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Download "- :,, ;,,,,,Chapman ( 1996) Goergen Renneboog(1) Shin Park (1999),,,, Fazzari,, Chow Fung(1998)Fazzari,,,,,, Fazzari,(7) Q,, Fazzari (7),, -,-,,-,,,,"

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1 - : 3,, - GMM,,,Q, Q ;,Q Q,,,,, Q,,,,,,,,, Fazzari (1988),,,, Hoshi (1991) 3 : 433 : keikou@ shufe. edu. cn () ; yinjie@ shufe. edu. cn () 211 9

2 - :,, ;,,,,,Chapman ( 1996) Goergen Renneboog(1) Shin Park (1999),,,, Fazzari,, Chow Fung(1998)Fazzari,,,,,, Fazzari,(7) Q,, Fazzari (7),, -,-,,-,,,, Q,,,,,,,,, (W hited, 1992),,,,,-, Q Q :; GMM,, - ; 9278

3 ( ) 19 5 W IND 1 () : I it i t, I it = [ t( + ) - ( + ) ] / ; CF it i t, CF it = [ t( 9279

4 - : + ) - ( + ) ] / ; DS it i t, DS it = ( t - ) / ; DL it i t, DL it = ( t - ) / ; W K it - 1 i,w K it - 1 = ( - - ) / ; CASH it - 1 i t - 1, CASH it - 1 = ( + ) / ; Q it - 1 iq, Q it - 1 =/,8, ()

5 1, 2 3, 1,,,,, 3 () : , 1,1,, 9281

6 - : 1, 1 5 ( ),, Q (Bond and Meghir, 1994 ),, Bond Meghir ( 1994 ),,,, ( Goergen and Renneboog, 1),,,, GMMGMM,, : ( Gilchrist and H immelberg, 19; A lti, 3;, 7;, 7; Hoshi et al., 1991; W hited, 1992),,,,, 1.,,, ;,,,,,, 2, 2,,, 9282

7 Q Q,, Q (1) I it = 1 Q it D _P it + 3 D _P_Q it + it (1), it = i + it i IID (0, ) 2 ; i IID (0, ) 2 D _P 1,0 ; D _P_Q D _P Q 4 Q, 4 Q, D _P,, D _P_Q,,Q, Q I z P > z Q D _P D _P_Q Q 1998,Q, 30%Q, 30%Q Q Q,, Q,, QQ 3.,1998,, 30%, 30%,, ;,,,, 1:, 2: Q Q, 3:, ( ),,, ( financial cushion),,, 9283

8 - :,,,,, I it = 1 I it I 2 it CF it + 4 DS it + 5 DL it + 6 W K it CASH it Q it- 1 + it (2), it = i + it, i IID (0, ) 2 ; i IID (0, ) 2,, I it - 1 i, LSDV 1,, A rellano Bond (1991) 55,, 5,,Q,,,, 13, (2) (3), 6 I it z P > z I CF I DS DL W K CASH Q :GMM = 1 I it I 2 it CF it + 4 DS it + 5 DL it + 6 W K it CASH it Q it D _P_CF it + 10 D _T_CF it + 11 D _P_CASH it D _P_W K it D _T + it (3) 6 z P > z I CF I DS DL W K CASH Q D _P_CF D _T_CF D _P_CASH D _P_W K D _T :GMM chi2 (586) =. 69, Prob > chi2 = it = i + it, i IID ( 0, ) 2 ; i IID (0, 2 ) D _P 1,0 ; D _ T 11, 1 0 ; D _P _CF it D _P CF it ; D _T _ CF it D _T CF it ; D _P _CASH it - 1 D _P CASH it - 1 ; D _P_W K it - 1 D _P W K it - 1 6, D _P_CF it,,,, D _P_CASH it - 1,,,

