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与投资现金流敏感性等常用指标不同,管理层期望回报率与股东期望回报率的偏离程度是评价自由现金流代理问题严重程度的直接指标。但该指标难以观测,为此Robert和Huntley~([1])通过构建结构化方程,提出根据公司的投资支出估算上述指标的方法,并称之为显示性偏好方法.针对Robert和Huntley~([1])的结构化方程忽略公司融资决策信息的缺点,推导同时包含投资支出、融资成本、融资规模(可观测变量)和管理层期望回报率与股东期望回报率偏离程度(待估参数)的新的结构化方程,并应用J统计量和多组研究样本对新方程的有效性加以验证,同时与原方程比较。最后以过度投资为例说明管理层期望回报率与股东期望回报率偏离程度估计结果的应用价值。
Different from the commonly used indicators such as investment cash flow sensitivity, the deviation between management’s expected rate of return and shareholders’ expected rate of return is a direct indicator to evaluate the severity of the free cash flow agency problem. However, the index is difficult to observe. Therefore, Robert and Huntley ~ ([1]) put forward a method of estimating the above index based on the company’s investment expenditure by constructing a structural equation and calling it a display preference method. For Robert and Huntley ~ [1]) ignores the shortcomings of corporate financing decision-making information and deduces the degree of deviation from the expected return on shareholders (estimated parameters), including investment expenditure, financing cost, financing scale (observable variables) and management’s expected rate of return The new structural equation is also validated by applying the J statistic and the multi-group research samples to validate the new equation while comparing with the original equation. Finally, taking the overinvestment as an example, this paper illustrates the application value of the estimated result of the management’s expected rate of return and the expected rate of return of the shareholder.