2009쓪11퓂ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡ(뗚23뻭뗚ꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡꆡNov1,200911웚)EastChinaEconomicManagement(,)ꇱ닆뺭춸쫓ꆾDOIꆿ1013969/j1issn11007-5097120091111015짏쫐릫쮾쿖뷰돖폐맽솿뛔춶탐캪벰킧싊뗄펰쿬럖컶헅ꆡ럯(돉뚼탅쾢릤돌톧풺ꆡ춳볆쾵,쯄뒨ꆡ돉뚼ꆡ610103)[햪튪]컄헂틔1998-2006쓪솬탸4쓪틔짏폐쫽뻝뗄뮦짮막쫐뗄짏쫐릫쮾캪퇹놾,쪵횤럖컶쿖뷰돖폐맽솿뛔릫쮾춶탐캪벰웤킧싊뗄펰쿬ꆣ쪵횤랢쿖:(1)쿖뷰돖폐맽솿풽뛠,릫쮾뗄뎤웚춶쓜솦퓶잿ꆣ(2)퓝쪱탔뫍돖탸탔맽솿뗄릫쮾쿠뇈,맽솿쿖뷰뛔춶탐캪뗄펰쿬뇭쿖듦퓚닮틬ꆣ(3)맽솿쿖뷰돖폐뛔릫쮾튵벨쳡짽컞릱쿗;맽솿쿖뷰뗄춶쪹폃킧싊뗍쿂,웕뇩듦퓚맽뛈춶쿖쿳ꆣ[맘볼듊]쿖뷰돖폐맽솿;춶탐캪;춶킧싊[훐춼럖샠뫅]F275ꆡꆡꆡ[컄쿗뇪횾싫]Aꆡꆡꆡ[컄헂뇠뫅]1007ꆪ5097(2009)11ꆪ0067ꆪ06AnEmpiricalStudyontheRelationshipbetweenPositiveExcessCashHoldingsandthePerformanceofInvestmentinChinapisListedFirmsZHANGFeng(StatisticsDepartment,ChengduUniversityofInformationTechnology,Chengdu610103,China)Abstract:,listedfirmsꆯpositivecashholdingsandlong-timeinvestmenthaveapositiverelationship,,whichtemporaryorcontinually2-yearsorcontinual2ly3-yearshavepositivecashholdings,ꆯ-yearsorcontinually3-yearshavepositivecashholdings,:positiveexcesscashholdings;investmentbehavior;investmentefficiencyꆡꆡ틽ꆡ퇔릩쇋ꆰ돖폐듳솿쿖뷰릫쮾뗄쳘헷폫쳡룟볛횵뗄뚯믺ퟜ쳥쿠튻훂ꆱ뗄횤뻝[1][3]ꆣMikkelson뫍Partch(2003)랢쿖,돖탸돖폐듳솿쿖뷰뗄릫쮾쿠뛔폚웤쯻릫쮾뗄펪퓋튵벨훐캻쫽뷏듳;떫떱뛔뻶뚨릫쮾쿖1994쓪뇪ힼ웕뛻500볒릫쮾뗄쿖뷰돖폐솿ퟜ볆룟듯7160틚쏀풪,웤훐뢣쳘ꆢ춨폃ꆢIBM뗄쿖뷰돖폐솿럖뇰캪138ꆢ107ꆢ105틚쏀뷰돖폐솿뗄릫쮾쳘헷뇤솿뷸탐뿘훆뫳,돖탸돖폐듳솿쿖뷰뗄릫쮾늢풪쎻폐늻춬톰뎣뗄튵벨뇭쿖,늢늻듦퓚뺭샭죋뗄ퟔ샻탐캪[4]ꆣ[1]ꆣ컒맺짏쫐릫쮾쿖뷰돖폐솿튻횱뒦폚짏짽쟷쫆,웤훐2003-쇭튻훖맛뗣쫇틔Jensen(1986)뗄ퟔ평쿖뷰쇷샭싛캪듺뇭ꆣ죏2006쓪짏쫐릫쮾욽뻹쿖뷰돖폐솿룟듯4112ꆢ4140ꆢ4141ꆢ5165틚풪죋쏱뇒ꆣ벴쪹돤럖뾼싇떽릫쮾뗄춶믺믡ꆢ펯샻쓜솦ꆢ닆컱삧뺳럧쿕캪:퓚ퟮ듳뮯뺭샭죋샻틦뗄잰쳡볙짨쿂,뺭샭죋믡믹폚ퟔ짭샻틦뾼싇붫맽솿쿖뷰폃폚ꆮ퓶볓ퟔ짭뷲쳹ꆢ퓚횰쿻럑ꆯ믲ퟶ돶쪹릫쮾볛횵뗈닆컱쳘헷뫍탐튵벰쪱볤닮틬뫳,죔폐탭뛠릫쮾듦퓚쿖뷰돖폐맽솿쿂뗸뗄춶뻶닟,퓬돉ꆰ춶맽뛈ꆱ뗄컊쳢[5]ꆣBlanchardetal뗄쟩뿶ꆣ쿖뷰쫇릫쮾훐쇷뚯ퟮ잿ꆢ믱샻ퟮ뗍뗄닺,캪쪲쎴쫀뷧랶(1994)횤쪵춨맽램싉쯟쯏좡뗃쿖뷰뗄릫쮾,쿖뷰돖폐풽돤풣,릫쮾캧쓚뗄릫쮾웕뇩돖폐듳솿뗄쿖뷰폈웤쫇맽솿뗄쿖뷰쓘?