信息不對(duì)稱(chēng)與投資-現(xiàn)金流敏感性——基于市場(chǎng)微觀結(jié)構(gòu)理論的實(shí)證分析.pdf

1、廈門(mén)大學(xué)碩士學(xué)位論文信息不對(duì)稱(chēng)與投資現(xiàn)金流敏感性——基于市場(chǎng)微觀結(jié)構(gòu)理論的實(shí)證分析姓名：葉玉妹申請(qǐng)學(xué)位級(jí)別：碩士專(zhuān)業(yè)：企業(yè)管理指導(dǎo)教師：屈文洲20090401ABSTRACTTheresearchoninvestment—cashflowsensitivityisoneofthemaintopicsininvestmenttheoryresearchAlotofempiricalstudiesshowthatcashflowdoesha

2、venotableinfluenceoncapitalexpendituresthereforeinvestmentcashflowsensitivitydoesexistModelsofinformationasymmetrypredictthatcompaniesfacefinancialconstraintduetomarketimperfectionswoulddecreasefirminvestmentandincreasei

3、nvestmentcashflowsensitivityFurthertheypredictthehigherfinancialconstraintwouldbringhigherinvestmentcashflowsensitivityHowever，someotherstudiesarguethatthereisnoreasonforinvestment—cashflowsensitivitytoincreasemonotonica

4、lly、析mfinancialconstraintsTheirpredictionsalsohavestrongempiricalsupportsSomeotherscholarsarguethatdifferentmeasurementsforfinancialconstraintwouldbringdifferentresultAtpresent，thehoaeadebateishowtomeasurethefinancialcon

5、straintandwhat’StherelationshipbetweenfinancialconstraintandcashflowsensitivityWeusePIN，whichisadirectmeasurementforinformationasymmetrybasedonmicrostructuretheorycalculatedbyusinghighfrequencydatafromcapitalmarket，asthe

6、measurementoffinancialconstraintThehigherPINrepresentshigherasymmetryinformation，namelyhigherfinancialconstraintSincetheproblemoffinancialconstraintisarisingbycapitalmarketimperfections，webelievethedirectmeasurementswoul

7、dbebetterthanotherindirectmeasurementssuchasdividendpayoutratio，size，ageetcTheanalysisprovethatthehighertheinformationasymmetrythelowerfirminvestment，whichisconsistent誦廿ltheoreticalpredictionsFurtherwealsofindthehigherth

8、einformationasymmetrythehigherinvestment—cashflowsensitivitynamelyhigherfinancialconstraintwouldbringhigherinvestment—cashflowsensitivitywhichisconsistent、析nlthefinancialconstrainttheoryWealsoexamthemonotonicitybetweenin