本文選題：股價(jià)信息含量 + 企業(yè)價(jià)值��； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：股價(jià)信息含量指的是股票價(jià)格中反映出來(lái)的公司特質(zhì)信息的多少，由于股票市場(chǎng)上的投資者依據(jù)獲取的公司特質(zhì)信息決定股票的買(mǎi)賣(mài)行為，，因此股價(jià)信息含量的大小將影響企業(yè)的價(jià)值。另外，公司的管理人員將會(huì)通過(guò)對(duì)股價(jià)中公司特質(zhì)信息的學(xué)習(xí)來(lái)改進(jìn)投資決策，并獲得較高的企業(yè)投資效率。而較高的投資效率意味著更多的企業(yè)現(xiàn)金流入，此時(shí)市場(chǎng)對(duì)企業(yè)的估值也比較高。本文將通過(guò)實(shí)證分析，探究在我國(guó)證券市場(chǎng)上股價(jià)信息含量對(duì)企業(yè)價(jià)值是否具有影響，并驗(yàn)證這種效果是否通過(guò)投資效率路徑而實(shí)現(xiàn)的。 首先，本文對(duì)相關(guān)理論進(jìn)行了闡述，并分析了股價(jià)信息含量對(duì)企業(yè)價(jià)值的影響機(jī)理。 其次，在前面理論介紹和分析的基礎(chǔ)上，提出了本文的研究假設(shè)，即股價(jià)信息含量與企業(yè)價(jià)值正相關(guān)。為了驗(yàn)證假設(shè)，本文以R2、托賓Q以及凈資產(chǎn)收益率分別作為股價(jià)信息含量、企業(yè)價(jià)值和投資效率的測(cè)度，以我國(guó)1997年到2011年上交所A股上市公司的9047個(gè)樣本進(jìn)行了分析。在本文的第3章，通過(guò)描述性統(tǒng)計(jì)和非平衡面板回歸方法證實(shí)了股價(jià)信息含量與企業(yè)價(jià)值之間的正相關(guān)關(guān)系，為了探明兩者之間因果關(guān)系的方向，運(yùn)用解釋變量滯后回歸方法進(jìn)行了分析。此外，本文采用了分樣本回歸和更換測(cè)度的方法進(jìn)一步驗(yàn)證了結(jié)論的可靠性。接下來(lái)，通過(guò)對(duì)比分析發(fā)現(xiàn)股價(jià)信息含量高的公司長(zhǎng)期表現(xiàn)比信息含量低的公司長(zhǎng)期表現(xiàn)差。在第4章，運(yùn)用對(duì)比分析和回歸分析方法研究了股價(jià)信息含量與投資效率之間的相關(guān)性，發(fā)現(xiàn)股價(jià)信息含量未顯著影響企業(yè)的投資效率，因此股價(jià)信息含量并非通過(guò)投資效率而影響企業(yè)價(jià)值。
[Abstract]:The share price information content refers to the amount of company trait information reflected in the stock price, because investors in the stock market decide the trading behavior of the stock based on the acquired company trait information. Therefore, the size of the stock price information content will affect the value of the enterprise. In addition, managers will improve investment decisions by learning information about the company's characteristics in stock prices and achieve higher investment efficiency. Higher investment efficiency means more cash inflows, and market valuations are higher. Through the empirical analysis, this paper will explore whether the information content of stock price has an impact on the enterprise value in China's securities market, and verify whether this effect is realized through the path of investment efficiency. Firstly, this paper expounds the relevant theories and analyzes the influence mechanism of stock price information content on enterprise value. Secondly, on the basis of the introduction and analysis of the previous theories, the research hypothesis is put forward, that is, the information content of stock price is positively related to the enterprise value. In order to verify the hypothesis, this paper uses R2, Tobin Q and ROE as the measurement of stock price information content, enterprise value and investment efficiency, and analyzes 9047 samples of A-share listed companies in Shanghai Stock Exchange from 1997 to 2011. In chapter 3, the positive correlation between information content of stock price and enterprise value is confirmed by descriptive statistics and non-equilibrium panel regression, in order to find out the direction of causality between them. The analysis is carried out by using the method of delayed regression of explanatory variables. In addition, the method of sample regression and replacement measure is used to verify the reliability of the conclusion. Then, through comparative analysis, we find that the companies with high stock price information content have a long-term performance worse than those with low information content. In Chapter 4, the correlation between stock price information content and investment efficiency is studied by means of comparative analysis and regression analysis, and it is found that stock price information content does not significantly affect the investment efficiency of enterprises. Therefore, the information content of stock price does not affect the enterprise value through investment efficiency.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F224;F275;F276.6

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本文編號(hào)：2065386