쿖뷰돖폐맽볛횵풽뗍[6];Harford(1999)튲횤쪵쿖뷰돤풣뗄릫쮾뇈웤쯼릫쮾룼솿믡뛔릫쮾춶탐캪뫍튵벨믡닺짺퓵퇹뗄펰쿬쓘?뿉쓜랢짺볛횵뗝복뗄릺늢탐캪,훷튪랴펳퓚늢릺탻룦틽웰뗄막볛쿂튻훖맛뗣쫇틔Myers뫍Majluf(1984)뗄죚쮳탲샭싛캪듺뇭ꆣ뗸뫍릺늢뫳릫쮾펪퓋튵벨뗄쿂뮬[7]ꆣCouderc(2005)튲쪵횤랢쿖뎬죏캪:퓚ퟮ듳뮯릫쮾볛횵뗄잰쳡볙짨쿂,릫쮾돖폐듳솿쿖뷰폐샻폚뛮쿖뷰돖폐믡떼훂릫쮾튵벨뇤닮[8]ꆣ뛔폚돖탸돖폐맽솿쿖뷰뗄릫쮾,릫쮾춶뫍튵벨뗄쳡짽[2]ꆣKimetal(1998)ꆢOpleretal(1999)쳡SchwetzlerandReimund(2004)랢쿖맽좥3쓪돖폐뎬뛮쿖뷰뗄릫쮾,[쫕룥죕웚]2009ꆪ09ꆪ11[믹뷰쿮쒿]쯄뒨쪡뷌폽쳼죋컄짧믡뿆톧쟠쓪믹뷰훺쿮쒿(08SB061)[ퟷ헟볲뷩]헅ꆡ럯(1977ꆪ),얮,쯄뒨쏠퇴죋,뢱뷌쫚,늩쪿,퇐뺿랽쿲:릫쮾닆컱ꆣꆪ67ꆪ
튵벨뇭쿖뷏닮[9]ꆣ뎤뗄맽뛈탔춶믲붫뷰쿐훃,뛸퓝쪱탔쿖뷰돖폐맽솿릫쮾,뺭샭쓇쎴,뛔폚쿖뷰돖폐솿돊훰쓪짏짽쟷쫆뗄컒맺짏쫐릫쮾뛸퇔,죋퓚쯦틢쪹폃쿖뷰뗄춬쪱떣뢺쿖뷰뛌좱뗄럧쿕튲럇뎣듳,퓚쿖뷰쪹맽솿쿖뷰돖폐뗄춶쪹폃탐캪틔벰쪹폃킧싊뇭쿖죧뫎쓘?퓝쪱탔뫍폃짏뷏뷷짷[5]ꆣ쯹틔,뻍쿖뷰돖폐맽솿뛔릫쮾튵벨틔벰맽솿쿖뷰돖돖탸탔쿖뷰돖폐맽솿릫쮾쿠뇈,쿖뷰돖폐맽솿뗄춶쫇쪹폃탐캪틔폐뗄춶쪹폃킧싊,컒쏇쳡돶틔쿂뗄퇐뺿볙짨:벰쪹폃킧싊뗄뇭쿖쫇럱폐닮틬쓘?쫇횧돖Myers뫍Majluf(1984)뗄볙짨3:쿖뷰돖폐맽솿릫쮾(컞싛쫇퓝쪱탔쿖뷰돖폐맽솿뮹쫇돖죚쮳탲샭싛뮹쫇횧돖뛔폚Jensen(1986)뗄ퟔ평쿖뷰쇷샭싛쓘?탸탔쿖뷰돖폐맽솿)맽솿쿖뷰돖폐뛔릫쮾튵벨쳡짽컞릱쿗ꆣ헢킩뚼붫쫇놾컄ퟅ솦첽쳖뗄컊쳢ꆣ놾컄쓢닉폃뗄퇐뺿랽램훷튪쫇틀볙짨4:쿖뷰돖폐맽솿릫쮾(컞싛쫇퓝쪱탔쿖뷰돖폐맽솿뮹쫇돖뻝Opleretal(1999)튻컄뗄뛠풪믘맩럖컶랽램뫍춶탐캪쒣탍ꆣ늻탸탔쿖뷰돖폐맽솿)맽솿쿖뷰돖폐뗄춶쪹폃킧싊뗍쿂ꆣ춬횮뒦퓚폚:(1)컒쏇뛔춶탐캪뗄뾼달,훷튪럖캪만뚨닺춶ꆢ볙짨5:돖탸탔쿖뷰돖폐맽솿릫쮾쿠뛔퓝쪱탔쿖뷰돖폐맽솿릫뎤웚춶뫍뛌웚춶죽룶늿럖ꆣ쒿잰뛔춶탐캪뗄퇐뺿벸뫵뚼벯훐쮾,맽솿쿖뷰뗄춶쪹폃킧싊욫뗍ꆣ퓚만뚨닺춶뗄럖컶짏,뛸뫶싔쇋뎤뛌웚춶[10-15]ꆣNagrajaetal뛾ꆢ쫽뻝톡좡벰랽램쮵쏷(1995)퓸쳡돶,퓚뺭샭죋만쫘횰캻쪱,붫폐뷏뛠뗄뛌웚춶틔뇜쏢(놻훃뮻뗄럧쿕ꆣ떫믹폚짹폾뗄뾼솿,캪퓶볓쫐뎡뛔웤쓜솦뗄움볛튻)럖컶랽램벰늽훨,붫믡폐뷏뛠뗄뎤웚춶[16]ꆣ붫뛌웚춶뫍뎤웚춶쓉죫춶탐캪뗄11에뇰릫쮾쿖뷰돖폐쫇럱맽솿ꆣ틀뻝Opleretal(1999)ꆢDitt2럖컶폈캪뇘튪ꆣmaretal(2003)ꆢHarfordetal(2004)뗈뺲첬믘맩럖컶뗄ퟶ램,듓ꆰퟮ듳뮯릫쮾볛횵ꆱ뗄쿖뷰돖폐ꆰ풤럀탔뚯믺ꆱ뫍ꆰ붻틗탔뚯믺ꆱ(2)컒쏇퓚춶쒣탍릹붨쪱,붫떱웚탂퓶햮컱(ꡓD/it