机构投资者异质性与投资效率关系的实证研究

发布时间：2018-07-27 13:56

【摘要】：随着我国证券市场的不断发展，机构投资者在上市公司股东中的影响也越来越大，国内外学者多次验证了机构投资者参与公司治理的可行性，但关于机构投资者异质性对企业投资效率影响的研究比较少，而我国上市公司非效率投资问题十分严重，这直接影响公司价值最大化目标的实现。因此，研究机构投资者异质性对公司投资效率影响的差异对公司治理水平的提高及价值的提升具有良好的现实意义。本文通过文献分析法与EVIEWS统计分析法研究了机构投资者异质性对公司投资效率的影响，主要从定性与定量两个层次进行。从定性方面来看，分别研究了证券投资基金与社保基金、境内机构投资者与境外机构投资者两种差异对公司投资效率的影响；从定量方面来看，研究了机构投资者持股比例、持股变动率差异对公司投资效率的影响。本文用理查德森模型的投资期望衡量公司投资效率，并用模型残差表示两种非效率的情况，若残差大于零，则表示投资过度，若残差小于零，则表明投资不足，用残差绝对值衡量投资效率并作为被解释变量，以机构投资者的主体差异、资金来源差异、持股比率差异、持股变动率差异作为解释变量构建多元线性回归模型，使用统计软件进行描述统计和Spearman相关性分析，最后用非正常投资的效率法衡量公司投资效率进行稳定性检验。实证结果成功论证了证券投资基金能够促进企业投资效率的提升，社保投资基金对企业投资效率具有负作用，说明社保基金较证券基金更容易受到政治干预导致其做出有悖于提高公司投资效率的决议，从而导致公司投资效率降低。另外，实证结果显示机构投资者持股比例超过零界值之后，公司的投资效率将随着其持股的比例的增加而提高，说明机构投资者随着持股比例的不断增加，其行为战略由消极主义向积极主义转变，进而积极参与公司治理并使其投资效率不断增加。基于实证研究的结果，本文提出我国应通过资本市场、法律法规、机构投资者以及上市公司几个方面不断提升机构投资者在公司治理中的积极作用，主要包括以下五点：第一，不断完善市场基础制度与相关法律法规，加强对机构投资者利益的保护；第二，持续推进国有股份减持；第三，提高机构投资者的整体持股水平；第四，促进机构投资者加强内部管理体制改革适应市场需求；第五，限制机构投资者投资换手率。
[Abstract]:With the continuous development of China's securities market, institutional investors in the shareholders of listed companies are becoming more and more important. Scholars at home and abroad have repeatedly verified the feasibility of institutional investors participating in corporate governance. However, there are few researches on the influence of institutional investor heterogeneity on enterprise investment efficiency. However, the problem of non-efficient investment of listed companies in China is very serious, which directly affects the realization of the goal of maximizing corporate value. Therefore, it is of great practical significance to study the difference between institutional investor heterogeneity and corporate investment efficiency for the improvement of corporate governance level and the promotion of corporate value. This paper studies the influence of institutional investor heterogeneity on corporate investment efficiency by literature analysis and EVIEWS statistical analysis, mainly from qualitative and quantitative levels. From the qualitative point of view, the paper studies the impact of the differences between the securities investment fund and the social security fund, the domestic institutional investor and the foreign institutional investor on the investment efficiency of the company, and quantitatively studies the shareholding ratio of the institutional investor. The influence of the change rate of Stock holding on the Investment efficiency of the Company. In this paper, we use the investment expectation of Richardson model to measure the investment efficiency of the company, and use the model residuals to represent two kinds of non-efficiency cases. If the residual error is greater than zero, it means that the investment is excessive, and if the residual error is less than zero, it indicates that the investment is insufficient. The absolute value of residual difference is used to measure investment efficiency as explained variable, and the multivariate linear regression model is constructed by using institutional investor's main body difference, capital source difference, stock holding ratio difference and stock holding change rate difference as explanatory variables. The relationship between descriptive statistics and Spearman is analyzed by statistical software, and the stability test is carried out by using the efficiency method of abnormal investment to measure the investment efficiency of companies. The empirical results demonstrate that the securities investment funds can promote the investment efficiency of enterprises, and the social security investment funds have a negative effect on the investment efficiency of enterprises. It shows that the social security fund is more vulnerable to political intervention than the securities fund, resulting in its making a decision contrary to improving the investment efficiency of the company, which leads to the reduction of the investment efficiency of the company. In addition, the empirical results show that the corporate investment efficiency will increase with the increase of the proportion of institutional investors holding shares, indicating that institutional investors with the increase of the proportion of holdings. Its behavior strategy changes from negativism to positivism, and then it takes an active part in corporate governance and makes its investment efficiency increase. Based on the results of empirical research, this paper proposes that China should continuously enhance the positive role of institutional investors in corporate governance through the capital market, laws and regulations, institutional investors and listed companies, mainly including the following five points: first, Constantly improve the market basic system and relevant laws and regulations, strengthen the protection of the interests of institutional investors; second, continue to promote the reduction of state-owned shares; third, improve the overall ownership level of institutional investors; fourth, Promote institutional investors to strengthen the reform of internal management system to meet market demand; fifthly, limit the turnover rate of institutional investors.
【学位授予单位】：重庆工商大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

【相似文献】