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1、Journal of Banking & Finance 28 (2004) 901–930www.elsevier.com/locate/econbaseThe impact of negative cash flow andinfluential observations on investment–cashflow sensitivity estimates qGeorge Allayannisa,*, Abon Mozumdarb,1aDarden Graduate School of Business, University
2、 of Virginia, P.O. Box 6550,Charlottesville, VA 22906, USAbPamplin College of Business, Virginia Tech, 7054 Haycock Road, Falls Church, VA 22043, USAReceived 6 May 2002; accepted 5 December 2002AbstractKaplan and Zingales [Quart. J. Econ. 112 (1997) 169] and Clearly [J.
3、 Finance 54 (2) (1999)673] diverge from the large literature on investment–cash flow sensitivity by showing thatinvestment is most sensitive to cash flow for the least financially constrained firms. We exam-ine if this result can be explained by the fact that when firms are i
4、n sufficiently bad shape(incurring cash losses), investment cannot respond to cash flow. We find that while Cleary’sresults can be explained by such negative cash flow observations, the Kaplan–Zingales resultsare driven more by a few influential observations in a small sample.
5、 We also record a decline ininvestment–cash flow sensitivity over the 1977–1996 period, particularly for the most con-strained firms.2003 Elsevier B.V. All rights reserved.JEL classification: G31; G32Keywords: Financing constraints; Cash flow; InvestmentqEarlier versions of
6、 the paper were circulated under the title Resolving the Investment–Cash FlowSensitivity Puzzle: Negative Cash Flows and Influential Observations .*Corresponding author. Tel.: +1-934-924-3434; fax: +1-934-243-5021.E-mail addresses: allayannisy@darden.virginia.edu (G. All
7、ayannis), abon@vt.edu (A. Mozumdar).1Tel.: +1-703-538-8414.0378-4266/$ - see front matter2003 Elsevier B.V. All rights reserved.doi:10.1016/S0378-4266(03)00114-6902G. Allayannis, A. Mozumdar / Journal of Banking & Finance 28 (2004) 901–9301. IntroductionThe relation be
8、tween firm financing constraints and investment–cash flow sensi-tivity has been the topic of an important
