自由現(xiàn)金流量的過度投資[外文翻譯]

1、本科畢業(yè)論文（設(shè)計）外 文 翻 譯原文：over-investment of free cash flowintroductionthis paper examines firm investing decisions in the presence of free cash flow. in theory, firm level investment should not be related to internally generated cash flows (modigliani and miller, 1958). however, prior research has docume

2、nted a positive relation between investment expenditure and cash flow (e.g., hubbard, 1998). there are two interpretations for this positive relation. first, the positive relation is a manifestation of an agency problem, where managers in firms with free cash flow engage in wasteful expenditure (e.g

3、., jensen 1986 and stutz 1990). when managers objectives differ from those of shareholders, the presence of internally generated cash flow in excess of that required to maintain existing assets in place and finance new positive npv projects creates the potential for those funds to be squandered. sec

4、ond, the positive relation reflects capital market imperfections, where costly external financing creates the potential for internally generated cash flows to expand the feasible investment opportunity set (e.g., fazzari, hubbard and petersen 1988 and hubbard, 1998).the empirical analysis proceeds i

5、n two stages. first, the paper uses an accounting based framework to measure both free cash flow and over-investment. free cash flow is cash flow beyond what is necessary to maintain assets in place and to finance expected new investments. over-investment is defined as investment expenditure beyond

6、that required to maintain assets in place and to finance expected new investments in positive npv projects. to measure over- investment, i decompose total investment expenditure into two components: (i) required investment expenditure to maintain assets in place, and (ii) new investment expenditure.

7、 i then decompose new investment expenditure into over-investment in negative npv projects and expected investment expenditure, where the latter varies with the firms growth opportunities, financing constraints, industry affiliation and other factors.explanations for a positive relation between inve

8、stment expenditure and cash flowthis section describes in detail the various theories supporting a positive relation between investment expenditure and cash flow and then develops measures of free cash flow and over- investment that can be used to test the agency based explanation.in a world of perf

9、ect capital markets there would be no association between firm level investing activities and internally generated cash flows. if a firm needed additional cash to finance an investment activity it would simply raise that cash from external capital markets. if the firm had excess cash beyond that nee

10、ded to fund available positive npv projects (including options on future investment) it would distribute free cash flow to external markets. firms do not, however, operate in such a world. there are a variety of capital market frictions that impede the ability of management to raise cash from extern

11、al capital markets. in addition, there are significant transaction costs associated with monitoring management to ensure that free cash flow is indeed distributed to external capital markets. in equilibrium, these capital market frictions can serve as a support for a positive association between fir

12、m investing activities and internally generated cash flow.primary hypothesisas described in the earlier section, in a world of perfect capital markets (no frictions for raising external finance, no information asymmetries and associated moral hazard problems, no taxes etc.), there should be no assoc

13、iation between firm level investment and internally generated cash flows. however, when it is costly for external capital providers to monitor management, and it is costly for the firm to raise external finance, an association is expected. specifically, there should be a positive relation between fi

14、rm level investment expenditure and internally generated cash flows.this relation, however, could be due to several factors. it could reflect management engaging in additional investment on self-serving projects rather than distribute the cash to shareholders. such decisions can include: (i) empire

15、building, (ii) perquisite consumption, (iii) diversifying acquisitions, and (iv) subsidizing poorly performing divisions using the cash generated from successful ones instead of returning the cash to shareholders. alternatively, it could reflect the increased investment opportunity set from (relativ

16、ely less costly) internal financing sources.uses of free cash flowthe focus of this paper is the over-investment of free cash flow. however, over- investment is but one of many alternate uses of free cash flow. using information obtained from the statement of cash flows, i am able to allocate free c

17、ash flow flows into six categories. this is simply a re-characterization of the statement of cash flows, where cash generated must equal cash used. the six categories are: (i) over-investment, , (ii) net payments to shareholders, equity, (iii) net principal payments to debt-holders, debt, (iv) net c

18、hange in financial assets, financial asset, (v) other investments and (vi) miscellaneous cash flows, other. this is represented by the following identity: fcf i + equity + debt + financial asset + other investments + other the final two categories contain miscellaneous reconciling items that are not

19、 important empirically (very little variation in the sample). the main concern from the perspective of shareholders is the first category, over-investment, because this imposes substantial agency costs on shareholders. however, it is less clear what the best use of free cash flow is beyond avoiding

20、over-investment. payments to shareholders will be affected by the tax status of the firms investor base (allen and michaely, 2003). in addition payments to both shareholders and debt- holders will impact the capital structure of the firm. to the extent that management has an optimal capital structur

