外文文献及翻译瑞查德森-自由现金流与过度投资

This 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 & 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; Stulz 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, & Petersen,1988; Hubbard, 1998). This paper focuses on utilizing accounting information to better measure the constructs of free cash flow and over-investment, thereby allowing a more powerful test of the agency-based explanation for why firm level investment is related to internally generated cash flows. In doing so, this paper is the first to offer large sample evidence of over-investment of free cash flow. Prior research, such as Blanchard, Lopez-di-Silanes, and Vishny (1994), document excessive investment and acquisition activity for eleven firms that experience a large cash windfall due to a legal settlement, Harford (1999) finds using a sample of 487 takeover bids, that cash-rich firms are more likely to make acquisitions that subsequently experience abnormal declines in operating performance, and Bates (2005) finds for a sample of 400 subsidiary sales from1990 to 1998 that firms who retain cash tend to invest more, relative to industry peers. This paper extends these small sample findings by showing that over-investment of free cash flow is a systematic phenomenon across all types of investment expenditure. 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 defined as 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 firm?s growth opportunities, financing constraints, industry affiliation and other factors. Under the agency cost explanation, management has the potential to squander free cash flow only when free cash flow is positive. At the other end of the spectrum, firms with negative free cash flow can only squander cash if they are able to raise ……cheap?? capital. This is less likely to occur because these firms need to be able to raise financing and thereby place themselves under the scrutiny of external markets (DeAngelo, DeAngelo, & Stulz, 2004; Jensen, 1986). Consistent with the agency cost explanation, I find a positive association between over-investment and free cash flow for firms with positive free cash flow.1For a sample of 58,053 firm-years during the period 1988–2002, I find that for firms with positive free cash flow the average firm over-invests 20% of its free cash flow. Furthermore, I document that the majority of free cash flow is retained in the form of financial assets. The average firm in my sample retains 41% of its free cash flow as either cash or marketable securities. There is little evidence that free cash flow is distributed to external debt holders or shareholders. Finding an association between over-investment and free cash flow is consistent with recent research documenting poor future performance following firm level investment activity. For example, Titman, Wei, and Xie (2004) and Fairfield, Whisenant, and Yohn (2003) show that firms with extensive capital investment activity and growth in net operating assets respectively, experience inferior future stock returns. Furthermore, Dechow, Richardson, and Sloan(2005) find that cash flows