9 1,,, D _T_CF it,,,,, 3,,, ( ), Q Q,, Q, -, (3) (4) I it = 1 I it I 2 it CF it + 4 DS it + 5 DL it + 6 W K it CASH it Q it D _hh_cf it + 10 D _ll_cf it + 11 D _hh_cash it D _ll_cash it D _T_CF it + it (4), it = i + it, i IID (0, ) 2 ; i IID (0, ) 2 D _hhq1, 0 ; D _llq1, 0 ; D _hh_cf it D _hh CF it ; D _ll_cf it D _ll CF it ; D _hh_cash it - 1 D _hh CASH it - 1 ; D _ ll_cash it - 1 D _ ll CASH it , D _hh_cf it 0,, D _ll_cf it 0 Q,,Q, z P > z I CF I DS , D _hh_cash it - 1 D _ DL ll_cash it - 1, W K CASH , Q Q Q D _hh_cf D _T_CF it, D _ll_cf , D _T_CF , Q D _hh_cash ,,Q, D _ll_cash :GMM chi2 (363) = , Prob > chi2 = , - ( ),, Q 9285

10 - : Q, (4),-, 8 8, 8, D _hh_cf it D _ ll_cf it, z P > z D _hh_cash it - 1 D _ll_cash it - 1 I , CF , Q I Q DS , DL , W K , Q CASH , Q D _hh_cf D _ll_cf , D _T_CF D _hh_cash , Q it - 1 D _ll_cash , :GMM chi2 (363) = , Prob > chi2 = , 0. 04, Q,,,, Q,,,,,;, Q Q, -,,, -,,,,,Q Q,, Q ;Q,,,, 9286

11 Fazzari,,,,,,,,,,,,,,,,,,,,,, : (7) :, 3 (7) : :, 2 A lti, A. How Sensitive Is Investment to Cash Flow W hen Financing is Frictionless. Journal of F inance, 3, 58, pp A rellano, M. and Bond, S. R. Some Tests of Specification of Panel Data: Monte Carlo Evidence and an App lication to Emp loyment Equa2 tions. Review of Econom ic S tudies, 1991, 59, pp Bond, S. R. and Meghir, C. Dynam ic InvestmentModels and Firm s Financial Policy. Review of Econom ic S tudies, 1994, 61 (2), pp. 197 Chapman, D. R; Junor, C. W. and Stegman, T. R. Cash Flow Constraints and Firm s Investment Behaviour. A pplied Econom ics, 1996, 28, pp Chow, C. K. W. and Fung, M. K. Y. Ownership Structure, Lending B ias, and L iquidity Constraints: Evidence from Shanghai s Manu2 facturing Sector. Journal of Com parative Econom ics, 1998, 26, pp Fazzari, Steven M. ; Hubbard, R. nom ic Activity, 1988, 1, pp Glenn and Petersen, B ruce C. Financing Constraints and Corporate Investment. B rookings Papers on Eco2 Gilchrist, Simon and H immelberg, Charles P. Evidence on the Role of Cash Flow for Investment. Journal of M onetary Econom ics, 19, 36, pp Goergen, M. and Renneboog, L. Investment Policy, Internal Financing and Ownership Concentration in the UK. Journal of Corporate Fi2 nance, 1, 7, pp Hoshi, Takeo; Kashyap, Anil and Scharfstein, David. Corporate Structure, L iquidity and Investment: Evidence from Japanese Industrial Group s. Q uarterly Journal of Econom ics, 1991, 106, pp Shin, Hyun - Han and Park, Young S. Financing Constraints and Internal Cap ital Markets: Evidence from Korean Chaebols. Journal of Corporate Finance, 1999, 5, pp W hited, ToniM. Debt, L iquidity Constraints and Corporate Investment: Evidence from Panel Data. Journal of Finance, 1992, 47 (4), pp (: 8 10:) 9287

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Myers Majluf 1984 Lu Putnam R&D R&D R&D R&D 2018 1 156 1 2 2 1. 233030 2. 233030 2005 ~ 2015 A F830. 2 A 1008-2506 2018 01-0015-12 1 2015 1 2017-07-18 71540004 BBSLDQDKT2017B02 1990-1993 - 1964-1 15 2018 1 2025 2015 1 2011 2 + Myers Majluf 1984