21、e in mind. it is not clear what the optimal distribution of free cash flow will be. retention of free cash flow in the form of financial assets is also an option available to management. the optimal level of free cash flow to be retained will be a function of firm specific characteristics such as va

22、riability of cash flow and ability to access external capital markets (e.g., harford, 1999). firms with more volatile cash flows will want to retain cash for the periods when cash flow is low, and firms who find it more difficult to raise external capital will desire larger cash holdings (e.g., ople

23、r et al., 1999). my primary focus is on the extent of over-investment and the role that governance structures can play in mitigating over-investment. i leave detailed examination of how firms use free cash flow (other than over-investing) to future research.data and sample selectionthe main empirica

24、l tests employ financial statement data from the compustat annual database (inclusive of active and inactive securities). i exclude financial institutions from my analysis (sic codes between 6000 and 6999) because the demarcation between operating, investing, and financing activities is ambiguous fo

25、r these firms. the sample period covers the fiscal years 1988-2002 with 58,053 firm-year observations.in the empirical analysis that follows i scale all financial variables by average total assets (results are similar using sales as an alternative deflator). to minimize the influence of outliers i d

26、elete firms where the deflated value of free cash flow or any of the potential uses of free cash flow exceeds one in absolute value. analysis of investment expenditure and free cash flowtable 1analysis of investment expenditure.this table examines the properties of investing cash flows as a function

27、 of growth opportunities. the sample covers 58,053 firm years with available data on compustat for the period 1988-2002. panel a: descriptive statistics for investment expenditure = + + = meanstd dev p1q1medianq3p990.1310.135 -0.0240.0430.094 0.1800.647capex0.0700.083 00.0230.047 0.0870.406acquistio

28、ns0.0250.0780000.0050.411 rd0.0420.088 0000.0470.416saleppe0.0060.0330000.0020.1110.0570.04800.0320.048 0.0680.2300.0750.134 -0.167 -0.001 0.0410.1190.578table 1 reports details on investment expenditure and the determination of free cash flow. the average firm undertakes investment activity equal t

29、o 13.1 percent of its asset base. the major component of investment is capital expenditure, followed by research and development expenditure. of the total investment expenditure 44 percent is spent maintaining existing assets in place and the remaining 56 percent is spent on new investments.table 2a

30、nalysis of free cash flow and over-investmentthe table examines the properties of free cash flow and how it relates to over-investment. all variables are scaled by average total assets. the sample covers 58,053 firm years with available data on compustat for the period 1988-2002. panel a: descriptiv

31、e statistics for free cash flow = ( is the fitted value from: = + + + + + + + )meanstd devp1q1medianq3p990.0380.145-0.445-0.019 0.0420.106 0.4140.075 0.076-0.0580.0240.0590.112 0.32500.110-0.249-0.050-0.0120.0300.414fcf -0.0360.153 -0.573-0.092-0.012 0.0450.288panel b: relation between over-investme

32、nt () and free cash flow (fcf) =+ fcf + modeladjusted pooled0.0020.1110.1710.032f-statistic for test =: 40.87*fama-macbeth(15 years)0.002(1.54)0.115(9.47)0.172(12.13)0.037t-statistic from annual coefficient estimates for test: = 2.35*table 2 panel a provides descriptive statistics for the free cash

33、flow measure. the average firm in my sample has cash flow from assets in place equal to 3.8 percent of its asset base. after subtracting expected investment on new projects (7.5 percent of asset base for the average firm), the average firm has a cash shortfall (i.e., negative free cash flow) equal t

34、o 3.6 percent of its asset base. 44.6 percent of sample firms have positive values of free cash flow. panel b of table 2 contains the key result that over-investment is a function of free cash flow. i run the following regression:=+ fcf + fcf0) is equal to fcf for values of fcf less (greater than) z

35、ero and zero otherwise. this allows the relation between over-investment and free cash flow to be asymmetric. in particular, allowing the slope coefficient to vary based on the sign of free cash flow reveals that over-investment is concentrated in firms with positive free cash flow (the estimate of

36、is 0.111 and the estimate of is 0.171, significantly different at the 1% level). panel b reports both pooled regression estimates (using robust standard errors) as well as average estimates from annual regressions. out of the fifteen annual regressions, the estimate for is statistically greater than

37、 the estimate for in eleven years. when firms do not have free cash flow, (i.e., fcf 0) the possibility of over-investment is mitigated as the firm is forced to access external markets to raise funds necessary for any additional investment. capital markets serve an additional monitoring role in disc

38、iplining managerial use of funds. the regression results in table 2 support h1 by showing that firms with positive free cash flow are more likely to over-invest on average and then for each additional dollar of free cash flow they over-invest more. it is important to note the relatively low explanat

39、ory power from this regression specification. the model describing free cash flow as the determinant of over- investment only explains 3.2 percent of the variation. however, this explanatory power is incremental to the set of other determinants of firm level investment expenditure. so, the combined

40、framework is able to explain a significant portion of the cross-sectional variation in investment expenditure and find a statistically significant relation between over-investment and free cash flow.while not the focus of my paper, the regression results in table 2 also relate to under- investment.