retained within the firm (either capitalized through accruals or ……invested?? in financial assets) a re associated with lower future operating performance and future stock returns. This performance relation is consistent with the over-investment of free cash flows documented in this paper. The second set of empirical analyses examine whether governance structures are effective in mitigating over-investment. Prior research has examined the impact of a variety of governance structures on firm valuation and the quality of managerial decision making (see Brown & Caylor, 2004; Gompers,Ishii, & Metrick, 2003; Larcker, Richardson, & Tuna, 2005 for detailed summaries). Collectively, the ability of cross-sectional variation in governance structures to explain firm value and/or firm decision making is relatively weak. Consistent with this, I find evidence that out of a large set of governance measures only a few are related to over-investment. For example, firms with activist shareholders and certain anti-takeover provisions are less likely to over-invest their free cash flow. The next section develops testable hypotheses concerning the relation between free cash flow and over-investment. Section 2 describes the sample selection and variable measurement. Section 3 discusses empirical results for the over-investment of free cash flow. Section 4 contains empirical analysis examining the link between corporate governance and the over-investment of free cash flow, while section 5 concludes. 1.Free cash flow and over-investment This 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. 1.1.Explanations for a positive relation between investment expenditure and cash flow 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. The agency cost explanation introduced by Jensen (1986) and Stulz (1990)suggests that monitoring difficulty creates the potential for management to spend internally generated cash flow on projects that are beneficial from a management perspective but costly from a shareholder perspective (the free cash flow hypothesis). Several papers have investigated the implications of the free cash flow hypothesis on firm investment activity. For example, Lamont(1997) and Berger and Hann (2003) find evidence consistent with cash rich segments cross-subsidizing more poorly performing segments in diversified firms. However, the evidence in these papers could also be consistent with market frictions inhibiting the ability of the firm to raise capital externally and not necessarily an indication of over-investment. Related evidence can also be found in Harford (1999) and Opler, Pinkowitz, Stulz, and Williamson (1999,2001). Harford uses a sample of 487 takeover bids to document that cash rich firms are more likely to make acquisitions and these ……cash rich?? acquisitions are followed by abnormal declines in operating performance. Opler et al.(1999) find some evidence that companies with excess cash (measured using balance sheet cash information) have higher capital expenditures, and spend more on acquisitions, even when they appear to have poor investment opportunities (as measured by Tobin?s Q). Perhaps the most direct evidence on the over-investment of free cash flow is the analysis in Blanchard et al.