股价信息含量对企业价值的影响研究

发布时间：2018-06-25 08:59

本文选题：股价信息含量 + 企业价值　；参考：《湖南大学》2014年硕士论文

【摘要】：股价信息含量指的是股票价格中反映出来的公司特质信息的多少，由于股票市场上的投资者依据获取的公司特质信息决定股票的买卖行为，，因此股价信息含量的大小将影响企业的价值。另外，公司的管理人员将会通过对股价中公司特质信息的学习来改进投资决策，并获得较高的企业投资效率。而较高的投资效率意味着更多的企业现金流入，此时市场对企业的估值也比较高。本文将通过实证分析，探究在我国证券市场上股价信息含量对企业价值是否具有影响，并验证这种效果是否通过投资效率路径而实现的。首先，本文对相关理论进行了阐述，并分析了股价信息含量对企业价值的影响机理。其次，在前面理论介绍和分析的基础上，提出了本文的研究假设，即股价信息含量与企业价值正相关。为了验证假设，本文以R2、托宾Q以及净资产收益率分别作为股价信息含量、企业价值和投资效率的测度，以我国1997年到2011年上交所A股上市公司的9047个样本进行了分析。在本文的第3章，通过描述性统计和非平衡面板回归方法证实了股价信息含量与企业价值之间的正相关关系，为了探明两者之间因果关系的方向，运用解释变量滞后回归方法进行了分析。此外，本文采用了分样本回归和更换测度的方法进一步验证了结论的可靠性。接下来，通过对比分析发现股价信息含量高的公司长期表现比信息含量低的公司长期表现差。在第4章，运用对比分析和回归分析方法研究了股价信息含量与投资效率之间的相关性，发现股价信息含量未显著影响企业的投资效率，因此股价信息含量并非通过投资效率而影响企业价值。
[Abstract]:The share price information content refers to the amount of company trait information reflected in the stock price, because investors in the stock market decide the trading behavior of the stock based on the acquired company trait information. Therefore, the size of the stock price information content will affect the value of the enterprise. In addition, managers will improve investment decisions by learning information about the company's characteristics in stock prices and achieve higher investment efficiency. Higher investment efficiency means more cash inflows, and market valuations are higher. Through the empirical analysis, this paper will explore whether the information content of stock price has an impact on the enterprise value in China's securities market, and verify whether this effect is realized through the path of investment efficiency. Firstly, this paper expounds the relevant theories and analyzes the influence mechanism of stock price information content on enterprise value. Secondly, on the basis of the introduction and analysis of the previous theories, the research hypothesis is put forward, that is, the information content of stock price is positively related to the enterprise value. In order to verify the hypothesis, this paper uses R2, Tobin Q and ROE as the measurement of stock price information content, enterprise value and investment efficiency, and analyzes 9047 samples of A-share listed companies in Shanghai Stock Exchange from 1997 to 2011. In chapter 3, the positive correlation between information content of stock price and enterprise value is confirmed by descriptive statistics and non-equilibrium panel regression, in order to find out the direction of causality between them. The analysis is carried out by using the method of delayed regression of explanatory variables. In addition, the method of sample regression and replacement measure is used to verify the reliability of the conclusion. Then, through comparative analysis, we find that the companies with high stock price information content have a long-term performance worse than those with low information content. In Chapter 4, the correlation between stock price information content and investment efficiency is studied by means of comparative analysis and regression analysis, and it is found that stock price information content does not significantly affect the investment efficiency of enterprises. Therefore, the information content of stock price does not affect the enterprise value through investment efficiency.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F275;F276.6

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