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首页 自由现金流下的过度投资【外文翻译】

自由现金流下的过度投资【外文翻译】.doc

自由现金流下的过度投资【外文翻译】

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2017-11-14 0人阅读 举报 0 0 暂无简介

简介:本文档为《自由现金流下的过度投资【外文翻译】doc》,可适用于综合领域

自由现金流下的过度投资【外文翻译】本科毕业论文(设计)文翻译外原文:OverinvestmentoffreecashflowAbstractThispaperexaminestheextentoffirmleveloverinvestmentoffrecashflowUsinganaccountingbasedframeworktomeasureoverinvestmentandfreecashflow,Ifindevidencethat,consistentwithagencycostexplanations,overinvestmentisconcentratedinfirmswiththehighestlevelsoffreecashflowFurthertestsexaminewhetherfirms’governancestructuresareassociatedwithoverinvestmentoffreecashflowTheevidencesuggeststhatcertaingovernancestructures,suchasthepresenceofactivistshareholders,appeartomitigateoverinvestmentIntroductionThispaperexaminesfirminvestingdecisionsinthepresenceoffreecashflowIntheory,firmlevelinvestmentshouldnotberelatedtointernallygeneratedcashflows(ModiglianiMiller,)However,priorresearchhasdocumentedapositiverelationbetweeninvestmentexpenditureandcashflow(eg,Hubbard,)TherearetwointerpretationsforthispositiverelationFirst,thepositiverelationisamanifestationofanagencyproblem,wheremanagersinfirmswithfreecashflowengageinwastefulexpenditure(eg,JensenStulz)Whenmanagers’objectivesdifferfromthoseofshareholders,thepresenceofinternallygeneratedcashflowinexcessofthatrequiredtomaintainexistingassetsinplaceandfinancenewpositiveNPVprojectscreatesthepotentialforthosefundstobesquanderedSecond,thepositiverelationreflectscapitalmarketimperfections,wherecostlyexternalfinancingcreatesthepotentialforinternallygeneratedcashflowstoexpandthefeasibleinvestmentopportunityset(eg,Fazzari,Hubbard,Petersen,Hubbard,)Thispaperfocusesonutilizingaccountinginformationtobettermeasuretheconstructsoffreecashflowandoverinvestment,therebyallowingamorepowerfultestoftheagencybasedexplanationforwhyfirmlevelinvestmentisrelatedtointernallygeneratedcashflowsIndoingso,thispaperisthefirsttoofferlargesampleevidenceofoverinvestmentoffreecashflowPriorresearch,suchasBlanchard,LopezdiSilanes,andVishny(),documentexcessiveinvestmentandacquisitionactivityforelevenfirmsthatexperiencealargecashwindfallduetoalegalsettlement,Harford()findsusingasampleoftakeoverbids,thatcashrichfirmsaremorelikelytomakeacquisitionsthatsubsequentlyexperienceabnormaldeclinesinoperatingperformance,andBates()findsforasampleofsubsidiarysalesfromtothatfirmswhoretaincashtendtoinvestmore,relativetoindustrypeersThispaperextendsthesesmallsamplefindingsbyshowingthatoverinvestmentoffreecashflowisasystematicphenomenonacrossalltypesofinvestmentexpenditureTheempiricalanalysisproceedsintwostagesFirst,thepaperusesanaccountingbasedframeworktomeasurebothfreecashflowandoverinvestmentFreecashflowisdefinedascashflowbeyondwhatisnecessarytomaintainassetsinplaceandtofinanceexpectednewinvestmentsOverinvestmentisdefinedasinvestmentexpenditurebeyondthatrequiredtomaintainassetsinplaceandtofinanceexpectednewinvestmentsinpositiveNPVprojectsTomeasureoverinvestment,Idecomposetotalinvestmentexpenditureintotwocomponents:(i)requiredinvestmentexpendituretomaintainassetsinplace,and(ii)newinvestmentexpenditureIthendecomposenewinvestmentexpenditureintooverinvestmentinnegativeNPVprojectsandexpectedinvestmentexpenditure,wherethelattervarieswiththefirm’sgrowthopportunities,financingconstraints,industryaffiliationandotherfactorsUndertheagencycostexplanation,managementhasthepotentialtosquanderfreecashflowonlywhenfreecashflowispositiveAttheotherendofthespectrum,firmswithnegativefreecashflowcanonlysquandercashiftheyareabletoraise“cheap”capitalThisislesslikelytooccurbecausethesefirmsneedtobeabletoraisefinancingandtherebyplacethemselvesunderthescrutinyofexternalmarkets(DeAngelo,DeAngelo,Stulz,Jensen,)Consistentwiththeagencycostexplanation,IfindapositiveassociationbetweenoverinvestmentandfreecashflowforfirmswithpositivefreecashflowForasampleof,firmyearsduringtheperiod–,IfindthatforfirmswithpositivefreecashflowtheaveragefirmoverinvestsofitsfreecashflowFurthermore,IdocumentthatthemajorityoffreecashflowisretainedintheformoffinancialassetsTheaveragefirminmysampleretainsofitsfreecashflowaseithercashormarketablesecuritiesThereislittleevidencethatfreecashflowisdistributedtoexternaldebtholdersorshareholdersFindinganassociationbetweenoverinvestmentandfreecashflowisconsistentwithrecentresearchdocumentingpoorfutureperformancefollowingfirmlevelinvestmentactivityForexample,Titman,Wei,andXie()andFairfield,Whisenant,andYohn()showthatfirmswithextensivecapitalinvestmentactivityandgrowthinnetoperatingassetsrespectively,experienceinferiorfuturestockreturnsFurthermore,Dechow,Richardson,andSloan()findthatcashflowsretainedwithinthefirm(eithercapitalizedthroughaccrualsor“invested”infinancialassets)areassociatedwithlowerfutureoperatingperformanceandfuturestockreturnsThisperformancerelationisconsistentwiththeoverinvestmentoffreecashflowsdocumentedinthispaperThesecondsetofempiricalanalysesexaminewhethergovernancestructuresareeffectiveinmitigatingoverinvestmentPriorresearchhasexaminedtheimpactofavarietyofgovernancestructuresonfirmvaluationandthequalityofmanagerialdecisionmaking(seeBrownCaylor,Gompers,Ishii,Metrick,Larcker,Richardson,Tuna,fordetailedsummaries)Collectively,theabilityofcrosssectionalvariationingovernancestructurestoexplainfirmvalueandorfirmdecisionmakingisrelativelyweakConsistentwiththis,IfindevidencethatoutofalargesetofgovernancemeasuresonlyafewarerelatedtooverinvestmentForexample,firmswithactivistshareholdersandcertainantitakeoverprovisionsarelesslikelytooverinvesttheirfreecashflowFreecashflowandoverinvestmentThissectiondescribesindetailthevarioustheoriessupportingapositiverelationbetweeninvestmentexpenditureandcashflowandthendevelopsmeasuresoffreecashflowandoverinvestmentthatcanbeusedtotesttheagencybasedexplanationExplanationsforapositiverelationbetweeninvestmentexpenditureandcashflowInaworldofperfectcapitalmarketstherewouldbenoassociationbetweenfirmlevelinvestingactivitiesandinternallygeneratedcashflowsIfafirmneededadditionalcashtofinanceaninvestmentactivityitwouldsimplyraisethatcashfromexternalcapitalmarketsIfthefirmhadexcesscashbeyondthatneededtofundavailablepositiveNPVprojects(includingoptionsonfutureinvestment)itwoulddistributefreecashflowtoexternalmarketsFirmsdonot,however,operateinsuchaworldThereareavarietyofcapitalmarketfrictionsthatimpedetheabilityofmanagementtoraisecashfromexternalcapitalmarketsInaddition,therearesignificanttransactioncostsassociatedwithmonitoringmanagementtoensurethatfreecashflowisindeeddistributedtoexternalcapitalmarketsInequilibrium,thesecapitalmarketfrictionscanserveasasupportforapositiveassociationbetweenfirminvestingactivitiesandinternallygeneratedcashflowTheagencycostexplanationintroducedbyJensen()andStulz()suggeststhatmonitoringdifficultycreatesthepotentialformanagementtospendinternallygeneratedcashflowonprojectsthatarebeneficialfromamanagementperspectivebutcostlyfromashareholderperspective(thefreecashflowhypothesis)SeveralpapershaveinvestigatedtheimplicationsofthefreecashflowhypothesisonfirminvestmentactivityForexample,Lamont()andBergerandHann()findevidenceconsistentwithcashrichsegmentscrosssubsidizingmorepoorlyperformingsegmentsindiversifiedfirmsHowever,theevidenceinthesepaperscouldalsobeconsistentwithmarketfrictionsinhibitingtheabilityofthefirmtoraisecapitalexternallyandnotnecessarilyanindicationofoverinvestmentRelatedevidencecanalsobefoundinHarford()andOpler,Pinkowitz,Stulz,andWilliamson(,)Harfordusesasampleoftakeoverbidstodocumentthatcashrichfirmsaremorelikelytomakeacquisitionsandthese“cashrich”acquisitionsarefollowedbyabnormaldeclinesinoperatingperformanceOpleretal()findsomeevidencethatcompanieswithexcesscash(measuredusingbalancesheetcashinformation)havehighercapitalexpenditures,andspendmoreonacquisitions,evenwhentheyappeartohavepoorinvestmentopportunities(asmeasuredbyTobin’sQ)PerhapsthemostdirectevidenceontheoverinvestmentoffreecashflowistheanalysisinBlanchardetal()TheyfindthatelevenfirmswithwindfalllegalsettlementsappeartoengageinwastefulexpenditureCollectively,priorresearchissuggestiveofanagencybasedexplanationsupportingthepositiverelationbetweeninvestmentandinternallygeneratedcashflowHowever,thesepapersarebasedonrelativelysmallsamplesanddonotmeasureoverinvestmentorfreecashflowdirectlyThus,thefindingsofearlierworkmaynotbegeneralizabletolargersamplesnorisitdirectlyattributabletotheagencycostexplanationMoregenerally,acriticismoftheliteratureexaminingtherelationbetweeninvestmentandcashflowisthatfindingapositiveassociationmaymerelyindicatethatcashflowsserveasaneffectiveproxyforinvestmentopportunities(eg,Alti,)Myaimistobettermeasuretheconstructsoffreecashflowandoverinvestmentbyincorporatinganaccountingbasedmeasureofgrowthopportunities,andtestwhethertherelationisevidentinalargesampleoffirmsSomeearlyworkinthisareaexaminedthesensitivityofinvestmenttocashflowforhighversuslowdividendpayingfirms(Fazzarietal,),comparingdifferingorganizationalstructureswheretheabilitytoraiseexternalfinancingwaseasierharder(Hoshi,KashyapandScharfstein,,withJapaneskeiretsufirms)anddebtconstraints(Whited,)Thesepapersfindevidenceofgreatersensitivityofinvestmenttocashflowforsetsoffirmswhichappearedtobefinanciallyconstrained(eg,lowdividendpayingfirms,highdebtfirmsandfirmswithlimitedaccesstobanks)However,morerecentresearchcastsdoubtontheearlierresultsSpecifically,KaplanandZingales(,),findthatthesensitivityofinvestmenttocashflowpersistsevenforfirmswhodonotfacefinancingconstraintsTheyconstructameasureofexantefinancingconstraintsforasmallsampleoffirmsandfindthatthesensitivityofinvestmenttocashflowforfirmsisnegativelyassociatedwiththismeasure,therebycastingdoubtonthefinancingconstrainthypothesisNonethelesstheinvestmentexpectationmodeldescribedinSectionincludesavarietyofmeasuresdesignedtocapturefinancingconstraintsConclusionThispaperpresentsevidenceonfirmleveloverinvestmentoffreecashflowTheempiricalanalysisutilizesanaccountingbasedframeworktomeasuretheconstructsoffreecashflowandoverinvestmentAcomparativeadvantageoftheaccountingresearcherisinmeasuringcriticalconstructsfromthefinancialeconomicsliteratureTheanalysisofoverinvestmentandfreecashflowisbutoneexampleofhowaccountinginformationcanbebetterutilizedinacademicresearchTheevidenceinthispapersuggeststhatoverinvestmentisacommonproblemforpubliclytradedUSfirmsFornonfinancialfirmsduringtheperiod–,theaveragefirmoverinvestspercentofitsavailablefreecashflowFurthermore,themajorityoffreecashflowisretainedintheformoffinancialassetsForeachadditionaldollaroffreecashflowtheaveragefirminthesampleretainscentsaseithercashormarketablesecuritiesThereislittleevidencethatfreecashflowisdistributedtoexternalstakeholders,therebycreatingthepotentialforretainedfreecashflowtobeoverinvestedinthefutureSupplementalanalysisfoundonlyweakevidencethatgovernancestructuresareeffectiveinmitigatingtheextentofoverinvestmentThesefindingscorroboraterecentworkthathasfoundsignificantnegativefuturestockreturnsfromcapitalinvestmentandsignificantgrowthinnetoperatingassets(eg,Fairfieldetal,Titmanetal,)Indeed,Li()findsthatfutureoperatingperformanceislowerforfirmsengagingininvestmentexpenditureandthatthisnegativerelationisincreasingincontemporaneousfreecashflowAnaturalexplanationforthispoorfutureperformanceisfreecashflowrelatedagencycostsTheframeworkdevelopedinthepapertomeasureoverinvestmentandfreecashflowcaneasilybeextendedtoconsiderabnormalinvestmentmoregenerallyIndeed,somerecentresearchhasstartedtousethisframeworktoexaminetheimpactofaccountinginformationsystemsoninvestmentdecisionsandtheefficientallocationofcapital(eg,Bushman,Piotroski,Smith,Goodman,Wang,)Source:ScottRichardson,“Overinvestmentoffreecashflow”ReviewofAccountStudies,vol,june,pp译文:自由现金流下的过度投资摘要本文调查了公司水平范围内的自由现金流的过度投资问题。在基于会计学框架来分析自由现金流的过程中我们发现过度投资集中于那些具有高水平的自由现金流的公司进一步研究表明公司的管理结构与自由现金流的过度投资是密切相关的。有证据表明某些管理结构例如存在较活跃的股东的公司过度投资现象就更容易发生。正文本文调查了在现有自由现金流存在下的公司的投资决策。理论上公司层面上的投资与内部收集的现金流无关(蒙迪戈拉尼米勒)。然而之前的研究表明投资扩张与现金流之间有正相关的关系(例如哈伯德)。对于这种正相关有两种解释:第一这种正相关是公司出现了经理用现金流无效投资现象的放大化(例如詹森史图斯)。当经理与股东们目标不一致时现存内部集结资金流所超出的部分,包括用以维持固定资产以及为新的NPV为正的项目提供资金那么超出的这部分就为无效投资提供了资金上的可能。第二:正相关性反应了资本市场的不完整这使得外部财政为内部集结的现金流进行灵活投机提供了机会(例如法则瑞,哈伯德彼得森,哈伯德,)。本文主要关注了利用统计信息来评估自由现金流和过度投资的结构组成。因此对于为什么公司水平上的投资与内部集结资金流有关这一问题就要进行基于代理成本理论解释的更加强有力的测试。本文是第一篇能提供大量自由现金流过度投资实例的文章。先前的一些研究例如布兰卡德,洛佩斯迪西兰斯和维什尼()论述了家公司的过度投资和兼并活动在法律判决影响下这家公司经历了一场资金风暴。哈福德()在个收购行为的例子中发现:现金充裕的公司更容易在兼并活动后的操作过程中出现业绩不正常的下滑趋势。贝茨()在个销售子公司样本中发现那些存有现金的公司相对于其他同行更具有投资倾向。本文通过揭示现金流的过度投资在所有投资类型中是一种系统性现象从而将这些小的案例展开。按经验将分析过程分为两步。首先本文利用基于统计的框架来测量现金流与过度投资现象。自由现金流是指超出维持适当资产以及为预计的新投资提供资金的需要的现金流。过度投资是指超过维持资产和为预期的NPV为正的项目投资提供资金之外的投资支出。为了衡量过度投资我将总的投资支出分为两个部分:(i)通过投资来维持固定资产(ii)新的投资支出。我再将新的投资支出划分为NPV为负的项目的过度投资与预期的投资支出。后者与公司机会的增多财政约束产业联系等因素有关。按代理成本的解释只有当自由现金流是正的这种管理才有浪费自由现金流的可能。另一方面自由现金流为负的公司只有当他们提高“廉价”的资金成本时才有可能浪费现金流。但这种情况一般很少发生因为这些公司需要筹措资金以便使自身在外部市场中能够经受住审查(德安吉洛,德安吉洛史图斯,詹森,)。与代理成本解释一致我发现了过度投资与自由现金流在正现金流条件下的积极联系。