뗄닆컱쳘헷ퟅ쫖,춨맽믘맩럖컶,붫쿖뷰돖폐쪵볊솿폫맀볆솿뗄닐NAi,t-1)뫍막좨죚(ꡓe/NAiti,t-1)틽죫떽쒣탍훐,돤럖뾼싇쇋릫쮾뷰돤풣ힴ뿶뛔춶탐캪뗄펰쿬ꆣ닮횵ퟷ캪릫쮾쿖뷰돖폐맽솿폫럱뗄에뚨틀뻝[1][18][19]ꆣ볻쒣탍(1)-(3)ꆣ룹뻝쒣탍(1)맀볆돶룷펰쿬틲쯘뗄쾵쫽,퓙붫룷펰쿬쾵(3)틔릫쮾튵벨ퟷ캪틲뇤솿살뾼달맽솿쿖뷰뛔릫쮾벨킧뗄펰쿬틔벰맽솿쿖뷰뗄춶쪹폃킧싊ꆣ웤훐맽솿쿖뷰뗄춶쪹폃킧싊훷튪쫽듺죫쒣탍(2)맀볆돶헽뎣뗄쿖뷰돖폐솿,ퟮ뫳폃쒣탍(3)볆쯣쫇춨맽맽솿쿖뷰ꆢ춶탐캪뗄붻뮥뇤솿폫릫쮾튵벨뗄쿠맘맘쾵살랴돶쿖뷰돖폐쪵볊솿폫맀볆솿뗄닐닮ꆣ붫닐닮듳폚0뗄릫쮾뚨틥캪쿖펳뗄ꆣ뷰돖폐맽솿릫쮾;랴횮,퓲캪쿖뷰돖폐늻ퟣ릫쮾ꆣ룹뻝퇐뺿탨튪,놾컄횻톡좡쇋쿖뷰돖폐맽솿퇹놾ꆣ(4)럖ퟩ럖컶쇋쿖뷰돖폐맽솿퇹놾ꆢ퓝쪱탔맽솿벰돖탸탔맽솿퇹놾,맽솿쿖뷰돖폐뗄춶쪹폃탐캪벰웤킧싊뇭쿖ꆣln(cash/NA)=ait0+a1(M/B)+a+ait2(D/A)it3(NWC/NA)+it튻ꆢ퇐뺿볙쮵a4(CF/NA)+ait5(I/NA)+ait6dummydividend+a7Std(CF/NA)+ita8ln(A)+ꇆait9myearm+ꇆa10nindustryn+ꛅ(1)(튻)쿖뷰돖폐맽솿폫릫쮾뗄춶탐캪EXPln(cash/NA)=ait0+a1(M/B)+a+ait2(D/A)it3(NWC/듓컒맺짏쫐릫쮾뗄훆뛈놳뺰살뾴:맺폐막뒦폚뿘막뗘캻,쯹폐NA)+a+a+at4(CF/NA)iit5(I/NA)it6dummydividend+a7Std(CF/헟퇏훘좱캻;뺭샭죋쫐뎡짐캴탎돉,췢늿풼쫸뷏킡;뺭샭죋돖막뇈NA)+ait8ln(A)+ꇆait9myearm+ꇆa10nindustryn(2)샽뷏킡ꆣ헢킩뚼캪뺭샭죋뗄ꆰퟔ샻탐캪ꆱ뒴퓬쇋뫜뫃뗄쳵볾ꆣ쯹틔,EC=ꚤln(cash/NA)it뻍컒맺짏쫐릫쮾훆뛈놳뺰뛸퇔,맽솿쿖뷰돖폐뗄춶쪹폃탐캪룼뿉=ln(cash/NA)-EXPln(cash/NA)(3)itit쓜폫Jensen(1986)뗄ꆮퟔ평쿖뷰쇷샭싛ꆯ뷓뷼ꆣ춬쪱,쿖뷰돖폐21럖컶릫쮾쿖뷰돖폐맽솿횵틔벰돖탸믲퓝쪱돖폐쿖뷰맽솿뛔만맽솿뗄뛠짙틔벰맽솿쿖뷰돖폐돖탸뗄쪱볤뎤뛌튲뿉쓜믡펰쿬떽릫쮾뚨닺춶ꆢ뎤웚춶ꆢ뛌웚춶탐캪뗄펰쿬ꆣ컒쏇틔만뚨닺춶뺭샭죋퓚뎤웚춶ꆢ만뚨닺춶ꆢ뛌웚춶톡퓱뗄닮틬ꆣ쿖뷰돖캪샽,틔만뚨닺춶(FI/NA)ퟷ캪틲뇤솿,틽죫쿖뷰돖폐맽폐맽솿뗄릫쮾쿠뛔쿖뷰돖폐뛌좱뗄릫쮾,릫쮾뗄춶쓜솦폈웤쫇뎤솿횵(PEC),뿘훆쿖뷰쇷솿ꆢ돉뎤탔틔벰릫쮾탂퓶뢺햮뫍막좨죚웚춶ꆢ만뚨닺춶뷏잿;쿖뷰돖폐맽솿풽뛠,릫쮾뗄뎤웚춶ꆢ뗈뇤솿,붨솢쒣탍(4)ꆣ춨맽룃쒣탍,럖컶릫쮾쿖뷰돖폐맽솿횵뛔만뚨닺춶쓜솦튲믡쯦횮퓶잿ꆣ릫쮾뺭샭죋믹폚ퟔ짭샻틦뾼싇믲만뚨닺춶뗄펰쿬ꆣ뎤웚춶(LI/NA)ꆢ뛌웚춶(SI/NA)럖쫜맽뛈ퟔ탅뗄펰쿬,믡붫맽솿쿖뷰룼뛠뗄폃폚쿖뷰돖폐뛌좱쪱쯹컞컶폫만뚨닺춶럖컶샠쯆,횻탨퓚쿖폐쒣탍뗄믹뒡짏룼룄틲뇤솿램쪵쿖뗄뎤웚춶ꆢ만뚨닺춶뗈춶쿮쒿짏ꆣ죴붫퓝쪱탔쿖뷰벴뿉ꆣ돖폐맽솿폫돖탸탔쿖뷰돖폐맽솿뗄릫쮾쿠뇈뷏,돖탸탔쿖뷰돖폐맽FI/NAiti,t-1=a0+a1CFi,t-1/NAi,t-2+a2(M/B)i,t-1+a3Si,t-1/솿릫쮾뗄뎤웚춶ꆢ만뚨닺춶쓜솦뫍춶틢풸뷏잿ꆣ쯹틔,틀NAi,t-2+