nelson decomposition to decompose cash flow of Chinese firm into a permanent and a transitory component and get the consistent estimate of cash flow allocation with considering the measurement error associated with Tobin’s Q.. Based on the consistent estimate of cash flow allocation, we examine individually how financial constraint, equity misvaluation, and ownership structure affect cash flow allocation. 1) We use textual analysis to extract new financial constraint proxy and use it together with existing financial constraint proxies to investigate how financial constraints affect cash flow allocation. 2) We set up a theoretical model and together with empirical studies to examine how equity misvaluation influences cash flow allocation. 3) We study the impact of ownership structure on cash flow allocation, focusing on how split-share structure reform ameliorates cash flow allocation for non-state-owned enterprises.

如何分配现金流是公司财务里面一个重要的问题，关系到公司的投资利润和股票市场表现。但是实证结果众说纷纭。我们把现金流的五种用途（投资、增加现金持有、股利、减少外部债券和股权融资）一起放在一个多方程的模型框架下考察现金流的分配。并用Beveridge-Nelson分解把我国公司的现金流分解成暂时性和永久性成分，在考虑托宾Q衡量误差的情况下，得到现金流分配的一致性估计。.依赖于现金流分配的一致性估计，我们分别考察了融资约束、股票错误估值、和股权结构对现金流分配的影响。1）通过文本分析在国内公司财务报表中提取新的融资约束指标，并和已有的融资约束指标一起考察融资约束如何影响现金流的分配；2）我们建立理论模型并结合实证考察股票错误估值如何影响现金流的分配；3）我们考察股权结构对现金流分配的影响，并重点关注股权分置改革对非国有企业现金流分配的改善作用。

基于中国上市公司的样本，我们研究内部现金流分配到各种用途，包括投资，现金持有以及融资。为了解决文献中Tobin’s Q的衡量误差导致的现金流敏感性估计不一致的难题，我们把现金流分解成暂时性和永久性的成分，并重点考察暂时性现金流如何分配。因为暂时性现金流不包含未来投资机会的信息，暂时性现金流敏感性可以得到一致性估计。我们发现，比起融资约束程度低（股票高估）的公司，融资约束程度高（股票低估）的公司分配更多的暂时性现金流到投资和增加现金持有并把更少的暂时性现金流用于赎回外部融资。使用党风廉政建设和反腐败斗争作为外生事件考察股权结构如何影响现金流的分配。比起国有企业，非国有企业把更少的额外现金流用于现金持有和支付红利。以上结果有助于用一个统一的框架来建立模型和评价各种现金流用途之间的相互依赖。