自由现金流量的过度投资[外文翻译].doc

本科毕业论文（设计）外 文 翻 译原文：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 documented 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., 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. second, 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 in 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 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. 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 investment 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 perfect 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 needed 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 external 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 firm 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 association 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 firm 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 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 (relatively 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 cash 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 change 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 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 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 structure 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 variability 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., opler 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 empirical 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 for 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 delete 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 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 0.0870.406acquistions0.0250.0780000.0050.411 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 to 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 2analysis 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: descriptive 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-investment () 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 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 to 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) zero 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 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 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 disciplining 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 explanatory 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 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. 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 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 of accounting studies, vol.11, no.2-3,novemer,pp.159-189.译文：自由现金流量的过度投资引言本文探讨存在自由现金流量的公司投资决策。从理论上讲，企业层次的投资，不应与内部产生的现金流量有联系（莫迪利亚和米勒，1958年）。然而，以前的研究已证明投资支出和现金流量之间有着正相关的关系（例如，哈伯德，1998年）。有两种解释来解释这种正相关的关系。第一，正相关的关系是一个机构的问题，有自由现金流量的公司管理者总是倾向于浪费开支（如，1986年的詹森和1990年的斯图斯）。当经理人的目标与股东的不同，超过维持现有资产和新的正净现值项目所需经费的内部现金流量的存在，为这些本来会被浪费的现金创造了潜在的价值。第二，这两者的正相关反映了资本市场的不完善，昂贵的外部融资成本为内部产生现金流量以扩大潜在可行的投资机会集创造了可能性（例如，法则瑞、哈伯特和彼得森，1988；哈伯特，1998）。实证分析通过两个阶段进行。首先，本文采用会计基础的框架来衡量自由现金流量和过度投资。自由现金流量，是指超过了维持现有资产和新的投资所需费用的现金流量。过度投资，被定义为超过维持现有资产和新的正净现值投资项目所需费用的投资开支。为了测量过度投资，我把总投资支出分解成两个部分：（1）维持现有资产所需的投资支出，以及（2）新的投资开支。然后，我将新的投资支出分解成对负净现值项目的过度投资和预期投资支出，后者因公司的成长机会，融资约束，行业隶属关系和其他因素不同而不同。企业投资与现金流量正相关关系的解释 本节详细介绍各种支持投资支出和现金流量呈正相关关系的理论，然后开发自由现金流量和过度投资的测量方法，以用于依据这个理论来测试机构。在一个完美的资本市场上，公司的投资活动与其内部生成的现金流量是没有关联的。如果一个公司需要更多的现金为投资活动提供经费，它只会到外部资本市场筹集现金。如果企业拥有的现金超过现有正净现值项目（包括对未来的投资的期权）所需的资金，它将把自由现金分配到外部市场。但是，企业不是在这样一个世界运作，资本市场的各种摩擦阻碍了管理者从外部资本市场筹集资金。此外，为确保自由现金流量确实分配给外部资本市场，还有相当可观的交易与监督管理费用。在均衡状态，这些资本市场的摩擦可以作为公司的投资活动与内部现金流量正相关的支持。主要假设 正如前面一节所描述的，一套完善的资本市场（没有对外筹集资金的摩擦，没有信息不对称和道德风险相关的问题，没有税收等）下，不应该有企业层面的投资和内部产生的现金流量的关系。然而，当外部资本提供者的监测管理成本过高，并且企业的外部筹资成本过高时，它们之间的联系就可以预期了。具体而言，企业层面的投资支出和内部产生的现金流量应该呈正相关。 这种关系，然而，可能是基于以下几个因素。这可能反映了管理层做自我服务项目的额外投资，而不是向股东派发现金股利。这些决定包括：（1）帝国大厦；（2）额外补贴消费；（3）多元化收购；（4）利用差补贴的现金，而不是将现金返还给股东，成功地执行产生的分歧。另外，它可以反映增加的投资机会，从（相对较便宜的）内部资金。自由现金流量的用处本文的重点是自由现金流量的过度投资。然而，过度投资只是自由现金流量很多可选用途中的一种。利用从现金流量表获得的信息，我可以将自由现金流量分配到六个类别中。这只是对现金流量表的一种重新描述，其中产生的现金必须等于用掉的现金。这六大类是：（1）超额投资，；（2）股东的净支付，equity；（3）债务持有人的净本金支付，debt；（4）金融资产的净变动，financial asset；（5）其他投资， other investments；（6）混杂的现金流量，other。用下面的恒等式来表示：fcfequitydebtfinancial assetother investments other最后两个类别包含了各种各样的调节项目，根据经验判断是不太重要的（非常小的样本变动）。从股东的角度来看，主要关注的是第一类，过度投资，因为这会为股东带来大量的代理成本。不过，目前还不太清楚，什么是最好的自由现金流量用途，超过避免过度投资。向股东支付的股利将受到与该公司投资者相关的税收状况的影响（阿伦和米夏埃利，2003）。另外，支付给股东和债权人款项将影响到公司的资本结构。在某种程度上，管理层在心中有一个最佳的资本结构。目前还不清楚什么是自由现金流量的最优配置。对管理层来说，以金融资产的形式保留自由现金流也是一个有效的选择。需要持有自由现金流量的理想水平，是根据公司的特征来决定的，例如现金流的可变性和能够到达外部资本市场的途径（例如，哈福德，1999）。现金流不稳定的公司倾向于在现金流少的时期保留现金，更难筹集外部资本的公司将会渴望较大的现金持有量（例如，奥普勒等，1999）。我的主要焦点是过度投资的程度和治理结构在缓解过度投资中的作用。我把企业如何使用自由现金流量（不包括过度投资）的详细审查留到未来的研究中去。数据和样本选择主要的实证分析采用标准普尔年度数据库（包括活跃和呆滞的证券）的财务报表数据。我把金融机构（sic代码在6000至6999之间）从我的分析中排除，因为这些企业的经营、投资和融资活动界限不明确。样本期间涵盖19882002会计年度，取得58053个观察值。在接下来的实证分析中，金融变量以平均总资产的方式测量（结果是类似的，使用销售作为替代平减指数）。为了尽量减少对离群值的影响，我删去了自由现金流的调节值或者自由现金流的任一潜在使用价值超过绝对值1的企业。投资支出和自由现金流量的分析表1投资支出的分析此表考察投资现金流量的性质作为投资机会增长的功能。样本包括标准普尔数据库19882002年间的58053个可得到的观测值。a组：投资开支的描述性统计。 平均数标准差 p1q1中位数q3p990.1310.135 0.0240.0430.094 0.1800.647capex0.0700.083 00.0230