a4PECi,t-1+a5ꚤD/NAiti,t-1+a6ꚤe/NAiti,t-1+ꇆa7myearm+뻝컒맺짏쫐릫쮾쳘쫢뗄훆뛈놳뺰,컒쏇뛔폚컒맺짏쫐릫쮾쿖뷰돖폐ꇆa8nindustryn+ꛅ1(4)맽솿뗄춶쪹폃탐캪쳡돶틔쿂뗄퇐뺿볙짨:31럖컶쿖뷰돖폐맽솿횵뛔릫쮾튵벨뗄펰쿬틔벰맽솿쿖뷰뗄춶볙짨1:쿖뷰돖폐맽솿릫쮾,뎤웚춶뫍만뚨닺춶폫쿖뷰돖쪹폃킧싊ꆣ컒쏇틔릫쮾튵벨(ퟜ닺쫕틦싊ROA)캪틲뇤솿,ퟔ뇤폐맽솿횵돊쿔훸헽쿠맘맘쾵ꆣ솿틽죫쿖뷰돖폐맽솿횵붨솢쒣탍(5),늢퓚듋믹뒡짏틽죫쿖뷰돖폐볙짨2:돖탸탔맽솿릫쮾쿠뛔퓝쪱탔릫쮾뛸퇔,뎤웚춶뫍만뚨솿횵폫춶솿뗄붻뮥뇤솿붨솢쒣탍(6)ꆣ럖뇰럖컶:쿖뷰돖폐맽솿닺춶쓜솦쯦맽솿횵뗄퓶볓뛸퓶볓ꆣ횵뛔릫쮾튵벨뗄펰쿬;쿖뷰돖폐맽솿횵펰쿬쿂뗄춶탐캪뛔릫쮾튵(뛾)쿖뷰돖폐맽솿뗄춶킧싊벨뗄릱쿗뛈듳킡ꆣ춬쪱,퓚(5)-(6)쒣탍뗄믹뒡짏,틔뺻닺컒맺짏쫐릫쮾쏦쇙뗄쳘쫢훆뛈놳뺰캪뺭샭죋뗄ꆰퟔ샻탐캪ꆱ뒴쫕틦싊ROE캪틲뇤솿뛔틔짏럖컶뷸탐컈붡탔볬퇩ꆣ퓬쇋뫜뫃뗄쳵볾,쿖뷰돖폐풽뛠,뺭샭죋뿉ퟔ평횧엤뗄풴퓶뛠ROA=ꛁ,it0+ꛁ1SI/NAtt-1+ꛁ2LI/NAtt-1+ꛁ3FI/NAtt-1+풽뿉쓜믹폚ퟔ짭샻틦뾼싇붫맽솿쿖뷰폃폚ꆰ퓶볓ퟔ짭뷲쳹ꆢ퓚횰쿻ꛁ4PECi,t-1+ꛌ1(5)럑ꆱ믲ퟶ돶쪹릫쮾볛횵쿂뗸뗄춶뻶닟ROA=ꛁ,퓬돉ꆰ춶맽뛈ꆱ뗄컊쳢ꆣit0+ꛁ1SI/NAtt-1+ꛁ2LI/NAtt-1+ꛁ3FI/NAtt-1+돂톩럥ꆢ컌뻽?(2002)틔엤막릫쮾캪샽,쪵횤랢쿖쿖뷰뢻폠릫쮾ꛁ4PECi,t-1+ꛁ5PECi,t-1ꇁSI/NAtt-1+ꛁ6PECi,t-1+훐쿖뷰돖폐솿풽뛠릫쮾튵벨풽닮[17]ꆣ춬쪱,돖탸탔쿖뷰돖폐맽솿릫ꛁ7PECi,t-1ꇁFI/NAtt-1+ꛌ3(6)쮾뗄뺭샭죋뿉ퟔ평닙뿘뗄뿕볤뷏듳,룼뿉쓜ퟶ돶늻샻폚릫쮾튵벨퓶ꆪ68ꆪ
뇭1뇤솿뚨틥뇤솿쏻돆뇤솿몬틥ln(cash/NA)ln(믵뇒뷰+뛌웚춶)/(ퟜ닺-믵뇒뷰뫍뛌웚춶),뇭쪾릫쮾쪵볊쿖뷰돖폐솿EXPln(cash/NA)릫쮾맀볆쿖뷰돖폐솿,틔쒣탍(1)뗃떽뗄룷믘맩쾵쫽듺죫쒣탍(2)뛸뗃떽EC릫쮾쪵볊쿖뷰돖폐솿폫맀볆쿖뷰돖폐솿횮닮,뇭쪾릫쮾뎬뛮쿖뷰돖폐솿PEC릫쮾쪵볊쿖뷰돖폐듳폚맀볆쿖뷰돖폐솿뗄솿,뇭쪾릫쮾쿖뷰돖폐맽솿횵,볇캪PECln(A)ln(ퟜ닺),뇭쪾릫쮾맦쒣dummydividend랢럅막샻,쇮캪1;랴횮,캪0D/Aퟜ뢺햮/ퟜ닺=(뢺햮ퟜ뛮+짙쫽막뚫좨틦)/ퟜ닺,뇭쪾릫쮾룜룋놾횧돶/(ퟜ닺-믵뇒뷰뫍뛌웚춶)I/NA=(t쓪탂퓶만뚨닺뺻횵+t쓪탂퓶헛뻉)/(ퟜ닺-믵뇒뷰벰뛌웚춶)쿖뷰쇷솿/(ퟜ닺-믵뇒뷰뫍뛌웚춶)=(쾢쮰뫳뺻샻죳+떱쓪헛뻉-막샻)/(ퟜ닺-CF/NA믵뇒뷰벰뛌웚춶),뇭쪾펯샻쓜솦Std(CF/NA)[t-2쓪훁t쓪쿖뷰쇷솿/(ퟜ닺-믵뇒뷰벰뛌웚춶)]뗄뇪ힼ닮,뇭쪾릫쮾쿖뷰쇷솿늨뚯탔ퟜ닺쫐횵볛횵/ퟜ닺헋쏦횵=(ퟜ닺헋쏦볛횵-막뚫좨틦뫏볆+쇷춨막쫐횵+럇쇷춨막쫐M/B횵)/ퟜ닺헋쏦횵=[ퟜ닺헋쏦볛횵-막뚫좨틦뫏볆+퓂룶막쇷춨쫐횵+(막뚫좨틦뫏볆/ퟜ막놾)3(ퟜ막놾-쇷춨막막쫽)]/ퟜ닺헋쏦횵,뇭쪾춶믺믡(펪퓋놾-쿖뷰돖폐)/(NWퟜ닺-믵뇒뷰뫍뛌웚춶)C/NA=(쇷뚯닺-쇷뚯뢺햮-믵뇒뷰벰뛌웚춶)/(ퟜ닺-믵뇒뷰벰뛌웚춶)year쓪뛈탩쓢뇤솿,틔1998쓪ퟷ캪믹ퟩindustry탐튵탩쓢뇤솿,틔얩ꆢ쇖ꆢ쓁ꆢ폦튵ퟷ캪믹ퟩ(떱쓪폫짏쓪만뚨닺뺻횵횮닮+떱쓪헛뻉횧돶)/(ퟜ닺-믵뇒뷰뫍뛌웚춶),뇭쪾릫쮾탂FI/NA퓶만뚨닺춶LI/NA떱쓪폫짏쓪뎤웚춶횮닮/(ퟜ닺-믵뇒뷰뫍뛌웚춶),뇭쪾릫쮾탂퓶뎤웚춶SI/NA떱쓪폫짏쓪뛌웚춶횮닮/(ퟜ닺-믵뇒뷰뫍뛌웚춶),뇭쪾릫쮾탂퓶뛌웚춶S/NA훷펪튵컱쫕죫/(ퟜ닺-믵뇒뷰뫍뛌웚춶),뇭쪾릫쮾떱잰뗄돉뎤탔ROA뺻샻죳/욽뻹ퟜ닺,뇭쪾릫쮾ퟜ닺쫕틦싊ROE뺻샻죳/욽뻹뺻닺,뇭쪾릫쮾뺻닺쫕틦싊ꡓ(Dit/NA떱쓪뢺햮ퟜ뛮-짏쓪뢺햮ퟜ뛮)/(짏쓪뗄ퟜ닺-짏쓪뗄믵뇒뷰뫍뛌웚춶),i,t-1뇭쪾릫쮾탂퓶뢺햮뇈훘ꡓ(떱쓪막놾놾릫믽-짏쓪막놾놾릫믽)/(짏쓪뗄ퟜ닺-짏쓪뗄믵뇒뷰뫍뛌웚춶),eit/NAi,t-1뇭쪾릫쮾탂퓶췢늿막좨죚뇈훘ꆡꆡ힢:붻뮥뇤솿뚨틥싔ꆣꆡꆡ(뛾)퇹놾톡퓱(4)캪쇋퓶볓퇹놾솿,1998쓪틔잰뗄짏쫐릫쮾늿럖뇤솿뗄볆쯣놾컄톡폃뗄퇹놾쫇1998-2006솬탸4쓪틔짏폐쇏뗄뮦짮막쫐폃떽1994-1997쓪뗄쫽뻝ꆣ뗄짏쫐릫쮾,쇏살ퟔ짮?맺첩낲뗄CSMAR닆컱벰쫐뎡붻틗쫽뻝뿢죽ꆢ쪵횤뷡맻럖컶훐뗄쓪뛈샻죳뇭ꆢ닺뢺햮뇭틔벰뮦짮A막퓂붻틗횸뇪ꆣ퇹놾즸톡(튻)쿖뷰돖폐맽솿폫늻ퟣ뗄에뚨풭퓲죧쿂:컒쏇틔릫쮾뗄돉뎤탔ꆢ룜룋ꆢ맦쒣ꆢ펯샻쓜솦ꆢ놾횧돶ꆢ뺻(1)뾼싇떽쳘쫢탐튵뗄펰쿬,쳞돽쇋뷰죚ꆢ횤좯샠릫쮾ꆣ펪퓋놾뗈ퟷ캪뷢쫍뇤솿,틔릫쮾쿖뷰돖폐솿(ln(cash/NA))ퟷ(2)뾼싇떽틬뎣횵뗄펰쿬,쳞돽쇋쓪뛈닺뢺햮싊듳폚1뗄퇹캪놻뷢쫍뇤솿ꆣ퓋폃쒣탍(1)-(3)ퟶ믘맩럖컶,에뇰릫쮾쿖뷰놾릫쮾뫍쯹폐STꆢPT릫쮾ꆣ돖폐맽솿폫럱ꆣ뷡맻볻뇭2ꆣ룷뷢쫍뇤솿뗄뷢쫍쓜솦캪2015%,컒(3)퓚쫽뻝뒦샭짏,뛔폚샻죳뇭벰닺뢺햮뇭쓪쒩놨뇭쫽뻝좱쏇붫웤믘맩쾵쫽틽죫쒣탍(2),맀볆돶퇹놾릫쮾뗄헽뎣쿖뷰돖폐솿,쪧뗄퇹놾폃쿂튻쓪뗄쓪돵쇏쳦듺,붫A막12퓂붻틗횸뇪쇏좱쪧퓙폃쒣탍(3)볆쯣돶쪵볊뫍헽뎣쿖뷰돖폐솿뗄닐닮,틔닐닮ퟷ캪릫뗄퇹놾폃짏튻룶퓂럝믲놾쓪뛈폫웤ퟮ뷓뷼뗄퓂럝쇏쳦듺ꆣ붫컞램쮾쿖뷰돖폐맽솿뮹쫇늻ퟣ뗄뫢솿뇪ힼꆣ닐닮듳폚0,릫쮾쿖뷰돖폐맽뷸탐틔짏닙ퟷ뗄쫽뻝좱쪧퇹놾업돽ꆣ솿;닐닮킡폚0,릫쮾쿖뷰돖폐늻ퟣꆣꆪ69ꆪ
ꆡꆡ뇭2쿖뷰돖폐펰쿬틲쯘뗄믘맩럖컶뎣쫽쿮(NWCdummyStdln(A)(M/B)(D/A)(CF/NA)(I/NA)ititititit/NAj-R2퇹놾솿)itdividend(CF/NAAd)it-319750110001125-11727-1106811996-019140134001075012057149(01000)(01000)(01000)(01000)(01000)(01000)(01000)(01000)(01620)ꆡꆡ힢:삨뫅쓚캪P횵ꆣ틲뇤솿캪쿖뷰돖폐솿ln(Cash/NA)tꆣ쟒뿘훆쇋탐튵뫍쪱볤뗄펰쿬,캪볲뮯웰볻,캴ퟷ쿠맘놨룦ꆣꆡꆡ(뛾)쿖뷰돖폐맽솿폫릫쮾뗄춶탐캪럖컶맽솿(t-3쓪쿖뷰돖폐늻ퟣ)ꆢ잰죽쓪쿖뷰돖폐맽솿죽ퟩꆣ퓋폃뛠풪쫗쿈믘맩쒣탍(4),럖컶웚돵쿖뷰돖폐맽솿폫춶솿횮볤뗄맘쾵(볻뇭,캪퇩횤볙짨1ꆰ쿖뷰돖폐맽솿릫쮾,뎤웚춶뫍만뚨닺춶폫쿖뷰돖폐맽솿횵돊쿔훸헽쿠맘맘쾵ꆱ뗄볙쮵,컒쏇틔쿖뷰3)ꆣ웤훐,퓝쪱탔쿖뷰돖폐맽솿릫쮾,만뚨닺춶쯦쿖뷰돖폐맽돖폐맽솿릫쮾캪퇹놾솿뗄퓶볓뛸쿂붵;뎤웚춶폫쿖뷰돖폐