企业过度投资影响企业股价风险的实证研究

发布时间：2018-01-17 21:36

本文关键词：企业过度投资影响企业股价风险的实证研究　出处：《对外经济贸易大学》2017年硕士论文　论文类型：学位论文

【摘要】：本文的研究意在指出当前中国经济怎样有效约束实体经济“投资过热”的现象,使得资本市场里股市泡沫风险下降,进而抑制股价崩盘风险,总体上达到抑制股市风险的目的。本文在相关经济理论研究的基础之上,通过实证分析的方法,从微观经济层面讨论当前国内资本市场中,企业过度投资对股市风险(股市泡沫风险、股价崩盘风险)的作用,并深入剖析股市泡沫风险和股价崩盘风险的内在联系。本文将沪深两市十年间(2006至2015年)所有A股上市企业所披露的信息作为主要依据,通过剖析企业过度投资对股市风险(股市泡沫风险、股价崩盘风险)的影响的原理与机制,构建实证模型,探究企业过度投资与股市风险之间的关系,最终得到企业过度投资会加剧股市泡沫风险并一步加剧股价崩盘风险的结论。即企业过度投资和股市风险(股市泡沫风险、股价崩盘风险)二者间呈明显的正相关关系,而股市泡沫风险又和股价崩盘风险呈正相关。这意味着投资过热的延续和有关不利讯息的应对延时,将会大大增加股市风险。
[Abstract]:The purpose of this study is to point out how the current Chinese economy effectively constrains the phenomenon of "investment overheating" in the real economy, which reduces the risk of stock market bubble in the capital market, and then restrains the risk of stock price collapse. On the basis of the relevant economic theory research, this paper discusses the current domestic capital market from the microeconomic level through the method of empirical analysis. The role of corporate overinvestment in stock market risk (stock market bubble risk, stock price collapse risk). And in-depth analysis of the stock market bubble risk and the risk of stock price collapse inherent links. This paper takes the information disclosed by all A-share listed companies in Shanghai and Shenzhen stock market from 2006 to 2015 as the main basis. By analyzing the principle and mechanism of the influence of overinvestment on stock market risk (stock market bubble risk, stock price collapse risk), this paper constructs an empirical model to explore the relationship between enterprise overinvestment and stock market risk. Finally, we can draw the conclusion that overinvestment will aggravate the risk of stock market bubble and aggravate the risk of stock price collapse in one step, that is, enterprise overinvestment and stock market risk (stock market bubble risk). There is a clear positive correlation between the two, and a positive correlation between the risk of a stock market bubble and the risk of a stock price collapse. This means that the overheating of the investment and the delay in dealing with adverse information. Will greatly increase the risk of the stock market.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275;F832.51

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