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现金持有的内生性与企业债券信用利差

周宏等   

  • 出版日期:2015-06-15 发布日期:2015-06-25

Cash Holdings’ Endogeneity and Corporate Bond Credit Spreads

Zhou Hong etal   

  • Online:2015-06-15 Published:2015-06-25

摘要: 对现金持有能否预测企业未来违约概率问题,现有研究尚未得到一致结论。一些实证检验表明,现金持有与信用利差之间存在显著的正相关关系,但这有违于拥有较多自由现金可以降低企业违约风险的常理。为解释上述结论,本文以Acharya(2012)理论模型为基础,结合中国债券市场发债主体特征的差异,从融资约束与营业外收入的角度扩展了Acharya(2012)理论模型。利用2008-2012年中国企业债券数据,选取外源性变量与工具变量,回归分析与检验现金持有的内生性理论与预防性储蓄动机在现金持有与违约风险关系中的作用,结果表明,在中国发债企业中,现金持有具有内生性;在非上市与上市发债企业中,由于因素变化产生的间接效应与直接效应大小关系会发生改变,现金持有内生性机制存在差别。

关键词: 现金持有, 债券信用利差, 内生性, 预期性储蓄

Abstract: Whether cash holdings can predict the probability of future defaults or not has received academic attention, but the consensus has not been reached. Normally, firms with more free cash should be safer and have lower credit spreads. Yet, many empirical results show the correlation between cash holdings and spreads is robustly positive. To explain the conclusion above, this paper expands the theory models of Acharya(2012) from the aspect of financing constraints and non-business income. By the theoretic analysis, we find that the cash-holding endogenous mechanisms in various issue subjects are different. Meanwhile, using Chinese corporate bonds data of 2008-2012 and selecting the appropriate exogenous variables and instrumental variables to regress, the results confirm the theoretical analysis. Our empirical research suggests that precautionary savings are central to understand the effects of cash on credit risk. Next, this paper analyzes the differences of the process on cash holdings between unlisted public companies and listed companies issuing bonds, the endogeneity of which can change the size of the indirect effect and direct effect.

Key words: Cash Holdings, Bond Credit Spreads, Endogeneity, Anticipated Savings