(1994). They find that eleven firms with windfall legal settlements appear toengage in wasteful expenditure. Collectively, prior research is suggestive of an agency-based explanation supporting the positive relation between investment and internally generated cash flow. However, these papers are based on relatively small samples and do not measure over-investment or free cash flow directly. Thus, the findings of earlier work may not be generalizable to larger samples nor is it directly attributable to the agency cost explanation. More generally, a criticism of the literature examining the relation between investment and cash flow is that finding a positive association may merely indicate that cash flows serve as an effective proxy for investment opportunities (e.g., Alti, 2003). My aim is to better measure the constructs of free cash flow and over-investment by incorporating an accounting-based measure of growth opportunities, and test whether the relation is evident in a large sample of firms. In addition to prior empirical work on agency based explanations for the link between firm level investment and internally generated free cash flow, there exists a stream of research dedicated to examining the role of financing constraints (e.g., Fazzari et al. (1988), Hoshi, Kashyap, and Scharfstein (1991),Fazzari and Petersen (1993), Whited (1992) and Hubbard (1998)). Myers and Majluf (1984) suggest that information asymmetries increase the cost of capital for firms forced to raise external finance, thereby reducing the feasible investment. Thus, in the presence of internally generated cash flow, such firms will invest more in response to the lower cost of capital. Some early work in this area examined the sensitivity of investment to cash flow for high versus low dividend paying firms (Fazzari et al., 1988), comparing differing organizational structures where the ability to raise external financing was easier/harder (Hoshi, Kashyap and Scharfstein, 1991, with Japanese keiretsu firms) and debt constraints (Whited, 1992). These papers find evidence of greater sensitivity of investment to cash flow for sets of firms which appeared to be financially constrained (e.g., low dividend paying firms, high debt firms and firms with limited access to banks). However, more recent research casts doubt on the earlier results. Specifically, Kaplan and Zingales(1997, 2000), find that the sensitivity of investment to cash flow persists even for firms who do not face financing constraints. They construct a measure of ex ante financing constraints for a small sample of firms and find that the sensitivity of investment to cash flow for firms is negatively associated with this measure, thereby casting doubt on the financing constraint hypothesis. Nonetheless the investment expectation model described in Section 1.4includes a variety of measures designed to capture financing constraints. 