交叉上市、股价信息含量和投资效率

发布时间：2018-01-09 12:20

本文关键词：交叉上市、股价信息含量和投资效率　出处：《山西财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：交叉上市(Cross-listing)是指在两个或两个以上证券市场上市的公司行为。从20世纪70年代开始,全球交叉上市的公司越来越多,交叉上市现象变得越来越普遍。交叉上市作为全球金融一体化的一大重要标志,成为了学术界研究的重点领域。学者们从市场分割、投资者认知、融资约束、投资者保护、信息披露和监管规避等融资角度研究了交叉上市的动因,并形成了一系列的理论假说。随着研究的深入,Foucault and Gehrig(2006)发现仅从融资角度很难完美解释交叉上市动因,于是提出了从股价信息角度来研究交叉上市动因,即“信息渠道理论”。信息渠道理论揭示了公司可以通过交叉上市改变股价信息,同时股价信息的变化可以为公司管理层所用,实现企业资源的优化配置。而非效率投资的缓解、投资效率的提高是企业资源优化配置的关键。目前国外已有研究发现了信息渠道的存在,而国内主要是从投资者保护角度研究交叉上市对投资效率的影响,而对于交叉上市信息渠道的研究还较少。因此,本文在借鉴国内外研究的基础上,立足于信息渠道理论,从股价信息的视角,结合交叉上市公司与内地上市公司的差异来深入研究交叉上市对于投资效率的影响。考察A+H交叉上市公司是否通过信息渠道提高股价信息含量,改善公司治理,这对于国内上市公司投资效率低下的改善具有重要的理论和现实意义。本文在信息不对称理论、委托代理理论、融资约束理论、信息渠道理论的基础上,对交叉上市与股价信息含量、股价信息含量与投资效率以及交叉上市、股价信息含量与投资效率间的关系展开理论分析,并根据理论研究提出相应的研究假设。在实证研究部分,本文选取了2010-2015年6年间的66家A+H交叉上市公司的249个观测值数据作为研究样本,同时选取2144家纯A股上市公司的13010个观测值数据为对照组,运用固定效应模型,研究交叉上市和股价信息含量、股价信息含量和投资效率的相关性,并进一步研究交叉上市、股价信息含量和投资效率的信息渠道。研究表明,公司交叉上市能够通过提高股价信息含量,改善投资者与公司之间的信息不对称程度,提高投资效率。公司的交叉上市决策通过改善上市公司的信息渠道来作用于公司管理层的投资决策,使上市公司的过度投资与投资不足行为得到改善,公司投资效率得到提高。实证结果显示:(1)内地公司通过A+H股交叉上市可以显著提高股价信息含量;(2)股价信息含量的提高可以有效改善公司的过度投资问题,提高投资效率;(3)股价信息含量的提高可以有效改善公司的投资不足问题,提高投资效率;(4)A+H股交叉上市可以通过提高股价信息含量来缓解公司的过度投资行为,提高投资效率。(5)A+H股交叉上市可以通过提高股价信息含量来缓解公司的投资不足行为,提高投资效率。从上述研究结论可以看出:内地公司在A+H交叉上市后确实可以通过股价信息含量的提高来改善投资效率。
[Abstract]:Cross listing (Cross-listing) refers to the company listed in two or more than two of the securities market. From the beginning of 1970s, more and more companies of global cross listing, cross listing is becoming more common. Cross listed as one of the important signs of global financial integration, has become the focus of the field of academic research scholars. From the market segmentation, investor perception, financing constraints, investor protection, information disclosure and supervision to avoid financing angle on cross listing and motivation, formed a series of theoretical hypotheses. With further research, Foucault and Gehrig (2006) found only from the point of view of financing is difficult to perfectly explain the cross listing causes, then put forward to study the cross listing motivation from the stock information point of view, namely "information theory". The information channel theory reveals the company can through the cross city price change At the same time information, price change information can be used for the management of the company, to achieve the optimal allocation of enterprise resources. While the non efficiency investment relief, investment efficiency is the key of optimizing the allocation of enterprise resources. At present the researches have found that the information channels exist in our country are mainly listed on the investment efficiency from investor protection perspective on cross, cross listing information channels are few. Therefore, this paper on the basis of domestic and international research, based on the information channel theory, from the perspective of stock price information, combined with the difference of cross listed companies and mainland listed companies to study the influence of cross listing for the study the efficiency of investment. A+H cross listed companies to improve the information content of stock price through information channels, improve corporate governance, which for the domestic listed company investment efficiency is improved To the theoretical and practical significance. Based on the asymmetric information theory, principal-agent theory, financing constraints theory, based on the theory of information channels, cross listing and information content of stock price, stock price informativeness and efficiency of investment and cross listing, stock price informativeness and efficiency of capital investment relationship between the theoretical analysis, and put forward the research hypothesis according to the relevant theoretical research. In the part of empirical research, this paper selects 249 observations of 66 A+H 2010-2015 and 6 years the value of cross listed companies as the research sample data, the data for the control group 13010 observation and selected 2144 pure A shares of listed companies, using the fixed effect model of cross listing and stock price the information content, information content and the correlation between stock prices and investment efficiency, and further research on cross listing, stock price informativeness and efficiency of investment channels of information. The research shows that the company The fork listing can increase the information content of stock price, improve the degree of information asymmetry between investors and companies, to improve investment efficiency. Cross listing decisions for the company by improving the listed company information channels to the management of the company's investment decision, the excessive investment and insufficient investment behavior of listed companies to improve corporate investment efficiency can be improved. The empirical results show that: (1) the mainland through A+H cross listing can improve the information content of stock price; (2) the information content of stock price increase can improve the problem of excessive investment, improve the efficiency of investment; (3) the information content of stock price increase can effectively improve the problem of insufficient investment, improve the efficiency of investment; (4) A+H cross listed shares to alleviate the over investment behavior of the company through improving the stock price information content, improve the efficiency of investment. (5) A+H cross listing can By improving stock price information content, we can alleviate company's underinvestment behavior and improve investment efficiency. From the above conclusion, we can see that mainland companies can improve investment efficiency through raising stock price information content after A+H cross listing.

【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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