机构投资者的治理效应研究—基于投资支出-内部现金流敏感性视角

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浙江财经学院硕士学位论文

摘要

公司投资活动是公司重要的一项经济活动，最终直接会影响到企业的价值最

大化。由于资本市场的不完善，信息不对称问题和代理问题的存在使得公司投资

并未达到最优状态，出现投资不足或投资过度现象。一方面由于我国公司融资存

在普遍特殊性，当公司存在信息不对称存在时会导致公司存在外部融资约束，公

司可能无法获取足够外部资金投资较好项目时，此时投资支出会较大依赖于内部

现金流（在本文中称之为投资-现金流敏感性）；另一方面代理问题存在，管理自由

主义使得管理层操纵更多的内部自由现金流，因此他们会不断的通过扩大公司的

投资规模来最求自身价值而造成过度投资，最终也形成投资支出对公司的内部现

金流的依赖性。因此，如何从公司治理角度来缓解信息不对称和代理问题一直备

受关注，机构投资者的出现进一步拓展了完善公司治理途径，也逐渐成为公司外

部治理机制的重要组成部分。近年来随着我国机构投资者整体规模的扩大及多元

化发展，机构投资者在公司治理中的作用也日益凸显出来。

在已有的国内外文献中研究机构投资者的公司治理效应时主要集中在信息披

露质量、盈余管理、管理层薪酬、公司绩效等几个方面，很少有文献从公司投资

视角来研究，且在国内大多文献是从机构投资者持股比例方面来研究机构投资者

的治理效应，并未同时考虑到更多的机构投资者异质性（如：长短线机构投资者、

压力抵制型和压力敏感型机构投资者等）以及各种类型的机构投资者。部分学者

在界定机构投资者的长短线依据单一的机构投资者的持股时间，并未从公司机构

投资者的整体持股水平来考虑。国内外学者都对投资-现金流敏感性的主导动因进

行了研究，指出公司存在信息不对称和代理问题时都会导致投资支出对内部现金

流的依赖，即表现出投资-现金流敏感性。因此通过考察不同异质性下的机构投资

者对投资-现金流敏感性的影响来验证机构投资者的治理效应是个新的视角。我们

认为机构投资者持股比例越高、持股期限越长、独立性越强可能更具有动力对公

司实施监管，缓解信息不对称和代理问题以降低投资-现金流敏感性。

本文基于投资支出与内部现金流敏感性这个视角探讨不同异质性下机构投资

者（持股比例、长短线机构投资者、压力抵制型和压力敏感型机构投资者等）对

公司信息不对称和代理问题缓解作用，从持股比例、持股波动率、压力抵制型和

敏感型机构投资者、不同类型机构投资者几个角度提出本文假设：（1）机构投资

者持股比例越高、持股波动率越低，公司投资-现金流敏感性越低；（2）压力抵制

型机构投资者持股的公司表现出更低投资-现金流敏感性，而压力敏感型机构投资

浙江财经学院硕士学位论文

者对投资-现金流敏感性无影响；（3）证券投资基金持股与其他类型的机构投资者

比较更能够降低投资现金流敏感性，作为长期型的社保基金和较为成熟的 QFII 基

金也能够降低投资-现金流敏感性，而证券公司、保险公司、信托公司等机构投资

者并未能降低投资-现金流敏感性。并沿用 FHP（1988）经典投资机会模型和 Vogt

（1994）的交互相乘项模型进行逐步回归进行验证机构投资者持股对投资-现金流

敏感性影响以解释机构投资者持股的治理效应。并通过改变投资支出的计量方式

进行稳健性检验，得出结果如下：

第一、在机构投资者持股的公司中表现出更低的投资-现金流敏感性，说明机

构投资者的注入在公司的外部治理机制中起到了一定的作用；从产权性质角度分

析看，非国有公司中机构投资者持股更能够降低投资-现金流敏感性，说明了在国

有企业中由于政策导向、行政干预等的影响，机构投资者在参与公司治理中受到

一定约束，而在非国有企业中的作用治理效应更加明显；第二、公司机构投资者

整体持股比例越高、持股波动率越低（趋于长期持有）时表现了更低的投资-现金

流敏感性。表明持股比例越高、持股期限越长的机构投资者更倾向于价值投资理

念，更加关注公司的长期效益和发展，也具有更大的动机参与公司治理，对管理

层实施监管缓解信息不对称及代理问题，追求企业价值最大化；压力抵制型机构

投资者能够降低投资-现金流敏感性，而压力敏感型机构投资者并未表现出明显的

作用，由于压力抵制型机构投资者具有更强的独立性，与被投资单位存在更少的

商业关系，实施监管力度较大，参与治理效应也更加明显。第三、证券投资基金

持股能够明显降低投资-现金流敏感性，证券公司也能够降低投资-现金流敏感性但

显著性不强，而社保基金和 QFII 基金并未能够降低投资-现金流敏感性，这一假设

并未得到验证，保险基金和信托公司都未能够降低投资-现金流敏感性。表明我国

目前证券投资基金主导地位仍然显著，但整体机构投资者发展不平衡，并未完全

的在公司治理中发挥应有作用。

整体分析来看，我国机构投资者整体上在公司的外部治理机制中起到了一定

的作用，目前仍以证券投资基金为主导力量，其他类型多元化发展的格局，但各

类型的机构投资者的发展结构并不平衡。因此在以后的机构投资者发展过程中一

方面改善公司股权结构，提升整体机构投资者的持股比例，同时促进机构投资者

趋于长期投资，形成价值投资理念，更能够参与到公司治理中去；另一方面，优

化机构投资者的发展结构，坚持以证券投资基金为主导，进一步发展长期型的机

构投资者社保基金和成熟型的 QFII 基金，同时完善政策制度推动保险公司和信托

公司的发展，提升机构投资者参与公司治理机制和动力，使得各类型机构投资者

在证券市场中都能够发挥作用。

关键词：机构投资者；信息不对称；代理问题；投资-现金流敏感性

浙江财经学院硕士学位论文

III

ABSTRACT

Investment activity is an important economic activity, eventually; it will affect the

value of the business to maximize. Capital market imperfections, the presence of

informational asymmetry and agency problems give rise to the insufficient investment

of company not reaching the optimal state with insufficient invest or investment

excesses. On one hand, because of financing order universal particularity in our country,

