金融资产配置与违约风险:蓄水池效应,还是逐利效应？

本文以2007—2016年中国A股上市公司为研究对象,检验了企业金融资产配置对违约风险的影响。实证研究发现:金融资产持有量越多,企业的违约风险越低,金融资产配置的“蓄水池效应”显著;在货币政策宽松时期,金融资产配置导致的代理冲突显现,宽松的货币政策会抑制金融资产投资对违约风险的降低作用。政府规制也会有一定的公司治理作用,将产业政策纳入讨论发现:对于产业政策支持的行业来说,企业金融资产配置能够降低违约风险,但是宽松的货币政策会刺激管理层的短视投资行为,抑制政府规制的公司治理作用。进一步地,本文提出会计稳健性的提升是企业金融资产配置降低违约风险的重要路径。本文的研究结论丰富了企业金融资产配置动机和违约风险影响因素的讨论,能够为政府部门防范经济运行中的内在风险提供有益借鉴。

Financial Asset Allocation and Default Risk: The Reservoir Effect versus the Profit-Seeking Effect

As China adjusts to its new stage of economic development and the globalization of trade and finance, corporate investment enthusiasm is waning. This is due to the reduced profits of traditional industries, a decline in the labor force and a lower labor-capital ratio. Stocks, bonds, some financial derivatives and other financial assets have become the hot areas of corporate investment. Debt default is a major disruptive event in a firm's operation and the default risks of both private firms and state-owned enterprises have been rising since March 2014, meaning that lowering the debt risk of enterprises has become a focus of local government departments. Chiang et al. (2015) and Brogaard et al. (2017) construct a simplified default probability model based on the work of Bharath and Shumway (2008), who document that corporate default risk is closely related to the absolute value and the volatility of asset values, suggesting that better corporate governance mitigates corporate default risk.
From a micro perspective, a firm's financial asset allocation decision is influenced by two mechanisms, the reservoir effect and the profit-seeking effect. The reservoir effect arises because financial assets can stabilize a company's income and reduce the company's financing costs, both of which enhance the company's development potential. An implication of the profit-seeking effect is that holding too many financial assets threatens a firm's main business, inhibits the productivity of its physical investment and damages its long-term development. We focus on the agency cost in the financial asset allocation decision. We show that if the reservoir effect is the main driver of the financial asset allocation decision, financial asset investments arise from a strategic choice made by management to maintain the stable development of the enterprise, which reduces the agency cost. If the profit-seeking effect dominates, financial asset investments are the result of management myopia and so aggravate the agency conflicts between shareholders and managers.
Using data on China's A-share listed firms from 2007 to 2016, we find that firms with more corporate financial assets have lower default risks, so the reservoir effect of financial asset allocation is significant. However, agency conflict is greater when monetary policy is loose, as loose monetary policy attenuates the negative relation between corporate financial asset holding and default risk.
The government can adjust the structure of the national economy by formulating industrial plans appropriate for China's institutional setting. However, the information asymmetry between firms and the government means that the policies implemented by government regulators can have uncertain policy effects and adverse selection on the part of management can increase the risk of corporate default. In this paper, we discuss the effect of industry policy on the relation between a firm's financial asset allocation and its default risk and find that the reservoir effect is significant for firms belonging to industries supported by China's industrial plan, suggesting that government regulation alleviates enterprises' agency problems. However, supportive industrial policy exacerbates the adverse selection problem for management when monetary policy is loose, so financial asset investment is an important factor influencing corporate default risk. In addition, we use the quality of accounting information as a measure of agency costs and find that accounting conservatism mediates the relation between a firm's financial asset allocation and its default risk.
We make several contributions in this paper. First, we examine the effect of a firm's financial asset allocation on its corporate default risk, enriching discussion of which factors drive corporate default risk. Our results reveal the internal reason for the risk changes of China's listed companies and provide theoretical guidance for regulatory authorities on making policy. Second, we investigate the path of influence of financial asset allocation on default risk through agency cost, allowing us to explore the internal logic of the influence of a firm's financial asset allocation on its default risk and deepening the discussion of the motivations for financial asset allocation decisions. Finally, we verify the moderating effects of monetary policy and industrial policy on the relation between a firm's financial asset allocation and its default risk, contributing to the literature on macroeconomic policy and micro corporate behavior and providing useful evidence that the government can use to improve the effectiveness of policy.