本文選題：公司投資效率 + 股票錯誤定價��； 參考：《浙江大學》2014年碩士論文

【摘要】：公司投資決策既涉及到資金籌資,又關系到資金配置效率,是公司未來成長和企業(yè)價值提升的主要動因。若公司不能進行有效投資,則會影響公司的經(jīng)營風險、盈利水平以及資本市場對公司經(jīng)營業(yè)績和發(fā)展前景的預期和評價。因此,研究公司投資效率問題一直以來是公司金融領域最為重要的問題。 近期的全球性金融危機促使學術界和實務界再次將注意力放在資產(chǎn)價格波動影響實體經(jīng)濟的渠道上,尤其是資本市場(或股票價格變化)作用于公司投資行為的機制。不完美資本市場的存在,股票價格與其真實價值的長期偏離,將導致公司資源發(fā)生錯配,引起公司投資過度或投資不足,產(chǎn)生非效率投資,最終影響公司價值。 股票錯誤定價影響公司投資決策可以區(qū)分四種作用渠道：主動信息提供假說、股權融資渠道假說、以迎合理論為代表的股票市場壓力假說以及流動性假說。主動信息提供假說認為,如果公司經(jīng)理不能從股價傳達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虛假信息的影響而發(fā)生扭曲；股權融資渠道假說認為,當公司股票受到投資者情緒的影響而被錯誤定價時,公司傾向于在其股價被高估時進行權益融資,從而降低新項目的融資成本；股票市場壓力假說認為,如果管理層的輪換與公司股價相關,公司經(jīng)理會主動迎合市場情緒調整其投資決策；股票流動性對公司投資效率的影響則更為復雜。 本文構建研究假說,以2003年至2012年的滬深A股市場上市公司的季度報表作為研究樣本,建立多個多元回歸模型進行經(jīng)驗分析,并充分考慮計量模型的內(nèi)生性和穩(wěn)健性。 經(jīng)驗結果表明：(1)公司股票錯誤定價會顯著增加公司投資過度的投資行為；(2)四個作用渠道中,只有主動信息提供渠道的影響是顯著的,而股權融資渠道、迎合渠道以及流動性渠道的影響并不顯著�？赡艿慕忉屖�,中國A股市場非有效性程度較高,上市公司的投資決策很可能包含了股價中的虛假信息,受到投資者情緒的影響導致投資決策扭曲；(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性渠道的作用也開始體現(xiàn)。上述結論表明了股票市場信息含量的提升以及股票市場的穩(wěn)定性對于中國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.
【學位授予單位】：浙江大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F275

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