【 】这些《会计研究》、《管理世界》上的文章做错了吗？

wbzdwss 发表于 2014-11-21 14:27

楼主，你觉得怎样衡量过度投资比较靠谱？

这个帖子是我很久前发的了，我结合自己这1年来的想法大致来说，欢迎切磋。

（1）当前的主流衡量方法。
我后来看了Biddle（2009）等很多关于投资效率的研究，抛开涉及融资约束的研究来说（这类使用投资现金流敏感性模型），其实都是在MM（1958）的假设上（如无摩擦，企业投资仅取决于投资机会），因此，某因素是否会影响到投资-投资机会的敏感性，即是在影响投资效率。遗憾的是，现实中，投资机会的衡量或者说代理（投资量还算比较好衡量）是一个棘手的问题，有些用托宾Q（例如Chen, S., et al., 2011），有些用营收增长机会（例如Bliddle,2009）。多数稳健的做法是两者都用。
如果有兴趣，我提供几个文献：
引用Biddle方法的：
Biddle（2009）这个必看
Gomariz, M.F.C. and J.P.S. Ballesta, Financial reporting quality, debt maturity and investment efficiency. Journal of Banking & Finance, 2014. 40: p. 494-506.（西班牙数据，用biddle的方法算残差，再进行后继测试）
Cheng, M., D. Dhaliwal and Y. Zhang, Does investment efficiency improve after the disclosure of material weaknesses in internal control over financial reporting? Journal of Accounting and Economics, 2013. 56: p. 1-18.（基本完全照搬biddle的方法）
中国的研究
Chen, S., et al., Government intervention and investment efficiency: Evidence from China. Journal of Corporate Finance, 2011(17): p. 259-271. （中国数据，投资效率看投资-投资机会敏感性）
Wang, Y., C.R. Chen and Y.S. Huang, Economic policy uncertainty and corporate investment: Evidence from China. Pacific-Basin Finance Journal, 2014. 26: p. 227–243. （同上）
再新一些的：
Shroff, N., R.S. Verdi and G. Yu, Information environment and the investment decisions of multinational corporations. The Accounting Review（forcoming）, 2014.还是投资-投资机会敏感性模型，投资机会拿PE （the price-to-earnings ratio）代理

不过对于融资约束议题对于投资的影响，还是用投资-投资现金流敏感性模型比较多，但是也个有趣的文章发现美国资本市场的投资-投资现金流敏感性在消失（题外话）·····
Chen, H.J. and S.J. Chen, Investment-Cash Flow Sensitivity Cannot Be a Good Measure of Financial Constraints: Evidence from the Time Series. Journal of Financial Economics, 2011. 103(2): p. 393-410.

（2）Richardson模型的问题
Richardson模型不能说完全不对，但是我个人认为在中国或多或少被滥用了。
首先，其模型中的部分因素在中国并没有适用性，例如滞后一期的股票投资，在Wang, Y., L. Wu and Y. Yang, Does the stock market affect firm investment in China? A price informativeness perspective. Journal of Banking & Finance, 2009. 33(1): p. 53-62.一文就提出反例（其样本区间是95-04年，我没测试近年的数据）。因此，直接拿着Richardson模型套用是不行的，它不像盈余管理的残差度量模型，因为大家的会计准则和制度基本上是类似的。而投资所取决的因素，中国特色社会主义市场经济下的企业投资···呵呵，好多因素我举得未必
第二，拿Richardson模型的负向残差作为投资不足（中文有大把这么做的，尤其是会计研究），这个Richardson原文根本就没有，也不符合研究的基本假设（MM的投资-投资机会假设），我推测Richardson只是想把已知公认因素从残差中剔除多，更有利于下文的进一步报告（公司代理对过度投资残差的回归），其中，他为何这么做，我至今还没彻底明白（我觉得第一步用投资对投资现金流回归取残差即可，其他因素扔到下一步做控制变量岂不是更好？）
第三，Bergstresser, D., Discussion of “Overinvestment of free cash flow”. Review of Accounting Studies, 2006. 11(2-3): p. 191-202.一文进行了比较全面的批判，尤其是其中的数据，先从理论，后从数据（进行了模拟），后面我摘抄了一些我认为比较有意思的怀疑性评述。
此外，近年来的投资效率研究文献（英文）基本是看不到Richardson模型，但是很有意思，此模型在我国却扎根发芽广泛使用。
目前我也就见过这个：
Huang, W., et al., Agency cost, top executives' overconfidence, and investment-cash flow sensitivity — Evidence from listed companies in China. Pacific-Basin Finance Journal, 2011. 19(3): p. 261-277.

Bergstresser君的质疑摘抄：
“Richardson’s intention is for the fitted value from this equation to reflect
mandated investment in positive NPV projects, and the residual to reflect (if
positive) overinvestment and (if negative) underinvestment. An important
problem with this approach is that Richardson’s empirical measure of over-
investment is a residual from a regression model. As a residual, the measured
overinvestment has a mean of zero. This means that Richardson’s approach is
incapable of discerning what he hopes to discern: whether overinvestment or
underinvestment predominates in aggregate.
····
The excess investment in Richardson’s empirical model is the residual from a
regression of new investment on a group of explanatory variables. Because the
mean of the residuals is zero by construction, Richardson’s empirical ap-
proach cannot be a test of whether overinvestment or underinvestment is
more important in aggregate. His approach assumes that on average overin-
vestment, in the Modigliani–Miller sense of investment in negative NPV
projects, is zero.
The set of explanatory variables is curious. Why include lagged cash
holdings in the model for mandated investment? Can firms not overinvest out of their stock of cash as well? Why include lagged investment? If firms overinvested last year, why include last-year’s overinvestment in this year’s model of expected investment?
p175
On Richardson’s efforts to distinguishing between overinvestment and
underinvestment, it is my opinin that distinguishing between these hypoth-
eses is quite difficult.1It seems likely to me that if agency-type problems at
firms that are ex-post flush with cash lead to problematic overinvestment, then
we should expect to see some ex-ante underinvestment because of rational
forward-looking behavior by uninformed investors. I suspect that in a dynamic
setting, the existence of overinvestment almost necessarily implies that
underinvestment is also a problem.”