本文選題：公司投資效率 + 股票錯(cuò)誤定價(jià)�。� 參考：《浙江大學(xué)》2014年碩士論文

【摘要】：公司投資決策既涉及到資金籌資,又關(guān)系到資金配置效率,是公司未來(lái)成長(zhǎng)和企業(yè)價(jià)值提升的主要?jiǎng)右�。若公司不能進(jìn)行有效投資,則會(huì)影響公司的經(jīng)營(yíng)風(fēng)險(xiǎn)、盈利水平以及資本市場(chǎng)對(duì)公司經(jīng)營(yíng)業(yè)績(jī)和發(fā)展前景的預(yù)期和評(píng)價(jià)。因此,研究公司投資效率問(wèn)題一直以來(lái)是公司金融領(lǐng)域最為重要的問(wèn)題。 近期的全球性金融危機(jī)促使學(xué)術(shù)界和實(shí)務(wù)界再次將注意力放在資產(chǎn)價(jià)格波動(dòng)影響實(shí)體經(jīng)濟(jì)的渠道上,尤其是資本市場(chǎng)(或股票價(jià)格變化)作用于公司投資行為的機(jī)制。不完美資本市場(chǎng)的存在,股票價(jià)格與其真實(shí)價(jià)值的長(zhǎng)期偏離,將導(dǎo)致公司資源發(fā)生錯(cuò)配,引起公司投資過(guò)度或投資不足,產(chǎn)生非效率投資,最終影響公司價(jià)值。 股票錯(cuò)誤定價(jià)影響公司投資決策可以區(qū)分四種作用渠道：主動(dòng)信息提供假說(shuō)、股權(quán)融資渠道假說(shuō)、以迎合理論為代表的股票市場(chǎng)壓力假說(shuō)以及流動(dòng)性假說(shuō)。主動(dòng)信息提供假說(shuō)認(rèn)為,如果公司經(jīng)理不能從股價(jià)傳達(dá)的信息中分離出受投資者情緒影響的部分,則其做出的投資決策將受到市場(chǎng)虛假信息的影響而發(fā)生扭曲；股權(quán)融資渠道假說(shuō)認(rèn)為,當(dāng)公司股票受到投資者情緒的影響而被錯(cuò)誤定價(jià)時(shí),公司傾向于在其股價(jià)被高估時(shí)進(jìn)行權(quán)益融資,從而降低新項(xiàng)目的融資成本；股票市場(chǎng)壓力假說(shuō)認(rèn)為,如果管理層的輪換與公司股價(jià)相關(guān),公司經(jīng)理會(huì)主動(dòng)迎合市場(chǎng)情緒調(diào)整其投資決策；股票流動(dòng)性對(duì)公司投資效率的影響則更為復(fù)雜。 本文構(gòu)建研究假說(shuō),以2003年至2012年的滬深A(yù)股市場(chǎng)上市公司的季度報(bào)表作為研究樣本,建立多個(gè)多元回歸模型進(jìn)行經(jīng)驗(yàn)分析,并充分考慮計(jì)量模型的內(nèi)生性和穩(wěn)健性。 經(jīng)驗(yàn)結(jié)果表明：(1)公司股票錯(cuò)誤定價(jià)會(huì)顯著增加公司投資過(guò)度的投資行為；(2)四個(gè)作用渠道中,只有主動(dòng)信息提供渠道的影響是顯著的,而股權(quán)融資渠道、迎合渠道以及流動(dòng)性渠道的影響并不顯著�？赡艿慕忉屖�,中國(guó)A股市場(chǎng)非有效性程度較高,上市公司的投資決策很可能包含了股價(jià)中的虛假信息,受到投資者情緒的影響導(dǎo)致投資決策扭曲；(3)將樣本區(qū)分為股市上升期和非上升期后發(fā)現(xiàn),在上升期,除信息渠道的影響依然顯著外,迎合渠道和股票流動(dòng)性渠道的作用也開(kāi)始體現(xiàn)。上述結(jié)論表明了股票市場(chǎng)信息含量的提升以及股票市場(chǎng)的穩(wěn)定性對(duì)于中國(guó)上市公司投資行為的重要性。
[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.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51;F275

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