금융제약과 투자-현금흐름 민감도 간의 관계에 관한 장기분석

The current study is purposed to investigate the effects of financing constraints on the sensitivity of firm investment to cash flow using the data for the Korean listed firms over the 1990-2006 sample period. The paper estimates Euler model instead of q model using GMM. The investment model includes interaction terms for two endogenous variables, debt-to-asset ratio and dividend payout, to test their additional effects on cash flow-investment sensitivities. The same equations are also estimated for each group by classifying the sample firms into chaebol and nonchaebol groups and also large-sized and small and medium-sized groups. The present paper is differentiated from previous studies in considering changes in endogenous variables over time and analyzing the interaction effects of both the endogenous and exogenous variables on investment-cash flow sensitivities simultaneously. The estimation results for the total sample firms supports the hypothesis that the increase in cash flow leads to the increase in investment. The estimation results also show that higher leverage and dividend payout lead to lower investment-cash flow sensitivities, supporting both the financing constraints hypothesis and overinvestment hypothesis. When we estimate the investment equations for the groups classified by the two exogenous variables, the results remain largely unchanged except for the dividend payout variable. The estimates for the coefficients of the payout variable, however, show conflicting results between the two classifications. In short, the regression results of this study support both the financing constraints hypothesis and the overinvestment hypothesis. The regression results, however, do not reveal significant differences in investment-cash flow sensitivity between the two groups in either classification. At least for the listed Korean firms, we can conclude that the endogenous variables such as debt ratio and dividend payout are more important factors that influence investment-cash flow sensitivities, whereas the exogenous variables such as chaebol and firm size may be the poor criteria in reflecting the degree of financing constraints.