投资者认知、信息不对称与公司价值

发布时间：2018-03-24 03:00

本文选题：投资者认知　切入点：不完全信息　出处：《对外经济贸易大学》2014年博士论文

【摘要】：中国股市作为新兴市场的代表,在许多方面具有区别于成熟资本市场的特征。中国股市的市场投资主体是个人投资者,而个人投资者与机构投资者具有不同的信息属性,不仅其获取信息的渠道较少,而且对信息分析解码的成本也高,由此导致市场投资者平均掌握信息的不完全程度高于成熟股票市场,因此投资者信息不完全在中国股票市场中的地位尤为重要。目前与之有关的国内研究较少。反映投资者信息不完全的理论概念是“投资者认知”,Merton于20世纪80年代提出这一概念,当时美国股市的发展阶段与中国目前状况较为接近。Merton(1987)针对传统资本资产定价模型完美市场假设的局限,提出了投资者认知假设,该假设认为,投资者在构建最优投资组合时,只会考虑证券市场的一个子集,只有投资者“知道”的证券,才会作为投资者的投资对象,并由此得到不完全信息的市场均衡模型。该模型反映了投资者认知对公司价值的影响,与之有关的关键理论预期是:投资者认知水平越高,公司价值越高。由于Merton(1987)的投资者认知假设并未考虑投资者之间存在信息不对称的情况,而是认为只有获得一致信息的投资者才会交易同只股票,其假设只关注投资者掌握信息的宽度,而非投资者掌握信息的深度,因此,信息不对称水平较高的市场条件下,需考虑信息不对称对认知效应可能产生的影响。基于中国A股市场信息不对称水平较高的现实,首先从市场层面对投资者认知假设在中国股票市场环境的适用性进行验证;其次从公司层面考察信息不对称对投资者认知效应的调节作用,以期为中国A股市场股东基础不断下降的现实提供解释,并从理论上拓展投资者认知影响公司价值的机理研究。市场层面的检验,借重中国股票市场特有的股权分置改革,采用多重差分方法,验证了投资者认知假设在中国A股市场的适用性,并将这一效应与消除制度性市场细分导致的投资者认知更大幅度提升公司价值的效果,即制度性市场细分效应,区分开来。这一验证确认了投资者认知在中国股票市场的重要意义,为监管机构制定加强投资者保护等相关政策提供了理论依据;同时,市场层面的检验也发现,中国A股市场,机构投资者认知提升公司价值的作用机制与市场整体情形不同,它并不反映Merton(1987)提出的投资者“不完全信息”的作用,而是体现着“信息不对称”的作用机制。公司层面,信息不对称如何影响投资者认知效应是需要检验的另一关键问题。通过选取“控制变量偏差的交易量”、“内部人持股”、以及“分析师盈余预测分歧”作为信息不对称的代理变量,并在回归分析中加入信息不对称及投资者认知代理变量交乘项的方法,检验信息不对称的调节作用。研究发现,市场整体情况看,信息不对称对投资者认知提升公司价值的效应具有负向调节,而对机构投资者认知提升公司价值的作用则呈现正向调节。表明信息不对称水平较高的市场环境,存在着不同类别投资者认知效应的市场细分。研究还发现,投资者认知对公司价值的提升作用会在某些情况下发生反转,比如,内部人能够一定程度控制企业,且非绝对控股的情况下,或者分析师盈余预期较为一致时,市场会呈现投资者认知水平越高,公司价值越低的情形。表明信息不对称负向调节导致投资者认知与公司价值的负向因果关系,与Miller(1977)提出的异质信念效应是两种不同的作用机制。基于上述主要的研究发现,可以推论,减少不合理的信息不对称,促进投资机会公平,保护中小投资者利益,对保持公司对市场投资者的持续吸引力,以及股市的持续健康发展具有重要意义。研究的创新之处在于,在Merton(1987)的投资者认知假设基础上,放松了交易双方信息一致的前提假设,对不完全信息市场均衡做出了拓展,并以信息为研究视角,为投资者认知效应在具有不同信息特征的市场环境中具有的一般意义提供了实证证据;发现了信息不对称水平较高的股票市场,不同类别投资者认知效应的机理不同,存在着不同类别投资者认知效应的市场细分;发现的信息不对称对投资者认知效应的负向调节作用,能够导致投资者认知提升公司价值的作用发生反转的机理,明确了中国A股市场,投资者认知与公司价值存在显著负向相关关系的根本原因,也同时表明这一导致投资者认知与公司价值存在负向关系的路径有别于Miller(1977)的异质信念假设,为中国A股市场呈现的公司股东基础不断下降,以及上市公司股东基础与公司价值的具有显著负向相关关系提供了合理解释。
[Abstract]:China stock market as a representative of emerging market characteristics in many aspects, which are different from mature capital markets. Chinese stock market investors and individual investors, individual investors and institutional investors have different attributes of information, not only the access to information is less, and the information analysis of decoding cost is high, resulting in no the degree of market investors to grasp the information is higher than the average mature stock market, so investors with incomplete information in China stock market plays an important role. At present, study related to the less. Reflect the theoretical concepts of incomplete information investors is the "investor cognition", Merton put forward the concept of the United States in 1980s, stage of development the stock market and the current situation of Chinese is close to.Merton (1987) in the traditional capital asset pricing model perfect market hypothesis This limitation, investors cognitive hypothesis, which assumes that investors in the construction of the optimal portfolio, will only consider a subset of the stock market, investors only "know" securities, as investors will invest, market equilibrium model and the incomplete information. The model reflects the influence of investors' cognition the value of the company, the key theoretical expectations relating to: the higher cognitive level of investors, higher value of company. Due to the Merton (1987) investors did not consider the existence of cognitive hypothesis information asymmetry between investors, but that only the information investors will deal with stocks, investors only pay attention to grasp its assumptions the width of the information, rather than investors grasp the depth of information, therefore, information asymmetry high level market conditions, need to consider the information asymmetry of cognition The effect may have higher levels of information asymmetry. Chinese A stock market based on the reality, first from the market facing investors cognitive assumptions verified applicability in Chinese stock market environment; secondly, the information asymmetry from the company level regulating effect on the cognitive effects of investors, in order to provide explanations for shareholders based Chinese A shares market study on the mechanism of the