企业不确定性感知、投资决策和金融资产配置

Abstract

Most of the existing literature on how economic policy uncertainty affects corporate behaviour considers changes in uncertainty to be due to purely macroeconomic shocks, rarely taking into account how individual firms perceive such uncertainty. In this paper we use text mining tools to extract a measure of the economic policy uncertainty perceived by individual firms listed on Chinese stock markets from their annual reports between 2007 and 2018. Empirical results show that after controlling macroeconomic factors, an increase in the perceived economic policy uncertainty index leads to a reduction in corporate investment and an increase in financial asset holdings, and the results are mainly driven by private firms' samples. The mechanism analysis shows that economic policy uncertainty reduces investment by increasing firms' financial costs and reducing management incentives. At the same time, in firms with a higher degree of financial investment relative to the industrial investment return-to-variability ratio, the amount of financial asset allocation increases further as the perception index of uncertainty increases. The research in this paper concerning firm perception of economic policy uncertainty has important theoretical implications for the recent work on 'stabilising investment and expectations'.