맽솿돊쿔훸헽쿠맘맘쾵;쿖,퓋폃쒣탍(4)늢뛔웤뷸탐룄뷸,럖뇰뻍만뚨닺춶ꆢ뎤웚춶뫍뛌웚춶뷸탐쿠맘믘맩럖컶(볻뇭3,쿖뷰뷰돖폐맽솿횵폫뛌웚춶솿컞쾵춳쿠맘탔;돖탸솽쓪믲죽쓪돖폐쿖돖폐맽솿퇹놾(1)(2)(3))ꆣ믘맩럖컶랢쿖,쿖뷰돖맽솿폫뎤웚뷰맽솿릫쮾,쿖뷰돖폐맽솿뛔만뚨닺춶컞쾵춳쿠맘탔;쿖뷰돖춶쿔훸헽쿠맘;폫뛌웚춶쿔훸뢺쿠맘ꆣ쿖뷰돖폐맽솿풽뛠뗄릫폐맽솿횵폫뎤웚춶돊쿔훸헽쿠맘맘쾵,폫뛌웚춶돊쿔훸뢺쿠맘쮾맘쾵ꆣ돖탸탔쿖뷰돖폐맽솿뗄릫쮾폫퓝쪱탔쿖뷰돖폐맽솿릫쮾쿠뇈,,풽폐쓜솦맘힢뎤웚탔춶ꆣ쪵횤뷡싛늿럖횧돖볙짨1ꆣ웤듎,캪쇋횤쪵퓝쪱탔폫돖탸탔쿖뷰돖폐맽솿릫쮾춶탐캪쫇돖탸맽솿릫쮾뗄뎤웚춶쓜솦쯦맽솿횵퓶볓뛸퓶볓,뛌웚춶쯦맽럱폐닮틬,컒쏇틀뻝릫쮾잰죽쓪쿖뷰돖폐솿쟩뿶붫퇹놾뮮럖캪잰튻솿퓶볓뛸복짙;퓝쪱탔맽솿릫쮾뗄만뚨닺춶쓜솦쯦맽솿횵퓶볓쓪쿖뷰돖폐맽솿(뛸쿂붵ꆣ쪵횤뷡싛늿럖횧돖볙짨2ꆣt-2,t-3쓪쿖뷰돖폐늻ퟣ)ꆢ잰솽쓪쿖뷰돖폐뇭3쿖뷰맽솿릫쮾맽솿폫춶탐캪맘쾵럖컶쿖뷰돖폐맽솿퇹놾잰튻쓪쿖뷰돖폐맽솿잰솽쓪쿖뷰돖폐맽솿잰죽쓪쿖뷰돖폐맽솿(1)(2)(3)(1)(2)(3)(1)(2)(3)(1)(2)(3)뎣쫽쿮01001-010110100401035-01057-01010-01019-01115-0100601023-0102001015(01979)(01361)(01702)(01679)(01162)(01569)(01922)(01019)(01670)(01600)(01270)(01183)-0100301018-010130100501105-01007-0159501012010060103201007-01010CFNAt-1/t-2(01940)(01171)(01237)(01966)(01052)(01754)(01015)(01845)(01699)(01401)(01650)(01311)-01036(M010010100001010-0100501000-01040-0101601004-0100301007-01005/B)t-1(01000)(01650)(01903)(01638)(01606)(01970)(01385)(01185)(01181)(01812)(01212)(01097)-010080100401002-010190102001001-010790102001003010050100101003S/NAt-1t-2(01157)(01036)(01269)(01358)(01040)(01984)(01003)(01004)(01088)(01376)(01795)(01052)-0101301023-01012-0109101061-01006-0104701021-01009-0100501013-01011(PEC)t-1(01216)(01000)(01000)(01007)(01000)(01372)(01406)(01008)(01020)(01658)(01007)(01000)ꡓ0150201024010100127201021010061131601004-01009012160102401005D/NAtt-1(01000)(01000)(01007)(01000)(01275)(01457)(01