主题：The Asymmetric Impact of Cash Flow on Leverage Adjustment in China: Evidence from a Dynamic Panel Threshold Model

报告人：赵钊 博士

时间：11月23日（周五）晚上19:00 –21：00

地点：外经楼五楼经济学系会议室

报告人简介：赵钊，华中科技大学经济学博士，华中科技大学经济学院讲师，瑞士苏黎世大学访问学者，主要研究领域为数量经济学、金融学。主要研究成果发表在《Journal of Financial Econometrics》、《Empirical Economics》、《Applied Economic Letters》和《中国管理科学》，主持国家自然科学基金青年项目和教育部人文社科基金1项。

主要内容：This paper investigates the impact of cash flow on firms’ adjustment towards their leverage targets. Recent studies have emphasized the heterogeneity in adjustment speeds and targets in different regimes classified by different features of cash flow. To capture the nonlinear effect of cash flow on leverage adjustment, we employ a dynamic panel threshold model and estimate it with Seo and Shin’s (2016) FD-GMM method, which allows the threshold variable and the regressors to be endogenous simultaneously. Using a dataset of Chinese listed firms from 2004 to 2016, we find strong evidence for the asymmetric effect of the absolute value of cash flow not only on the target leverage but also on the speed of adjustment. Further, we add an interaction between a dummy variable for the sign of cash flow and the lagged leverage in the threshold partial adjustment model to test whether the sign of cash flow matters, and we find that the effect is also asymmetric. Taken together, our empirical results support the dynamic trade-off theory and that firms with large positive or negative cash flow have relatively low marginal adjustment costs, which promotes their rapid adjustment towards their leverage targets.