the existence of informational asymmetry results in external financing constraints. The

company may be unable to obtain sufficient external funds to invest better project, and

then investment expenditures will be greater reliance on internal cash flow (it is defined

as investment-cash flow sensitivity in this paper), on the other hand, because of the

presence of agency problems，management of liberalism led management to manipulate

the more internal free cash flow, so they will continue to expand the scale of investment

to the most for their own value ,which results in over-investment. The over-investment

eventually leads to the investment expenditures reliance on internal cash flow.

Therefore, how to mitigate informational asymmetry and agency problems has been a

concern from a corporate governance perspective, the emergence of institutional

investors further expands the ways of improving corporate governance, and they have

gradually become an important part of the company’s external governance mechanisms.

In recent years, with the expansion of the overall size and the diversification of

institutional investors, the role of institutional investors in corporate governance is also

increasingly prominent.

In the existing domestic and foreign literature, the studies of institutional investors’

governance effect are mainly focused on aspects of the quality of information disclosure,

earnings management, and management compensation, company performance, and few

research literatures involving an investment perspective. Most of domestic literatures

study the governance effect involving the proportion of institutional investor holding,

and research literatures without studying at other aspect of heterogeneity of institutional

investor, for example, long-term and short-term institutional investors,

pressure-sensitive and pressure-resistant institutional investor, as well as different types

of institutional investors, which mainly include Securities Investment Fund, Securities

companies, Social Security Fund, Insurance company, QFII Fund and Trust Company.

Some scholars defined long-term or short-term institutional investors basing at single

浙江财经学院硕士学位论文

institutional investors holding time, and didn’t consider about the horizon of the overall

institutional investors’ holdings. Domestic and foreign scholars pointed out that the

dominant factors of investment-cash flow sensitivity are informational asymmetry and

agency problems. By examining the heterogeneity of institutional investors on

investment-cash flow sensitivity to verify the effect of institutional investors in

governance is a new perspective. We believe that the higher the proportion of

institutional investors, the longer of holding period, and the more independence ,the

more they have the power of supervision. They can alleviate informational asymmetry

and agency problems in order to reduce the investment-cash flow sensitivity.

