【摘要】：我國的股票市場雖然起步較晚,但自成立以來發(fā)展迅速。隨著上市公司的增多,股票市場不斷發(fā)展壯大,融資證券化趨向越來越明顯,股票市場在國民經(jīng)濟(jì)中所起的作用越來越大,資源的合理配置更多地依賴于股票市場的價格機(jī)制來實現(xiàn)。然而,越來越多的經(jīng)驗證據(jù)告訴我們,現(xiàn)實中的股票市場似乎并沒有發(fā)揮出優(yōu)化配置資源的功能,股票市場對實際投資活動的定價存在一定的偏差。公司資產(chǎn)規(guī)模的擴(kuò)張與其隨后的股票收益率呈負(fù)相關(guān)關(guān)系,我國的股票市場上存在顯著的資產(chǎn)增長異象(Asset Growth Anomaly)。 本文在Titman, Wei and Xie等學(xué)者的研究基礎(chǔ)上,以1998年至2010年為樣本區(qū)間,利用我國上海、深圳證券交易所A股上市公司的財務(wù)數(shù)據(jù)和股票交易數(shù)據(jù),對造成我國股票市場上的資產(chǎn)增長異象的動因做進(jìn)一步研究驗證。文章主要運用SAS計量軟件,用Fama-Macbeth橫截面回歸分析方法進(jìn)行實證分析。用總資產(chǎn)增長率作為資產(chǎn)規(guī)模變化的替代變量,根據(jù)拓展的托賓Q理論,將總資產(chǎn)增長率分為預(yù)期的資產(chǎn)增長部分(PAG)和非預(yù)期的資產(chǎn)增長部分(RAG)。按照非預(yù)期資產(chǎn)增長的正負(fù)又將其分為過度投資(RAG0)和投資不足(RAG0)兩部分。文章分別驗證了預(yù)期資產(chǎn)增長和非預(yù)期資產(chǎn)增長,以及正的和負(fù)的非預(yù)期資產(chǎn)增長與股票收益之間的相關(guān)關(guān)系,并重點討論了在控制了系統(tǒng)性風(fēng)險因素和股票的錯誤定價的影響之后資產(chǎn)增長異象的過度投資解釋,探究造成我國資本市場上資產(chǎn)增長所帶來的股票超常低收益的真正動因。 對我國股票市場的實證檢驗表明,在整個樣本期間(1998至2010年),我國股票市場上存在顯著的總資產(chǎn)增長效應(yīng),在控制了系統(tǒng)性的風(fēng)險因素及股票的錯誤定價等相關(guān)定價因素后,總資產(chǎn)增長仍負(fù)向影響著未來的股票收益。2006年的股權(quán)分置改革解決了我國股票市場存在的諸多問題,公司的股權(quán)結(jié)構(gòu)發(fā)生重大變化,資本市場的運作效率也得到明顯的提高。對資產(chǎn)增長異象的分解研究結(jié)果顯示,在1998至2005年間,非預(yù)期和預(yù)期的資產(chǎn)增長對未來股票收益均沒有顯著的影響。在2006年至2010年間,在控制了系統(tǒng)性的風(fēng)險因素以及權(quán)益的錯誤定價因素等相關(guān)定價因素的影響之后,非預(yù)期的資產(chǎn)增長對未來的股票收益具有顯著為負(fù)的影響,且這種負(fù)相關(guān)關(guān)系僅在存在過度投資的公司中顯著。這一結(jié)果說明過度投資解釋對于我國股票市場上存在的資產(chǎn)增長異象成立。投資過度所造成的無效率投資對未來的股票收益有顯著為負(fù)的影響,投資不足所引起的非效率投資對資產(chǎn)增長異象的影響則不顯著。對我國股票市場上資產(chǎn)增長異象的過度投資解釋,一方面可以給投資者提供一種基本的投資策略,另一方面,對完善上市公司治理,促進(jìn)股票市場健康發(fā)展也提供了一定的政策建議。 本文還有許多不足之處。文章對我國股票市場上存在的資產(chǎn)增長異象給出了過度投資的解釋,但對于究竟是什么造成了公司的過度投資沒有進(jìn)一步進(jìn)行研究。此外,不同行業(yè)的上市公司的投資特征不同,造成其資產(chǎn)增長異象的動因也有所不同,文章的實證研究沒有涉及這一方面。這些都有待于進(jìn)一步研究。
[Abstract]:Although the stock market of our country is very late, it has developed rapidly since its establishment. With the increase of the listed companies, the stock market is growing, and the securitization trend of the financing is becoming more and more obvious. The role of the stock market in the national economy is becoming more and more important, and the rational allocation of the resources is more dependent on the price mechanism of the stock market. However, more and more empirical evidence tells us that the stock market in reality does not appear to have the function of optimizing the allocation resources, and the stock market has a certain deviation to the pricing of the actual investment activity. The expansion of the size of the company's assets has a negative correlation with its subsequent stock yield, and there is a significant asset growth anomaly in the stock market of our country. Based on the research of the scholars such as Titman, Wei and Xie, this paper takes the data of the financial data and stock trading of the AShare listed company of Shanghai and Shenzhen Stock Exchange in China from 1998 to 2010 as the sample interval. Further research and verification on the cause of the abnormal growth of the asset growth in the stock market of our country, according to the report. The paper mainly uses the SAS measuring software, and uses the Fama-Macbeth cross-sectional regression analysis method to carry out the empirical analysis. The total assets growth rate is divided into the expected asset growth part (PAG) and the non-expected asset growth part (RAG) according to the extended Tobin Q theory.). It is divided into over-investment (RAG 0) and