decline of the reality, and expand investor perception affects company value theoretically. Test the market level, rely on the unique Chinese stock market share reform, using multiple differential method, verified the applicability in Chinese investors cognitive hypothesis A stock market, and this effect and eliminate the institutional market subdivision causes investors greatly enhance the value of the company more cognitive effect, namely system of market segmentation effect, to distinguish. This validated the vote The important significance of investor cognition in Chinese stock market, provides a theoretical basis for strengthening investor protection and other related policies for regulators; at the same time, the inspection also found that the level of the market, China A stock market, institutional investors cognitive mechanism and enhance the value of the company the overall situation to be different, it does not reflect the Merton (1987) proposed investors are "incomplete information", it embodies the "mechanism of asymmetric information. The company level, information asymmetry affects the investor's cognitive effect is another key to test questions. By choosing the control variable deviation of the trading volume", "insider ownership" and "differences of earnings forecast" as a proxy for information asymmetry, and adding method of asymmetric information and investor cognitive proxy product in regression analysis, check information right Regulation of said. The study found that the overall market situation, information asymmetry has a negative moderating effect on investors' cognition to enhance corporate value, and to enhance the value of the company's institutional investors cognitive function has a positive regulation. The market environment that information asymmetry level is higher, there are cognitive effects of different types of investors market segments. The study also found that the reversal will occur in some cases, the role of cognitive investors to enhance the value of the company for example, internal control to enterprises to some extent, and non absolute holdings, or earnings is expected to be more favorable, the market will show the level of investor cognition is higher, the lower the value of the company. That information the asymmetry of the negative regulation of cognition and the value of the company led investors to negative causality, and Miller (1977) proposed the heterogeneous beliefs effect is not two The same mechanism. The research mainly based on the findings, it can be concluded that the reduction of information asymmetry is not reasonable, investment promotion fair opportunity to protect the interests of investors, the company continued to remain attractive to investors in the market, the stock market and the sustained and healthy development has important significance. The innovation of the research is that in Merton (1987) the investor's cognitive assumption, relax the assumptions of the parties to the transaction information, the incomplete information market equilibrium made to expand, and information as the research perspective, provides empirical evidence for the general investors cognitive effect is having different features in the market environment; found higher levels of information asymmetry in stock the market mechanism, different cognitive effects of different types of investors, there are cognitive effects of different types of investors market segmentation; information not found According to investors cognitive effects of negative role, can lead to cognitive mechanism of investors increasing company value change, the Chinese A stock market, investors' cognition and company value is negatively related to the root cause, and show that this leads to investors' cognition and firm value has a negative effect on the path is different from the Miller (1977) of the heterogeneous beliefs hypothesis, showing Chinese A stock market company shareholder base is declining, and has the shareholder base of listed companies and the value was negatively related to provide a reasonable explanation.

【学位授予单位】：对外经济贸易大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F275;F832.51

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