利率对上市公司非效率投资影响的实证分析

发布时间：2018-06-18 10:45

本文选题：投资过度 + 投资不足　；参考：《东北财经大学》2012年硕士论文

【摘要】：投资作为我国改革开放30年以来拉动经济高速发展的“三驾马车”之一,是我国经济增长的主要动力。宏观投资是由微观企业投资组成的,因此企业良好的投资对经济发展起到举足轻重的作用。投资效率是提升企业价值的重要因素,然而由于受委托代理、信息不对称、公司治理结构等因素的影响,企业管理者往往很难做出正确的投资决策,导致资源配置效率低下,造成非效率投资,即投资不足或投资过度。因此研究影响企业非效率投资行为的因素及其相关性,对于企业完善资源配置、增加企业价值、降低企业风险都具有较强的理论和现实意义。国内外关于影响企业投资效率因素的研究主要关注在委托代理、信息不对称、公司治理结构以及行为金融方面,本文在上述研究的基础上,选取2007-2011年沪深两市A股上市公司3861个样本的经验财务数据,按着以下的思路对非效率投资行为进行了研究：首先考察了样本上市公司是否普遍存在非效率投资行为,按着残差小于零或大于零将样本上市公司非效率投资情况分为投资不足组或投资过度组,在此基础上检验企业债务利率对非效率投资具有怎样的影响作用,具体考察债务利率是否能够约束企业投资而造成投资不足,以及是否可以抑制投资过度,最后引入政府政策利率变量,考察政府政策利率与企业债务利率的相关关系,探究政府政策利率是如何影响企业非效率投资的。通过实证研究我们发现：首先,在委托代理问题、信息不对称、公司治理结构不完善等因素的影响下,样本上市公司普遍存在着非效率投资现象,即投资不足或投资过度,并且投资不足问题比投资过度问题更严重；其次,债务利率加剧投资不足的作用在统计上不显著,但是债务利率可以很好地抑制投资过度行为；最后,企业债务利率随政府政策利率的变化而变化,二者具有显著的正相关关系。我们得出政府政策利率通过影响企业债务利率,进而对非效率投资产生一定的影响作用,符合凯恩斯的投资利率理论。针对本文根据理论分析和实证研究的结果,结合我国利率尚未完全市场化的国情,提高企业投资效率,提升企业价值,本文建议采取相关措施以解决上市公司非效率投资情况：第一,应加快推进利率市场化进程,完善金融市场。第二,大力发展企业债券市场,拓宽企业融资渠道。第三,重视发挥负债的相机治理作用,实施约束与激励相结合的经理人政策。第四,企业本身也应该建立完善的公司治理机制,良好有效的公司治理结构可以缓解委托代理问题和信息不对称问题,改善股权结构,有利于保护中小股东的利益。
[Abstract]:Investment, as one of the "troika" which has driven the rapid development of economy since the reform and opening up 30 years ago, is the main motive force of our country's economic growth. Macro-investment is composed of micro-enterprise investment, so good investment plays an important role in economic development. Investment efficiency is an important factor to improve enterprise value. However, due to the influence of agency, information asymmetry and corporate governance structure, it is difficult for managers to make correct investment decisions, which leads to low efficiency of resource allocation. Causes inefficient investment, that is, underinvestment or overinvestment. Therefore, it is of great theoretical and practical significance to study the factors that affect the inefficient investment behavior of enterprises and their correlation to improve the allocation of resources, increase the value of enterprises and reduce the risk of enterprises. The domestic and foreign research on the factors influencing the investment efficiency of enterprises is mainly focused on the aspects of principal-agent, information asymmetry, corporate governance structure and behavioral finance. Based on the empirical financial data of 3861 A-share listed companies in Shanghai and Shenzhen stock markets from 2007 to 2011, this paper studies the inefficient investment behavior of the listed companies in the following ways: first of all, it investigates whether the non-efficient investment behavior is common in the sample listed companies. According to the residual error of less than zero or greater than zero, the sample listed companies are divided into two groups: under-investment group or over-investment group. On this basis, we test how the interest rate of corporate debt affects the non-efficient investment. To investigate whether the debt interest rate can constrain the enterprise investment and cause the underinvestment, and whether the excessive investment can be restrained. Finally, the government policy interest rate variable is introduced to examine the relationship between the government policy interest rate and the enterprise debt interest rate. Explore how the government policy interest rate affects the inefficient investment of enterprises. Through empirical research, we find that, first of all, under the influence of principal-agent problem, asymmetric information, imperfect corporate governance and other factors, the sample listed companies generally have inefficient investment phenomenon, that is, underinvestment or overinvestment. And the problem of underinvestment is more serious than the problem of overinvestment. Secondly, the effect of debt interest rate on underinvestment is not statistically significant, but debt interest rate can well restrain excessive investment behavior. The interest rate of corporate debt varies with the change of government policy interest rate, and there is a significant positive correlation between them. We draw the conclusion that the government policy interest rate affects the enterprise debt interest rate, and then has certain influence on the inefficient investment, which accords with Keynes' investment interest rate theory. According to the results of theoretical analysis and empirical research, combining with the situation of our country's interest rate is not completely market-oriented, we can improve the efficiency of enterprise investment and enhance the value of enterprise. This paper proposes to take relevant measures to solve the situation of inefficient investment of listed companies: first, we should speed up the process of interest rate marketization and improve the financial market. Second, vigorously develop the corporate bond market and broaden corporate financing channels. Third, pay attention to the role of debt management camera, the implementation of the combination of constraints and incentives of the manager policy. Fourth, the enterprise itself should also establish a perfect corporate governance mechanism. A good and effective corporate governance structure can alleviate the principal-agent problem and information asymmetry problem, improve the ownership structure, and help to protect the interests of minority shareholders.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F822.0;F224

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