000)(01681)(01001)(01000)(01000)(01159)ꡓ01206011940101001194-01029010090114401556-01001011550126701007e/NAtt-1(01000)(01000)(01244)(01055)(01548)(01661)(01313)(01000)(01949)(01000)(01000)(01477)yearYesYesYesYesYesYesYesYesYesYesYesYesIndustryYesYesYesYesYesYesYesYesYesYesYesYesR2013340114801028012840123101059018960153701211011750122401039뗷헻R20132901142010210121101153-01037017870150101149011610121101023sig010000100001000010000100001910010000100001000010000100001000N333633363336240240240305305305134113411341ꆡꆡ힢:삨뫅쓚캪P횵ꆣ뇭훐(1)ꆢ(2)ꆢ(3)뗄틲뇤솿럖뇰캪만뚨닺춶ꆢ뎤웚춶ꆢ뛌웚춶ꆣꆪ70ꆪ
ꆡꆡ(죽)쿖뷰돖폐맽솿폫릫쮾튵벨틔벰맽솿쿖뷰쿖뷰돖폐뛔릫쮾튵벨쳡짽컞릱쿗ꆣ쪵횤뷡싛횧돖볙짨3ꆣ뗄춶쪹폃킧싊럖컶웤듎,컒쏇틽죫쿖뷰돖폐맽솿횵폫춶탐캪뗄붻뮥뇤솿,퓋폃쿖뷰돖폐맽솿,튻훖뿉쓜쫇폐샻폚릫쮾힡뫃뗄춶믺믡쒣탍(6)럖컶맽솿쿖뷰돖폐뗄춶쪹폃킧싊ꆣ듓맽솿쿖뷰돖폐릫쮾,쳡짽릫쮾볛횵;튻훖뿉쓜퓲쫇퓶볓뺭샭죋뗄ퟔ평뒦훃좨뗄럖컶뷡맻뾴,쿖뷰돖폐맽솿횵뗄춶쪹폃(벴(PEC)i,t-1ꇁLIt/,퓬돉춶맽뛈뗄쿖쿳ꆣ컒맺짏쫐릫쮾쿖뷰돖폐맽솿쫇럱폐샻폚릫쮾튵벨쳡짽NAt-1ꆢ(PEC)i,t-1ꇁFI/NAtt-1ꆢ(PEC)i,t-1ꇁSI/NAtt-1)폫릫쮾?컒맺짏쫐릫쮾쿖뷰돖폐맽솿뗄춶쪹폃탐캪쫇럱뫏샭?컒쏇럖뇰춨튵벨컞쿔훸쿠맘맘쾵,헢뇭쏷쿖뷰돖폐맽솿릫쮾맽솿쿖뷰뗄춶쪹맽쿖뷰돖폐맽솿횵폫릫쮾튵벨뗄맘쾵틔벰맽솿횵ꆢ춶솿뗄붻뮥펰폃뛔릫쮾튵벨뇭쿖컞릱쿗,듦퓚맽뛈춶뗄쿖쿳ꆣ퓝쪱탔맽솿뗄릫쿬뇤솿뫍릫쮾튵벨뗄맘쾵뷸탐뾼달ꆣ죴쿖뷰돖폐맽솿횵틔벰붻뮥펰쮾,맽솿쿖뷰뗄춶쪹폃폫튵벨컞쿔훸쿠맘맘쾵,헢뇭쏷퓝쪱탔쿖쿬뇤솿폫릫쮾튵벨헽쿠맘,쮵쏷쿖뷰돖폐솿ꆢ쿖뷰돖폐맽솿뗄춶뷰돖폐맽솿릫쮾붫맽솿쿖뷰폃떽뎤뛌웚춶ꆢ만뚨닺춶뗄탐캪쪹폃탐캪폐샻폚릫쮾볛횵뗄쳡짽,맽솿쿖뷰뗄춶탐캪샭탔;랴횮듦퓚맽뛈춶뗄쿖쿳,늻뷶늻샻폚릫쮾튵벨퓶뎤,랴떹붵뗍릫쮾튵,퓲쮵쏷쿖뷰돖폐맽솿늻샻폚릫쮾튵벨쳡짽,맽솿쿖뷰뗄춶쪹폃뗍벨뇭쿖ꆣ돖탸솽쓪돖폐맽솿뗄릫쮾,맽솿쿖뷰뗄뛌웚춶탐캪폫릫킧쮾튵벨럖뇰돊쿔훸헽쿠맘맘쾵;맽솿쿖뷰뗄뎤웚춶뫍만뚨닺춶,쿖뷰돖폐맽솿릫쮾뿉쓜듦퓚춶맽뛈컊쳢ꆣ뻟쳥럖컶뷡맻볻쿂튳뇭4ꆣ쪹폃탐캪폫릫쮾튵벨컞쿔훸쿠맘맘쾵ꆣ돖탸죽쓪쿖뷰돖폐맽솿뗄쫗쿈릫쮾,맽솿쿖뷰뗄뎤뛌웚춶ꆢ만뚨닺춶쪹폃탐캪폫릫쮾튵벨,컒쏇퓋폃쒣탍(5)럖컶쿖뷰돖폐맽솿뛔릫쮾튵벨뗄펰쿬ꆣ듓쿖뷰돖폐맽솿릫쮾뗄럖컶뷡맻쇋뷢떽쿖뷰돖폐솿횵컞쿔훸쿠맘맘쾵믲돊쿔훸뢺쿠맘맘쾵ꆣ틔짏뗄쪵횤뷡싛뇭쏷,돽쇋돖탸솽쓪쿖뷰돖폐맽솿릫쮾,맽솿쿖뷰뗄뛌웚춶탐캪킧싊뷏룟췢,(PEC)i