股票误定价与投资迎合行为研究
发布时间：2018-10-24 22:28
【摘要】：新常态下我国经济增速放缓,传统经济动力减弱,中国实体经济的形势正变得愈发严峻,引领经济发展新常态的关键就在于如何推动现阶段经济持续健康发展。因此,培育经济发展的新动力迫在眉睫。而企业作为构成实体经济的微观主体,其财务行为,尤其是投资行为,在目前经济发展新常态下越来越受到关注。大体上看,现阶段我国企业的投资行为正在朝着合理化、规范化的方向发展,但与此同时也存在着不足,诸如投资者非理性情绪引起的股票错误定价等都会导致企业的投资行为受到影响。本文的研究以资本市场有效性理论、委托代理理论和行为金融理论为基础,选取了2010-2015年沪深A股上市公司数据为研究样本。其中,股票误定价的替代指标选取的是理论界较为认可的剩余收益估值模型和操纵性应计来衡量,此外文章构建的实证模型中还考虑到了经营现金流量、企业潜在投资机会、盈利能力和股权集中度等对企业投资水平有影响的控制变量,检验了股票错误定价对企业投资水平的影响以及二者之间作用的两种渠道——股权融资渠道和理性迎合渠道的存在,并加入了融资融券、产权性质以及融资约束的影响,进一步在实证模型和理论分析的基础上提出一系列研究假设。通过对主要变量的样本回归分析、实证检验以及稳健性检验,研究发现:(1)股票错误定价与企业投资水平正相关;(2)相对于控制组,融资融券标的公司不具有显著的投资迎合行为;(3)相对于民营企业,国有企业具有显著的投资迎合行为;(4)我国资本市场上,股票错误定价可以同时通过理性迎合渠道和股权融资渠道影响企业投资水平;(5)融资约束越高,股权融资渠道的迎合效果越明显。基于此,本文提出以下建议:企业应当自觉地规范和约束自身的投资行为,着眼于自身的长远发展而不是为了短期利益一味迎合投资者非理性情绪;投资者应该树立正确的投资观念,作出理性的投资决策,理性对股市进行分析;监管部门需要进一步完善证券市场的外部环境,加强相关法律法规体系建设,加大处罚力度,对违反证券市场规定的投资者和企业严惩不贷。
[Abstract]:Under the new normal, the economic growth rate of our country slows down, the traditional economic motive force weakens, the situation of China's real economy is becoming more and more serious, the key of leading the economic development of the new normal lies in how to promote the sustained and healthy development of the economy at the present stage. Therefore, it is urgent to cultivate a new motive force for economic development. As the microcosmic subject of real economy, enterprises' financial behavior, especially investment behavior, is paid more and more attention under the new normal state of economic development. Generally speaking, at the present stage, the investment behavior of Chinese enterprises is developing in the direction of rationalization and standardization, but at the same time, there are also deficiencies. Stock mispricing, such as irrational investor sentiment, can affect the investment behavior of enterprises. Based on the theory of capital market efficiency, principal-agent theory and behavioral finance theory, this paper selects the data of Shanghai and Shenzhen A-share listed companies from 2010 to 2015 as the research samples. Among them, the alternative index of stock mispricing is measured by residual income valuation model and manipulative accruals, which are accepted by the theoretical circle. In addition, the empirical model constructed in this paper also takes into account the operating cash flow and the potential investment opportunities of enterprises. The controlling variables, such as profitability and equity concentration, which affect the investment level of enterprises, This paper examines the influence of stock mispricing on enterprise investment level and the existence of equity financing channel and rational pandering channel, and adds the influence of margin financing, property right nature and financing constraint. On the basis of empirical model and theoretical analysis, a series of hypotheses are put forward. Through sample regression analysis, empirical test and robustness test of main variables, it is found that: (1) stock mispricing is positively related to firm investment level; (2) relative to control group, (3) compared with the private enterprises, the state-owned enterprises have significant investment catering behavior; (4) in the capital market of our country, the state-owned enterprises have significant investment pandering behavior; (4) in the capital market of our country, the state-owned enterprises have significant investment pandering behavior. Stock mispricing can affect the investment level of enterprises through both rational pandering channels and equity financing channels; (5) the higher the financing constraints, the more obvious the pandering effect of equity financing channels. Based on this, this paper puts forward the following suggestions: enterprises should consciously regulate and restrain their own investment behavior, focusing on their own long-term development rather than blindly catering to investors' irrational emotions for the sake of short-term interests; Investors should set up a correct investment concept, make rational investment decisions, rationally analyze the stock market, and the regulatory authorities need to further improve the external environment of the securities market, strengthen the construction of relevant laws and regulations, and increase penalties. Investors and enterprises who violate the regulations of the securities market are severely punished.
【学位授予单位】：河南财经政法大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275
本文编号：2292747
[Abstract]:Under the new normal, the economic growth rate of our country slows down, the traditional economic motive force weakens, the situation of China's real economy is becoming more and more serious, the key of leading the economic development of the new normal lies in how to promote the sustained and healthy development of the economy at the present stage. Therefore, it is urgent to cultivate a new motive force for economic development. As the microcosmic subject of real economy, enterprises' financial behavior, especially investment behavior, is paid more and more attention under the new normal state of economic development. Generally speaking, at the present stage, the investment behavior of Chinese enterprises is developing in the direction of rationalization and standardization, but at the same time, there are also deficiencies. Stock mispricing, such as irrational investor sentiment, can affect the investment behavior of enterprises. Based on the theory of capital market efficiency, principal-agent theory and behavioral finance theory, this paper selects the data of Shanghai and Shenzhen A-share listed companies from 2010 to 2015 as the research samples. Among them, the alternative index of stock mispricing is measured by residual income valuation model and manipulative accruals, which are accepted by the theoretical circle. In addition, the empirical model constructed in this paper also takes into account the operating cash flow and the potential investment opportunities of enterprises. The controlling variables, such as profitability and equity concentration, which affect the investment level of enterprises, This paper examines the influence of stock mispricing on enterprise investment level and the existence of equity financing channel and rational pandering channel, and adds the influence of margin financing, property right nature and financing constraint. On the basis of empirical model and theoretical analysis, a series of hypotheses are put forward. Through sample regression analysis, empirical test and robustness test of main variables, it is found that: (1) stock mispricing is positively related to firm investment level; (2) relative to control group, (3) compared with the private enterprises, the state-owned enterprises have significant investment catering behavior; (4) in the capital market of our country, the state-owned enterprises have significant investment pandering behavior; (4) in the capital market of our country, the state-owned enterprises have significant investment pandering behavior. Stock mispricing can affect the investment level of enterprises through both rational pandering channels and equity financing channels; (5) the higher the financing constraints, the more obvious the pandering effect of equity financing channels. Based on this, this paper puts forward the following suggestions: enterprises should consciously regulate and restrain their own investment behavior, focusing on their own long-term development rather than blindly catering to investors' irrational emotions for the sake of short-term interests; Investors should set up a correct investment concept, make rational investment decisions, rationally analyze the stock market, and the regulatory authorities need to further improve the external environment of the securities market, strengthen the construction of relevant laws and regulations, and increase penalties. Investors and enterprises who violate the regulations of the securities market are severely punished.
【学位授予单位】：河南财经政法大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275
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