41、the positive coefficient on indicates that firms with negative free cash flow experience less over-investment. this relation is consistent with the notion that firms subject to cash short falls from operating activities scale back on investment activity. but it is important to note that the strength

42、 of the relation between abnormal investment and free cash flow is muted for firms with negative free cash (i.e., is much smaller than ) because these firms are able to raise additional cash from external financial markets.source: scott a.richardson,2006. “over-investment of free cash flow” .review

43、of accounting studies, vol.11, no.2-3,novemer,pp.159-189.譯文：自由現(xiàn)金流量的過度投資引言本文探討存在自由現(xiàn)金流量的公司投資決策。從理論上講，企業(yè)層次的投資，不應(yīng)與內(nèi)部產(chǎn)生的現(xiàn)金流量有聯(lián)系（莫迪利亞和米勒，1958年）。然而，以前的研究已證明投資支出和現(xiàn)金流量之間有著正相關(guān)的關(guān)系（例如，哈伯德，1998年）。有兩種解釋來解釋這種正相關(guān)的關(guān)系。第一，正相關(guān)的關(guān)系是一個機構(gòu)的問題，有自由現(xiàn)金流量的公司管理者總是傾向于浪費開支（如，1986年的詹森和1990年的斯圖斯）。當(dāng)經(jīng)理人的目標與股東的不同，超過維持現(xiàn)有資產(chǎn)和新的正凈現(xiàn)值項目所需經(jīng)費的內(nèi)

44、部現(xiàn)金流量的存在，為這些本來會被浪費的現(xiàn)金創(chuàng)造了潛在的價值。第二，這兩者的正相關(guān)反映了資本市場的不完善，昂貴的外部融資成本為內(nèi)部產(chǎn)生現(xiàn)金流量以擴大潛在可行的投資機會集創(chuàng)造了可能性（例如，法則瑞、哈伯特和彼得森，1988；哈伯特，1998）。實證分析通過兩個階段進行。首先，本文采用會計基礎(chǔ)的框架來衡量自由現(xiàn)金流量和過度投資。自由現(xiàn)金流量，是指超過了維持現(xiàn)有資產(chǎn)和新的投資所需費用的現(xiàn)金流量。過度投資，被定義為超過維持現(xiàn)有資產(chǎn)和新的正凈現(xiàn)值投資項目所需費用的投資開支。為了測量過度投資，我把總投資支出分解成兩個部分：（1）維持現(xiàn)有資產(chǎn)所需的投資支出，以及（2）新的投資開支。然后，我將新的投資支出分解成

45、對負凈現(xiàn)值項目的過度投資和預(yù)期投資支出，后者因公司的成長機會，融資約束，行業(yè)隸屬關(guān)系和其他因素不同而不同。企業(yè)投資與現(xiàn)金流量正相關(guān)關(guān)系的解釋 本節(jié)詳細介紹各種支持投資支出和現(xiàn)金流量呈正相關(guān)關(guān)系的理論，然后開發(fā)自由現(xiàn)金流量和過度投資的測量方法，以用于依據(jù)這個理論來測試機構(gòu)。在一個完美的資本市場上，公司的投資活動與其內(nèi)部生成的現(xiàn)金流量是沒有關(guān)聯(lián)的。如果一個公司需要更多的現(xiàn)金為投資活動提供經(jīng)費，它只會到外部資本市場籌集現(xiàn)金。如果企業(yè)擁有的現(xiàn)金超過現(xiàn)有正凈現(xiàn)值項目（包括對未來的投資的期權(quán)）所需的資金，它將把自由現(xiàn)金分配到外部市場。但是，企業(yè)不是在這樣一個世界運作，資本市場的各種摩擦阻礙了管理者從外部資

