经济政策不确定性、投资者情绪和企业投资关系研究

发布时间：2018-01-20 13:13

本文关键词： 经济政策不确定性企业投资逐步回归法投资者情绪中介效应　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：许多国家自从金融危机后便采取了一系列积极措施加强经济干预,避免经济问题的产生,近几年来,我国处于转型升级时期,面临经济下行压力,为促进经济发展,我国加大调控力度,制定了一系列积极的财政和货币政策,政策波动频繁。对于企业价值创造而言,投资活动是最重要的活动,宏观经济环境作为影响公司投资决策的一个重要影响因素,宏观经济一旦具有不确定性,那么会对企业对未来有效预期能力产生影响,影响投融资。由此仔细研究这一情形下的政策不确定性显得非常重要。同时,投资者情绪也对企业投资产生作用。经济中的历史和现实经验,以及理论总结和逻辑规律都已经证明,股票价格系统性地偏离股票的基本价值,股票的波动是来自于资本市场上投资者或高涨或低迷的情绪,这一系统性的偏离作用于实体投资。行为金融研究表明企业投资是高管对资本市场股票的错误定价的理性反应导致,投资受到投资者情绪作用的影响。因此本文将经济政策的不确定性、市场中的投资者情绪和公司投资相联系,研究三者相互关系,研究是否经济政策的不确定性通过资本市场投资者情绪影响企业投资。因此,本文以政策不确定性和企业投资作为研究的理论基础,结合行为金融学中的投资者情绪,运用理论分析和实证研究相结合的方法进行了研究。本文采用2012-2015年中国创业板的上市公司的面板的四年的年度数据,进行研究假设和实证检验,发现政策不确定性与企业的投资行为负相关,即政策不确定程度大的时候会减少企业投资;投资者情绪与企业的投资行为正相关,即投资者情绪高涨会增加企业投资;通过中介模型检验的投资者情绪中介效应成立,分组检验后发现,在高换手率和低市值公司,投资者情绪对投资的影响更显著。
[Abstract]:Since the financial crisis, many countries have taken a series of positive measures to strengthen economic intervention to avoid economic problems. In recent years, China is in a period of transition and upgrading, facing economic downward pressure. In order to promote the economic development, our country strengthens the regulation and control dynamics, has formulated a series of positive fiscal and monetary policies, the policy fluctuates frequently. For the enterprise value creation, the investment activity is the most important activity. The macroeconomic environment is an important factor that affects the investment decision of the company. Once the macroeconomic is uncertain, it will have an impact on the ability of the enterprise to expect effectively in the future. Therefore, it is very important to study the policy uncertainty in this situation carefully. At the same time, investor sentiment also has an effect on enterprise investment. The history and practical experience in the economy. As well as theoretical summary and logical laws have proved that the stock price systematically deviates from the basic value of the stock, the stock fluctuation is from the investors in the capital market or high or low mood. Behavioral finance studies show that corporate investment is the result of executives' rational reaction to mispricing of capital market stocks. Investment is affected by investor sentiment. Therefore, this paper studies the relationship among the uncertainty of economic policy, investor sentiment in the market and corporate investment. This paper studies whether the uncertainty of economic policy affects enterprise investment through the investor sentiment of capital market. Therefore, this paper takes policy uncertainty and enterprise investment as the theoretical basis of the study. Combining investor sentiment in behavioral finance. This paper uses the method of theoretical analysis and empirical research to conduct the research. This paper uses the annual data of the panel of listed companies in the China growth Enterprise Market (gem) from 2012 to 2015. The research hypothesis and empirical test show that the policy uncertainty is negatively correlated with the investment behavior of enterprises, that is, when the degree of policy uncertainty is high, the enterprise investment will be reduced. The investor sentiment is positively related to the investment behavior of the enterprise, that is, the upsurge of investor sentiment will increase the enterprise investment; The intermediary effect of investor sentiment tested by intermediary model is established. After grouping test, it is found that investor sentiment has more significant influence on investment in high turnover rate and low market value company.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275

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