例如年到年的个公司年度样本中我发现拥有正的自由现金流的公司平均拿出其自由现金流的进行过度投资。进一步我认为大部分的自由现金流均以金融资产的形式保存下来。我的样本公司平均保持作为其他现金或者可交易金融资产。证据显示自由现金流分配给外部股东。寻找过度投资与自由现金流之间的关系与近代研究伴随着公司投资行为而来的不良未来业绩的文献一致。例如特曼魏以及谢()和费尔菲尔德威森纳特以及约翰()显示拥有大量资本投资行为以及净经营资产独立增长的公司未来股票收益均不佳。不仅如此德舟理查森和斯隆()发现留存在公司内的现金流(利息资本化或者金融资产的“投资”)均与较低的未来经营业绩和未来股票收益相关。这种业绩关系与本文中论述的自由现金流引发的过度投资一致。第二套经验性分析检测了管理结构在缓解过度投资方面是否有效。以前的研究者已经调查出不同的管理结构对公司估值和行政决定制定高层的影响(在布朗孙俊高姆普斯艾什迈特里克拉克理查森土纳有详细说明)。同样地管理结构的代表性差异在解释公司价值和或公司决策制定方面的能力相对微弱。与此一致的我发现在一大套管理措施之外只有很少的一部分与过度投资有关。例如拥有活跃股东以及确定的反收购规定的公司较少可能将自由现金流进行过度投资。(自由现金流和过度投资本章详细地描述了多种支持投资费用与现金流间正相关的理论然后建立可用于测试代理成本理论解释的衡量自由现金流及过度投资的模型。对于投资费用与现金流正相关的解释在一个最好的资本市场中公司的投资行为与内部生成的现金流并没有关联。如果一个公司需要额外的现金为投资行为提供资金将从外部资本市场筹集资金。如果这个公司有超过投资净现值为正的项目(包括未来的投资选择)所需要的多余的现金它将把自由现金流投放到外部市场。然而公司并不这样经营。有多种的资本市场相互摩擦这阻碍了管理者从外部资本市场筹集现金的能力。除此之外值得注意的是还有相关的交易成本用于监视管理者确保自由现金流确实被投放到外部资本市场。为了保持平衡这些资本市场间的摩擦可以为公司投资行为与内部生成的自由现金间的正相关提供支持。代理成本理论的解释由詹森()和史图斯()提出他们认为监控为管理者创造了潜在的可能使其将内部生成的自由现金花费到对管理者有益但对股东来说代价偏高的项目(自由现金流假说)。一些论文研究了自由现金流假说在公司投资行为方面的影响。例如拉蒙()和伯杰及汉恩()发现在多种经营的公司里现金充足的部门交叉资助更贫乏。然而这些文章中的证据也证明了市场摩擦约束了公司筹集外部资本的能力并且也不是过度投资必要的迹象。相关的证据还可以在哈福德()以及欧普乐平口卫茨史图斯和威廉姆森(,)中找到。哈福德用家收购行为的样本来证明现金充足的公司更容易达成兼并并且这些“现金充足”跟随反常的经营收益的减少而出现。欧普乐等发现有多余现金的公司(通过用资产负债表中现金信息衡量)有较高的资本支出并且在并购方面花费更多即使当他们面临不良的投资机会时(通过托宾Q模型衡量)。也许自由现金流引起的过度投资最直接的证据是布兰查德等()的分析。他们发现家有意外收获的公司有浪费支出行为。同样地以前的研究用一个基于代理成本的解释来支持投资与内部生成的现金流正相关。然而这些文章是基于相关的小样本并且没有直接地衡量过度投资或者自由现金流。因此早期的研究结果对于大样本并不一定适用或者其是否可直接归属于代理成本理论的解释。更普遍地对于检验投资与现金流相关性的文献的批判发现正相关可能仅仅预示了现金流对于投资机会扮演了有效代理人的角色(例如阿里蒂)。我的目标是通过一个基于会计视角衡量发展机会来更好地衡量自由现金流以及过度投资的结构并且测试这种相关性在大样本的公司中是否适用。这一领域一些早期的工作检验了高股利支付率以及低股利支付率的公司中投资对现金流的敏感性(费泽瑞等)比较不同的组织结构筹集外部资金的能力较易较难(保志,卡什雅普沙尔夫斯坦日本企业集团公司)和债务约束(Whited)。这些文章发现了投资对设置现金流更强的敏感性出现在财政约束的公司的证据(例如低股利支付率的公司高债务的公司以及有银行贷款限制的公司)。然而现在更多的研究对于早期的研究结果抛出了疑问。特别地卡普兰和金加莱斯(,),发现投资对现金流的敏感性甚至存在于没有面临财政约束的公司。他们构造了一个衡量小样本公司不包括预付款在内的财政约束模型并且发现用这个模型衡量公司投资对现金流的敏感性是负相关的因此对财政约束假设提出了质疑。尽管如此章描述了投资预期模型包含多种用来俘获财政约束的度量模型。结论本文提供了公司自由现金流所引起的过度投资方面的证据。经验主义分析方法利用以会计为基础的框架来衡量自由现金流和过度投资的结构。会计理论研究者的一个比较优势是在金融经济学著作中衡量临界结构。对于自由现金流和过度投资的分析是一个例子来说明如何在学术研究方面更好地利用会计信息但不是唯一的例子。本文的证据说明对于公开交易的美国公司来言过度投资是一个普遍存在的问题。在年间对于非金融公司公司的平均投资是其可用自由现金流的。此外大部分自由现金流都以金融资产的形式保留在公司内。对于每增加一美元的自由现金流样本公司平均保持作为其他现金或者可交易金融资产。没有证据显示自由现金流分配给外部股东因此创造了留存自由现金流未来过度投资的可能性。补充研究发现政府结构对于缓解过度投资的扩张几乎没有作用。这些发现证实了目前研究工作发现的值得注意的负的未来股票资本投资回报率以及经营净资产的增长(例如费尔菲尔德等蒂特曼等)。确实李()发现对于那些需要更多投资费用的公司未来经营业绩较低并且这种负相关增加了同期自由现金流。对于这种未来不良绩效的一种自然解释是自由现金流与代理成本相关。本文建立的衡量过度投资以及自由现金流的模型在更普遍的考虑到正常投资时可以轻易地扩展。的确目前一些研究已经开始用这一模型来检测会计信息系统在投资决策和资本有效分配方面的作用(例如布什曼皮奥斯基史密斯古德曼王)。出处:斯科特理查森《自由现金流下的过度投资》会计研究评论第卷():

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