46、本市場籌集資金。此外，為確保自由現(xiàn)金流量確實分配給外部資本市場，還有相當(dāng)可觀的交易與監(jiān)督管理費用。在均衡狀態(tài)，這些資本市場的摩擦可以作為公司的投資活動與內(nèi)部現(xiàn)金流量正相關(guān)的支持。主要假設(shè) 正如前面一節(jié)所描述的，一套完善的資本市場（沒有對外籌集資金的摩擦，沒有信息不對稱和道德風(fēng)險相關(guān)的問題，沒有稅收等）下，不應(yīng)該有企業(yè)層面的投資和內(nèi)部產(chǎn)生的現(xiàn)金流量的關(guān)系。然而，當(dāng)外部資本提供者的監(jiān)測管理成本過高，并且企業(yè)的外部籌資成本過高時，它們之間的聯(lián)系就可以預(yù)期了。具體而言，企業(yè)層面的投資支出和內(nèi)部產(chǎn)生的現(xiàn)金流量應(yīng)該呈正相關(guān)。 這種關(guān)系，然而，可能是基于以下幾個因素。這可能反映了管理層做自我服務(wù)項目的額外投

47、資，而不是向股東派發(fā)現(xiàn)金股利。這些決定包括：（1）帝國大廈；（2）額外補貼消費；（3）多元化收購；（4）利用差補貼的現(xiàn)金，而不是將現(xiàn)金返還給股東，成功地執(zhí)行產(chǎn)生的分歧。另外，它可以反映增加的投資機會，從（相對較便宜的）內(nèi)部資金。自由現(xiàn)金流量的用處本文的重點是自由現(xiàn)金流量的過度投資。然而，過度投資只是自由現(xiàn)金流量很多可選用途中的一種。利用從現(xiàn)金流量表獲得的信息，我可以將自由現(xiàn)金流量分配到六個類別中。這只是對現(xiàn)金流量表的一種重新描述，其中產(chǎn)生的現(xiàn)金必須等于用掉的現(xiàn)金。這六大類是：（1）超額投資，；（2）股東的凈支付，equity；（3）債務(wù)持有人的凈本金支付，debt；（4）金融資產(chǎn)的凈變動，fi

48、nancial asset；（5）其他投資， other investments；（6）混雜的現(xiàn)金流量，other。用下面的恒等式來表示：fcfequitydebtfinancial assetother investments other最后兩個類別包含了各種各樣的調(diào)節(jié)項目，根據(jù)經(jīng)驗判斷是不太重要的（非常小的樣本變動）。從股東的角度來看，主要關(guān)注的是第一類，過度投資，因為這會為股東帶來大量的代理成本。不過，目前還不太清楚，什么是最好的自由現(xiàn)金流量用途，超過避免過度投資。向股東支付的股利將受到與該公司投資者相關(guān)的稅收狀況的影響（阿倫和米夏埃利，2003）。另外，支付給股東和債權(quán)人款項將影響到公

49、司的資本結(jié)構(gòu)。在某種程度上，管理層在心中有一個最佳的資本結(jié)構(gòu)。目前還不清楚什么是自由現(xiàn)金流量的最優(yōu)配置。對管理層來說，以金融資產(chǎn)的形式保留自由現(xiàn)金流也是一個有效的選擇。需要持有自由現(xiàn)金流量的理想水平，是根據(jù)公司的特征來決定的，例如現(xiàn)金流的可變性和能夠到達外部資本市場的途徑（例如，哈福德，1999）?，F(xiàn)金流不穩(wěn)定的公司傾向于在現(xiàn)金流少的時期保留現(xiàn)金，更難籌集外部資本的公司將會渴望較大的現(xiàn)金持有量（例如，奧普勒等，1999）。我的主要焦點是過度投資的程度和治理結(jié)構(gòu)在緩解過度投資中的作用。我把企業(yè)如何使用自由現(xiàn)金流量（不包括過度投資）的詳細審查留到未來的研究中去。數(shù)據(jù)和樣本選擇主要的實證分析采用標準

50、普爾年度數(shù)據(jù)庫（包括活躍和呆滯的證券）的財務(wù)報表數(shù)據(jù)。我把金融機構(gòu)（sic代碼在6000至6999之間）從我的分析中排除，因為這些企業(yè)的經(jīng)營、投資和融資活動界限不明確。樣本期間涵蓋19882002會計年度，取得58053個觀察值。在接下來的實證分析中，金融變量以平均總資產(chǎn)的方式測量（結(jié)果是類似的，使用銷售作為替代平減指數(shù)）。為了盡量減少對離群值的影響，我刪去了自由現(xiàn)金流的調(diào)節(jié)值或者自由現(xiàn)金流的任一潛在使用價值超過絕對值1的企業(yè)。投資支出和自由現(xiàn)金流量的分析表1投資支出的分析此表考察投資現(xiàn)金流量的性質(zhì)作為投資機會增長的功能。樣本包括標準普爾數(shù)據(jù)庫19882002年間的58053個可得到的觀測值。a組：投資開支的描述性統(tǒng)計。 平均數(shù)標準差 p1q1中位數(shù)q3p990.1310.135 0.0240.0430.094 0.1800.647capex0.0700.083 00.0230