투자-현금흐름 민감도에 대한 실증연구

국문 초록 (Abstract)

기업의 투자지출이 현금흐름에 따라 변화하는 것인가 또한 변화한다면 얼마나 민감하게 반응하는 가는 오랫동안 기업금융 영역에서 연구자들의 논쟁 대상이 되어왔다. 본 연구는 첫째, 이러한 투자-현금흐름 민감도에 대한 기존의 논쟁을 이론적으로 재검토하고, 둘째, 미국 기업에 대한 1998년에서 2007년도에 걸친 대규모 패널데이터를 사용하여 실증연구를 실시하였다. 본 연구의 실증분석에서는 내부 현금흐름이 기업 투자지출 결정에 미치는 영향을 검증하기 위해 Wald 테스트, 고정효과 FGLS 회귀분석, 동태적 GMM 회귀분석, 하위표본 회귀분석 등 다양한 계량분석방법을 이용하여 기존 실증연구에 비해 보다 더 정교하게 투자-현금흐름 민감도를 살펴보았다. 실증연구결과에 의하면 첫째, 투자와 현금흐름 간에는 U자형 관계가 존재한다. 즉, 낮은 수준의 내부자금에서는 현금흐름이 증가함에 따라 투자는 오히려 감소하다가, 내부 자금이 어느 수준 이상을 초과하면 투자는 현금흐름이 증가함에 따라 지출이 증가하는 현상이 관찰되었다. 둘째, 금융제약이 있는 기업의 경우 현금흐름은 투자에 대해 영향이 미약하거나 부(-)의 영향을 미치고, 금융제약이 없는 기업의 경우 현금흐름은 투자에 대해 정(+)의 영향을 미친다. 이러한 실증결과는 최근의 관련된 실증연구 결과들을 대체적으로 확증하고 있다.

다국어 초록 (Multilingual Abstract)

This study theoretically examines the long-debated issues of investment-cash flow sensitivity in the area of corporate finance, and empirically conducts an analysis, using a large panel data set of US firms over the 1998-2007 period. Specifically, this paper uses various econometric methods such as the Wald test, fixed effects FGLS regression, dynamic GMM regression, and subsample regression to estimate the influence of internal funds on investment and to examine the debate between Fazzari et al. (1988, 2000) and Kaplan and Zingales (1997, 2000). This study finds that i) there is a U-shaped relationship between investment and cash flow; and ii) a weak or negative impact of cash flow on investment is observed for financially constrained firms but a positive impact of cash flow is found for non-financially constrained firms. These findings are consistent with recent empirical studies, and provide the evidence that reconciles the two points of view in the debate. The view of Fazzari et al. is confirmed for firms with high cash flow and the view of Kaplan and Zingales is supported for firms with low cash flow. By using different methods, variables, and a large data set, this paper contributes to the recent literature that attempts to reconcile the two conflicting views in the debate.

목차 (Table of Contents)

• 요약
• ABSTRACT
• I. Introduction
• Ⅱ. Previous Studies and Hypotheses
• Ⅲ. Research Design
• IV. Empirical Findings
• V. Conclusion
• References

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