This paper based on the sensitivity between investment expenditures and internal

cash flow explores the effect of corporate governance of institutional investors with

different heterogeneity. This paper includes four hypotheses which are related to

proportion and volatility of institutional investors holding, pressure-sensitive and

pressure-resistant institutional investors, different types of institutional investors,

combined with the nature of property rights in china. Following the FHP(1988) classic

investment opportunity model and Vogt（1994）interaction by multiplying the item

model stepwise regression to verify institutional investors influence investment-cash

flow sensitivity. Additional, we finish the robustness test, which provides additional

support. Through empirical analysis concluded as follow:

Firstly, the company which has institutional investors shows lower

investment-cash flow sensitivity. Institutional investors play a role in the company’s

external governance. Between state-owned companies and non-state-owned companies,

the institutional investors reduce investment-cash flow sensitivity more significant in

non-state-owned companies, which means institutional investors subject to certain

constraints in corporate governance in state-owned companies due to the policy-oriented,

administrative intervention. Secondly, the higher the stake and the flower volatility

(long-term) of overall institutional investors holding, the lower perform investment-cash

flow sensitivity. Institutional investors are more likely to value investment philosophy,

pay more attention to the company’s long-term effectiveness and development, and have

a greater motivation to participate in corporate governance. Compared with

pressure-sensitive institutional investors, pressure-resistant institutional investors reduce

investment-cash flow sensitivity more significant. pressure-resistant institutional

investors have more independence and less commercial relations with invested

units ,which participate in corporate governance and implement supervision more

浙江财经学院硕士学位论文

obvious. Thirdly, Securities Investment Fund reduces investment-cash flow sensitivity

most significant. Social Security, Fund Insurance Company, Trust Company and QFII

Fund can not reduce the investment-cash flow sensitivity. This assumption has not been

verified.

Overall analyses, institutional investors in china as a whole played a certain role in

the external governance mechanisms of company. Securities Investment Fund is still

dominant. The structural of development of institutional investors perform imbalance.

On one hand ，we should improve the shareholding structure, and enhance the overall

stake of institutional investors. On the other hand, we should further optimize the

structure of the development of institutional investors. In particular to promote the

development of Social Security and QFII Fund, and improve the policies and systems to

promote the development of the Insurance company, so that various types of

institutional investors can play a role in the stock market.

Keywords: Institutional investors; informational asymmetry; agency problems;

investment-cash flow sensitivity

浙江财经学院硕士学位论文

第一章绪论 ......................................................... 1

第一节问题的提出 ................................................ 1

第二节研究背景及意义 ............................................ 2

第三节研究内容思路及方法 ........................................ 4

第四节创新点 .................................................... 6

第二章文献综述 ..................................................... 7

第一节关于投资-现金流敏感性的相关文献回顾 ....................... 7

第二节关于机构投资者持股效应的相关文献回顾 ..................... 12

第三节文献述评 ................................................. 14

第三章机构投资者与投资-现金流敏感性内涵分析 ....................... 16

第一节机构投资者内涵分析 ....................................... 16

第二节投资-现金流敏感性形成因素分析 ............................ 27

第三节相关理论解释及假设提出 ................................... 30

第四章数据选取及实证设计 .......................................... 36

第一节数据来源及样本选取 ....................................... 36

第二节研究变量选取及计算 ....................................... 36

第三节研究模型的构建 ........................................... 42

第五章实证检验及分析 .............................................. 44

第一节描述性统计 ............................................... 44

第二节相关性及回归分析 ......................................... 47

第三节稳健性检验 ............................................... 54

第六章研究结论与政策建议 .......................................... 59

第一节研究结论与局限性 ......................................... 59

第二节政策建议 ................................................. 61

参考文献 ........................................................... 63

附录 ............................................................... 67

致谢 ............................................................. 68

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摘要：

浙江财经学院硕士学位论文I摘要公司投资活动是公司重要的一项经济活动，最终直接会影响到企业的价值最大化。由于资本市场的不完善，信息不对称问题和代理问题的存在使得公司投资并未达到最优状态，出现投资不足或投资过度现象。一方面由于我国公司融资存在普遍特殊性，当公司存在信息不对称存在时会导致公司存在外部融资约束，公司可能无法获取足够外部资金投资较好项目时，此时投资支出会较大依赖于内部现金流（在本文中称之为投资-现金流敏感性）；另一方面代理问题存在，管理自由主义使得管理层操纵更多的内部自由现金流，因此他们会不断的通过扩大公司的投资规模来最求自身价值而造成过度投资，最终也形成投资支出对公司的内部现金流的依赖...

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