,t-1폫릫쮾튵벨쿔훸뢺쿠맘맘쾵,헢쮵쏷쿖뷰돖폐맽솿릫쮾,맽솿쿖뷰뛔릫쮾튵벨쳡짽컞릱쿗ꆣ춬쪱,듓퓝쪱탔맽솿폫돖탸탔맽쿖뷰돖폐맽솿릫쮾,컞싛쫇퓝쪱탔맽솿뮹쫇돖탸탔맽솿뗄릫쮾,맽솿릫쮾뗄춶킧싊럖컶뷡맻뾴,쿖뷰돖폐솿횵(PEC)i,t-1폫릫쮾튵솿쿖뷰돖폐뗄춶쪹폃킧싊뗍쿂,맽솿쿖뷰뗄춶쪹폃탐캪웕뇩듦벨컞쾵춳쿠맘맘쾵믲돊쿔훸뢺쿠맘맘쾵ꆣ평듋뿉쮵쏷,쿖뷰돖폐맽퓚맽뛈춶쿖쿳ꆣ퇐뺿볙짨4뗃떽횧돖,퇐뺿볙짨5늢쎻뗃떽쪵횤솿뗄릫쮾,컞싛쫇퓝쪱탔맽솿뗄릫쮾뮹쫇돖탸탔맽솿뗄릫쮾횧돖ꆣ,맽솿뇭4쿖뷰돖폐맽솿퇹놾벰퓝쪱탔믲돖탸탔맽솿퇹놾쿖뷰돖폐맽솿펰쿬쿂뗄춶킧싊쿖뷰돖폐맽솿퇹놾잰튻쓪쿖뷰돖폐맽솿잰솽쓪쿖뷰돖폐맽솿잰죽쓪쿖뷰돖폐맽솿(1)(2)(1)(2)(1)(2)(1)(2)뎣쫽쿮0102201021010070100601024010200102201020(01000)(01000)(01352)(01477)(01000)(01000)(01000)(01000)-01009-010080100401011-01019-01011-01016-01014(PEC)i,t-1(01001)(01004)(01809)(01510)(01023)(01178)(01000)(01001)0101801034010600111201381-01181-0103901116SIt/NAt-1(01240)(01437)(01695)(01725)(01002)(01385)(01293)(01270)0108301113012590136501040-010340106001097LIt/NAt-1(01000)(01000)(01000)(01000)(01101)(01624)(01003)(01073)0101701024010600108101007-010010102801062FIt/NAt-1(01000)(01000)(01039)(01044)(01089)(01851)(01002)(01003)(PEC)i,t-1-01016-0101201589-011443SI/NAtt-1(01725)(01972)(01001)(01122)(PEC)i,t-1-01033-0121301005-010333LI/NAtt-1(01244)(01125)(01945)(01537)-01009-0106901006-01033(PEC)i,t-13FI/NAtt-1(01145)(01357)(01359)(01074)R20102301024010820109201066011000102601030뗷헻R20102201022010660106501053010790102301025sig0100001000010000100201000010000100001000N3336333624024030530513411341ꆡꆡ힢:삨뫅쓚캪P횵ꆣ틲뇤솿캪ퟜ닺쫕틦싊ROAꆣ뇭훐럖컶뷡맻(1)쫇뾼달늻춬춶탐캪틔벰뎬뛮쿖뷰솿뛔릫쮾튵벨뗄펰쿬;럖컶뷡맻(2)퓲쫇뾼달퓚뎬뛮쿖뷰펰쿬쿂뗄늻춬춶탐캪뗄춶킧싊ꆣ틔뺻닺쫕틦싊ROE캪틲뇤솿뗄럖컶뷡맻폫횮튻훂,쪡싔ꆣꆪ71ꆪ
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