underinvestment (RAG0) in terms of the positive and negative of the non-expected asset growth The article examines the correlation between expected asset growth and non-expected asset growth, as well as positive and negative non-expected asset growth and stock returns, respectively On the other hand, the paper mainly discusses the over-investment explanation of asset growth, after controlling the influence of the systemic risk factors and the error pricing of the stock, and probes into the real movement of the super-normal and low-income of the stock brought by the growth of the assets in the capital market of our country. The empirical test of China's stock market shows that, during the whole sample period (1998-2010), there is a significant increase in total assets in the stock market of our country, and the relevant pricing such as the systemic risk factors and the mispricing of the stock is controlled. After the factors, the growth of total assets is still negatively affecting the future stock returns. In 2006, the equity division reform has solved many problems in the stock market of our country. The equity structure of the company has changed greatly, and the operation efficiency of the capital market is also obvious. The results of the analysis of the difference image of the asset growth show that, during the period 1998-2005, the non-expected and expected asset growth has no significant effect on the future stock returns The impact of non-expected asset growth on future stock returns has a significant negative impact on future stock returns after the impact of relevant pricing factors, such as systematic risk factors and mispricing factors for equity, between 2006 and 2010. The effect of this negative correlation is only in the presence of over-investment companies The result shows that over-investment interpretation is different from the asset growth in the stock market of our country The unefficiency investment caused by the excessive investment has a negative effect on the future stock returns, and the effect of the non-efficiency investment caused by the insufficient investment on the difference image of the asset growth It is not obvious. It can provide a basic investment strategy to the investors on the one hand, on the one hand, to improve the governance of the listed companies and to promote the healthy development of the stock market. That's a suggestion. It's still here. There are many shortcomings. The paper gives an explanation of the over-investment in the growth of the assets in the stock market of our country, but what is the cause of the over-investment of the company is not in the first place. In addition, the characteristics of the investment of the listed companies in different industries are different, and the cause of the different image of the assets is different, and the empirical research of the article is not involved. and in this respect, these are to be
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前7條

1 黃少安,張崗;中國上市公司股權(quán)融資偏好分析[J];經(jīng)濟(jì)研究;2001年11期

2 包蘇昱;;股權(quán)再融資低回報成因探析[J];金融理論與實踐;2007年01期

3 劉力,王汀汀,王震;中國A股上市公司增發(fā)公告的負(fù)價格效應(yīng)及其二元股權(quán)結(jié)構(gòu)解釋[J];金融研究;2003年08期

4 孔東民;付克華;;中國股市增發(fā)的市場反應(yīng)及影響因素分析[J];世界經(jīng)濟(jì);2005年10期

5 黎云鳳;;試論我國上市公司股權(quán)融資偏好[J];特區(qū)經(jīng)濟(jì);2006年05期

6 郝穎,劉星,林朝南;我國上市公司高管人員過度自信與投資決策的實證研究[J];中國管理科學(xué);2005年05期

7 齊紹洲;;公司治理、融資效率與經(jīng)濟(jì)增長[J];證券市場導(dǎo)報;2007年02期

，

本文編號：2371929