5. Conclusion This paper presents evidence on firm level over-investment of free cash flow. The empirical analysis utilizes an accounting based framework to measure the constructs of free cash flow and over-investment. A comparative advantage of the accounting researcher is in measuring critical constructs from the financial economics literature. The analysis of over-investment and free cash flow is but one example of how accounting information can be better utilized in academic research. The evidence in this paper suggests that over-investment is a common problem for publicly traded US firms. For non-financial firms during the period 1988–2002, the average firm over-invests 20 percent of its available free cash flow. Furthermore, the majority of free cash flow is retained in the form of financial assets. For each additional dollar of free cash flow the average firm in the sample retains 41 cents as either cash or marketable securities. There is little evidence that free cash flow is distributed to external stakeholders, thereby creating the potential for retained free cash flow to be over-invested in the future. Supplemental analysis found only weak evidence that governance structures are effective in mitigating the extent of over-investment. These findings corroborate recent work that has found significant negative future stock returns from capital investment and significant growth in net operating assets (e.g., Fairfield et al., 2003; Titman et al., 2004). Indeed, Li(2004) finds that future operating performance is lower for firms engaging in investment expenditure and that this negative relation is increasing in contemporaneous free cash flow. A natural explanation for this poor future performance is free cash flow related agency costs. The framework developed in the paper to measure over-investment and free cash flow can easily be extended to consider abnormal investment more generally. Indeed, some recent research has started to use this framework to examine the impact of accounting information systems on investment decisions and the efficient allocation of capital (e.g., Bushman, Piotroski, & Smith,2005; Goodman, 2005; Wang, 2003). 翻译版本一: 本文实证检验了在自由现金流量下企业的投资决策。从理论上来说,企业的投资水平应与内部自由现金流无关(莫迪利安尼和米勒,1958年)。但是,以前的已有研究证明投资支出与自由现金流量存在正相关关系(例如,哈伯德,1998年)。对这种正相关关系有两种解释。第一,这种正相关关系是代理问题的现,那些拥有自由现金流量的公司经理人浪费了开支(例如,詹森,1986年;斯图尔兹,1990年)。当经理的目标与股东不同时,在内部产生的自由现金流量除了维持现有资产运营以及投资于净现值为正的新项目投资外,剩余的现金可能被浪费掉。第二,这种正相关关系反映了资本市场的不完善,即昂贵的外部融资为内部创造的现金流扩大潜在的可行投资机会集提供了可能性(例如,法兹泽瑞,哈罗德和皮特森,1988年;哈伯德,1998年)。 本文致力于使用会计信息更好的衡量自由现金流量和过度投资的结构,从而在解释企业投资与内部创造的现金流二者关系的基础上对代理问题做更为有效的检验。本文是首个提供大样本证明过度投资的自由现金流量问题的文献。在此之前的研究,如布兰查德,洛佩兹迪赛伦兹和维什尼(1994年),记录了因暴力引发的法律纠纷而获得一大笔现金横财的11家公司均有过度投资和收购行为,哈福德(1999年)以487家投标公司为样本进行研究,发现现金充裕的公司更可能进行收购而随后经历经营业绩的异常下降,贝茨(2005年)以1990年至1998年的400个销售子公司为样本进行研究,发现留存现金的企业相对于业界同行更倾向于投资。本文将这些小样本的研究结 果进行扩展,以表明自由现金流量的过度投资是各类型投资支出的一个系统性现象。 实证分为两个阶段。第一,本文采用会计为基础的框架来衡量自由现金流量和过度投资。自由现金流量被定义为除去维持公司经营的现有资产和为预计的新项目投资供给资金的现金流量后剩余的部分。过度投资被定义为除去维持现有资产正常运转及投资净现值为正的项目之外进行的那些投资。为了估计和衡量过度投资,我将总投资支出分解为两部分:(1)维持现有资产正常运转的必要投资开支,(2)新项目的投资支出。进一步把新项目的投资支出分为对净现值为负的项目进行的过度投资和预期投资支出,后者随着公司的成长机会、融资约束、行业隶属和其他因素而各不相同。 根据代理成本的解释,管理层只有在自由现金流量为正时才存在浪费的可能性。相应的,自由现金流为负的企业只有在增加“廉价”的低成本资金的情况下才会浪费现金。这种情况很少发生,因为这些企业扩大融资数量将使他们置于外部市场的严格监督之下(迪安杰罗,斯图尔兹,2004年;詹森,1986年)。