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研究设计

Research Design

1.样本选取 1. Samples Selection

由于创业板刚刚建立4年,而本文衡量非效率模型中的多数变量要用到上一年度财务报表数据,所以本文选取的初始样本为2010、2011年已在创业板上市的公司,剔除当年IPO和数据缺失的样本,并对极端值样本进行Winsorize处理,最终选取154家创业板上市公司作为研究样本。本文使用的财务数据均来自CSMAR数据库,外部治理环境中的区域创新能力指数和区域法制环境指数分别来自中国科技发展战略研究小组(2010、2011)编制的中国区域创新能力报告和王小鲁等(2011)编制的中国分省企业环境指数报告。统计软件使用STATA 12.0。

Since GEM was just established four years ago, and most variables to measure inefficiency model in this thesis are data from financial statement of the previous year, therefore, the initial samples selected by this thesis are companies listed on GEM in 2010 and 2011, excluding samples with IPO that year and samples missing data. We also processed extreme value samples by Winsorize, and ultimately selected 154 companies listed on GEM as the study samples. Financial data used in this thesis are from CSMAR database; regional innovation capability index and regional legal environment index in the external governance environment are from China's Regional Innovation Capability Report compiled by China's Science and Technology Development Strategy Research Team (2010, 2011) and Report on Business Environment Index of China's Provinces compiled by Wang Xiaolu et al (2011). Statistical software is STATA 12.0.

2.模型构建和变量定义 2. Model building and Variable Definition

Richardson(2006)模型可以估算企业预期新增投资,企业实际新增投资减去预期新增投资的差额为非预期投资额,也即模型的残差,残差值为正代表过度投资,残差值为负代表投资不足,残差的绝对值越大意味着过度投资和投资不足的情形越严重。这一计量模型在魏明海和柳建华(2007)、黄珺和黄妮(2012)等国内学者的研究中得到了广泛的应用。本文亦采用此模型,首先估计过度投资和投资不足程度(模型1),然后计算自由现金流富余值和内部现金流短缺值,分别用变量PFCFt和NFCFt表示。

Richardson (2006) model can estimate the expected newly increased business investment, subtract which from the actual newly increased investment, we can get the balance, the unexpected investment, i.e., the residue of model. The positive residual indicates over- investment, and negative residual represents under-investment. The greater the absolute value of residual is, the more serious the over-investment and under-investment. This econometric model is widely used in studies by domestic scholars, including Wei Minghai and Liu Jianhua (2007), Huang Jun and Huang Ni (2012). This thesis also adopts this model, and firstly estimates the extent of over-investment and under-investment (model 1), then calculates the surplus of free cash flow and the shortage of internal cash flow, which are respectively denoted by variables PFCF and NFCF.

在此基础上,建立计量模型考察过度投资与自由现金流富余、投资不足与内部现金流短缺的关系,并引入由公司治理的内外部激励、约束变量CGt(Corporate Governance)构造的交乘项PFCFtCGt和NFCFtCGt,用其检验公司治理的激励、约束因素对企业投资行为的影响(模型2、模型3)。若模型2、模型3中PFCFt和NFCFt的回归系数显著为正,则分别说明了企业自由现金流富余导致了过度投资、内部现金流短缺造成了投资不足。若模型2、模型3中的交乘项PFCFtCGt和NFCFtCGt回归系数显著为负,则说明公司治理因素能发挥激励和约束效应,否则无效。模型中相关变量含义见表1所示。

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