股票错误定价影响公司投资效率的机制研究

发布时间：2018-05-10 21:31

本文选题：公司投资效率 + 股票错误定价　；参考：《浙江大学》2014年硕士论文

【摘要】：公司投资决策既涉及到资金筹资,又关系到资金配置效率,是公司未来成长和企业价值提升的主要动因。若公司不能进行有效投资,则会影响公司的经营风险、盈利水平以及资本市场对公司经营业绩和发展前景的预期和评价。因此,研究公司投资效率问题一直以来是公司金融领域最为重要的问题。近期的全球性金融危机促使学术界和实务界再次将注意力放在资产价格波动影响实体经济的渠道上,尤其是资本市场(或股票价格变化)作用于公司投资行为的机制。不完美资本市场的存在,股票价格与其真实价值的长期偏离,将导致公司资源发生错配,引起公司投资过度或投资不足,产生非效率投资,最终影响公司价值。股票错误定价影响公司投资决策可以区分四种作用渠道：主动信息提供假说、股权融资渠道假说、以迎合理论为代表的股票市场压力假说以及流动性假说。主动信息提供假说认为,如果公司经理不能从股价传达的信息中分离出受投资者情绪影响的部分,则其做出的投资决策将受到市场虚假信息的影响而发生扭曲；股权融资渠道假说认为,当公司股票受到投资者情绪的影响而被错误定价时,公司倾向于在其股价被高估时进行权益融资,从而降低新项目的融资成本；股票市场压力假说认为,如果管理层的轮换与公司股价相关,公司经理会主动迎合市场情绪调整其投资决策；股票流动性对公司投资效率的影响则更为复杂。本文构建研究假说,以2003年至2012年的沪深A股市场上市公司的季度报表作为研究样本,建立多个多元回归模型进行经验分析,并充分考虑计量模型的内生性和稳健性。经验结果表明：(1)公司股票错误定价会显著增加公司投资过度的投资行为；(2)四个作用渠道中,只有主动信息提供渠道的影响是显著的,而股权融资渠道、迎合渠道以及流动性渠道的影响并不显著。可能的解释是,中国A股市场非有效性程度较高,上市公司的投资决策很可能包含了股价中的虚假信息,受到投资者情绪的影响导致投资决策扭曲；(3)将样本区分为股市上升期和非上升期后发现,在上升期,除信息渠道的影响依然显著外,迎合渠道和股票流动性渠道的作用也开始体现。上述结论表明了股票市场信息含量的提升以及股票市场的稳定性对于中国上市公司投资行为的重要性。
[Abstract]:The investment decision is not only related to capital raising, but also related to the efficiency of capital allocation, which is the main motivation for the future growth of the company and the promotion of enterprise value. If the company can not make effective investment, it will affect the company's operating risk, profit level and the expectation and evaluation of the company's operating performance and development prospects in the capital market. Therefore, the study of corporate investment efficiency has always been the most important issue in the field of corporate finance. The recent global financial crisis has prompted the academic and practical circles to pay more attention to the channels through which asset price fluctuations affect the real economy, especially the mechanism by which the capital market (or the change of stock price) acts on the investment behavior of companies. The existence of imperfect capital market and the long-term deviation between stock price and its real value will lead to the mismatch of company resources, which will lead to over-investment or underinvestment of the company, resulting in inefficient investment, and ultimately affecting the value of the company. The influence of stock mispricing on investment decision can be divided into four channels: the active information providing hypothesis, the equity financing channel hypothesis, the stock market pressure hypothesis represented by catering theory and the liquidity hypothesis. The active information supply hypothesis holds that if the manager can not separate the part affected by investor sentiment from the information conveyed by the stock price, the investment decision made by the manager will be distorted by the false information of the market. The equity financing channel hypothesis holds that when the stock is mispriced by investor sentiment, the company tends to raise equity when its stock price is overvalued, thus reducing the financing cost of the new project. The stock market pressure hypothesis states that if the management rotation is related to the company's stock price, the managers will adjust their investment decisions according to the market sentiment, and the impact of stock liquidity on the company's investment efficiency is more complicated. This paper constructs the research hypothesis, takes the quarterly reports of Shanghai and Shenzhen A-share market listed companies from 2003 to 2012 as the research sample, establishes multiple regression models for empirical analysis, and fully considers the endogeneity and robustness of the econometric model. The empirical results show that: (1) the mispricing of stocks in a company can significantly increase the overinvestment behavior of the company.) of the four channels, only active information provides significant influence, while equity financing channels have a significant impact. The influence of pandering channels and liquidity channels is not significant. The possible explanation is that the A-share market in China has a high degree of ineffectiveness, and the investment decisions of listed companies are likely to contain false information in the stock price. Under the influence of investor sentiment, the investment decision is distorted. (3) after dividing the sample into stock market upswing and non-upswing, we find that in the upswing period, the influence of information channel is still significant. Pandering to the channels and stock liquidity channels also began to reflect the role. The above conclusions show that the improvement of information content in stock market and the stability of stock market are important to the investment behavior of listed companies in China.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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