与代理成本的解释相一致,我发现自由现金流为正的企业的过度投资行为与自由现金流呈正相关关系。以1988-2002年期间的58053家企业为样本,我发现,自由现金流量为正的企业中平均每家企业有20%的自由现金流用于过度投资。在我选取的样本中平均每家企业有41%的自由现金流量以现金的或可交易的有价证券的形式存在。几乎没有证据表明,自由现金流量被分配给外部债权人或者股东手中。 近期研究表明企业的投资活动伴随着未来业绩的恶化,过度投资和自由现金流量的关系研究也是在此背景下展开的。例如,蒂特曼,魏和谢(2004年),费尔菲尔德,惠森南特和约翰(2003)指出拥有广泛的资本投资活动和经营性资产净值的增加的企业,其未来股票收益较低。此外,德诚,理查德森和斯隆(2005)发现,现金流量在企业内部保留(通过收益资本化或投资于金融资产)与较差的未来经营业绩和股票收益相关联。这与本文证实的自由现金流引发过度投资是一致的。 第二组实证性分析检验并解释了管理结构对减少过度投资是否有效。先前的研究检验了公司各种管理结构对公司估价和管理决策制定的影响(在布朗和孙俊(2004年),高姆普斯,艾什和麦克里克(2003年),拉克,理查德森和詹森(2005年)有详细说明)。同样地,公司管理结构变动的程度可以解释公司价值和公司决策制定的相对较为薄弱的情况。与此相联系,我们发现众多的管理方式只有小部分和过度投资有联系。例如,拥有活跃股东和确定的反收购规定的公司利用自由现金流量进行过度投资的可能性较小。 下一部分是关于自由现金流量与过度投资关系的假说检验。第二部分描述了样本选择和变量的测量。第三部分讨论了过度投资与自由现金流量相关关系的实证结果。第四部分包含的实证分析和研究公司治理和过度投资的自由现金流量之间的联系,第五部分得出结论。 1、自由现金流量和过度投资 这个部分详细介绍了支持投资支出和现金流量之间正相关关系的各种理论,并扩展了自由现金流量与过度投资的衡量尺度,使其能够用来代理问题。 1.1解释投资支出和现金流量呈正相关关系 在一个完美的资本市场上不会有企业层面之间的投资活动和内部现金流量的关联。如果一个公司需要额外的现金为投资活动提供资金,它会过很容易从外部资本市场获取现金。如果企业需要的资金已经超过现有的正现值的可行的投资项目(对未来的投资,包括期权),过量的自由现金流量将被投放到外部市场。但是,企业并没有这样一个完美的市场环境。各种资本市场的摩擦阻碍了公司管理层从外部资本市场获得现金的能力。此外,公司还有因现金流投放到外部资本市场而产生的昂贵的交易成本与严格的监督管理。从均衡角度来看,这些资本市场的摩擦可以作为公司投资活动和内部自由现金流量正相关的支持。 由詹森和斯图尔兹引入的代理成本理论的解释表明,某些项目从管理层角度来看是有利的,但从股东的角度来看则是成本高昂的,管理监控困难增加了管理层花费这些项目创造的内部现金流的 可能性(自由现金流量假设)。一些论文已经研究了自由现金流量对企业投资活动的影响。例如,拉蒙特(1997年)、伯格和汉恩(2003年)发现在各种企业中都存在用现金盈余弥补不利业绩的情况。然而,在这些论文的证据也表明市场摩擦抑制了公司外部筹集资金的能力,而不存在必然的过度投资迹象。相关的证据在哈福德(1999年);欧普拉,匹克沃兹,斯图尔兹和威廉姆斯(1999年与2001年)的研究中也能找到。哈福德以487家投标公司为样本,证实了现金充裕的公司更可能进行收购,且收购之后会有经营业绩不正常的下降现象。欧普拉等发现一些证据表明公司持有额外现金(以资产负债表的信息衡量)有更高的资本支出,甚至投资机会不佳时仍然在收购上花费较多(利用托宾Q衡量)。可能有关自由现金流过度投资的最直接的证据源于布兰查德、洛佩斯和维什尼(1994年)的分析。他们发现11家公司通过法律诉讼获得额外现金收入的公司存在支出浪费。 总的来说,以前的研究是一个基于投资和内部产生的现金流量成正相关的解释,共同表明了代理问题的存在。然而,这些论文是基于相对小的样本,且没有直接衡量过投资或自由现金流量。因此,早期文献中的结果可能无法推广到大样本或者不能直接用代理成本的来解释。现在检验投资和现金流关系的文献普遍批判二者的正相关性,支出这种正相关性仅仅表明现金流是投资机会的一个有效表示。我的目的在于用加入成长机会的合并报表对自由现金流和过度投资进行更好的衡量,并检验二者的关系在大样本中是否显著。除了先前有关代理问题的实证研究揭示了企业的投资水平和内部创造的自由现金流量之间的关系,还有许多研究致力于检验融资约束作用的影响(例如,法兹泽瑞(1988年),保志,卡沙和莎尔夫史蒂芬(1991年),法兹泽瑞和皮特森(1993年),怀特德(1992年)和哈伯德(1998年))。迈尔斯和麦吉罗夫(1984年)认为信息不对称增加了企业外部融资成本,从而降低了可行的投资。因此,企业内部存在自由现金流量在资本成本较低时会投资较多。 在这一领域早期的研究,检验了高股利支付和低股利支付的公司投资活动和现金流量的敏感性(法兹泽瑞(1988年)),从而比较不同组织结构对外部融资能力的难易影响(保志,卡沙和卡尔夫史蒂芬,1991年和日本公司)和债务约束(怀特德,1992年)。这些论文发现存在融资约束的公司其投资活动对现金流量更敏感(例如,低股利支付公司,高负债公司和限制权利使用银行资金的公司)。然而,最近的研究对先前的结果提出了质疑。具体来说,卡普兰和津加莱斯(1997年和2000年)发现在没有融资约束的公司中投资对现金流量的敏感性依然存在。他们对一些小样本公司构建了一种事后融资约束,发现投资对现金流量敏感性与测量方法无相关关系,因此,人们对融资约束假说产生质疑。尽管如此,在1.4节中描述的投资预期模型包括了用来捕捉各种融资约束的。 5结论 本文对公司自由现金流的过度投资提供了证据。实证分析使用会计框架来衡量自由现金流和过度投资的结构。会计研究人员的相对优势在于能从金融经济学文献中找出关键性的结构。在如何更好地将会计信息用于学术研究上,对过度投资和自由现金流的研究是一个很好地例子。稳重的证据表明过度投资在公开交易的美国公司当中是很普遍的。在1988-2002年间的非金融企业中,平均每家企业可利用的自由现金流中有20%就用于过度投资。此外,大量的自由现金流被以金融资产的形式留存在企业中。样本中平均每一家公司每一美元额外的自由现金流中有41美分被以现金或有价证券的形式留存。几乎没有证据显示自由现金流被分配给外部利益相关者,因此增加了留存的自由现金流在未来被过度投资的可能性。补充的分析发现仅有微弱吉祥显示股权结构可以减弱过度投资的程度。 这些研究结果证实了近期文献发现的资本投资导致未来股票收益大幅下降以及净营运资产显著增加(例如,弗雷菲尔德等(2003年),提特曼等(2004年))。的确,李(2004年)发现有过度投资的企业未来经营业绩较差,并且这种负相关关系随着同期的自由吸纳进六而递增。对这种糟糕的未来业绩有一个固有的解释,即与代理成本有关的自由现金流。 本文用来衡量过度投资和自由现金流而扩展的框架,具有普遍性,在异常投资活动中同样适用。并且一些近期的研究已经开始使用这种框架来衡量会计信息系统对投资决策和资金有效配置的影响(例如,古德(2005年),布希曼,皮奥特罗斯基和史密斯,(2005年),王(2003年))出处:斯科特.理查德森,《自由现金流量的过度投资》,会计研究评论,2006(11):P159-189