股票误定价、信息透明度对企业投资效率的影响研究

发布时间：2018-01-10 17:02

本文关键词：股票误定价、信息透明度对企业投资效率的影响研究　出处：《浙江理工大学》2015年硕士论文　论文类型：学位论文

【摘要】：企业的投资决策决定了其价值积累，投资效率则是判断这一积累的效果标准。在一个有效的资本市场上，高效率的投资可以为企业带来充足的现金流回报，实现企业价值增值以及可持续发展的目标。因此，投资效率一直是公司领域最为重要的研究之一。随着全球经济回暖，金融市场的重要性再次凸显，学术界和实务界将大量注意力放到股票市场的研究中。在弱式有效的股票市场中，股票价格无法正确反映企业基本价值，容易发生股价高估或者低估现象，导致市场资本流向低效率领域。同时，信息透明度对资本优化配置也有一定的影响。信息透明度的提升可以降低企业与利益相关者之间的信息不对称程度，降低外界投资者的预期风险及内部管理者的道德风险，从而引导企业进行理性决策，提高企业投资效率。本文主要内容是从企业层面探究股票误定价、信息透明度对投资效率的作用关系，并且进一步将股票误定价细分为股价高估与股价低估，将投资效率细分为投资过度与投资不足，深入探究变量间的影响关系。本文通过构建研究假说，选取深圳证券交易所335家上市公司2007-2013年数据，建立多个多元回归模型进行假设检验，然后对检验结果进行分析并得出相应结论，提出相应的政策建议。本文采取Richardson (2006)预期投资理论模型对投资效率进行测量，并通过拟合预期Tobin’s Q残差值的方法计算股票误定价变量。本文经过理论分析与实证检验，得出以下结论：（1）股票误定价对投资效率有负向影响关系，信息透明度对投资效率有正向影响关系，在企业误定价水平较高的情况下通过提高信息透明度水平可以降低投资效率的损耗程度；（2）相对于投资不足，股票误定价与投资过度负相关性更大，其中股价低估与投资过度更为相关，，股价低估可以有效缓解投资过度行为；（3）在信息透明度较低的情况下，企业更可能发生投资过度行为。我国学者对于股票误定价的研究尚处起步阶段，少有学者将股票误定价、信息透明度与投资效率放在一个概念框架下研究。本文结合我国实际制度背景，通过实证研究得到相应结论，在理论与实践方面具有一定的创新性。
[Abstract]:Investment efficiency is the criterion to judge the value accumulation. In an effective capital market, high efficiency investment can bring sufficient cash flow return for the enterprise. Therefore, investment efficiency has always been one of the most important research in the field of companies. With the global economic warming, the importance of financial markets is highlighted again. The academic and practical circles pay much attention to the research of stock market. In the weak effective stock market, the stock price can not correctly reflect the basic value of the enterprise, and it is easy to overvalue or undervalue the stock price. At the same time, information transparency has a certain impact on the optimal allocation of capital. The improvement of information transparency can reduce the degree of information asymmetry between enterprises and stakeholders. To reduce the expected risk of outside investors and the moral hazard of internal managers, so as to guide enterprises to make rational decisions and improve the investment efficiency of enterprises. The main content of this paper is to explore the relationship between stock mispricing and information transparency on investment efficiency from the enterprise level, and further subdivide stock mispricing into overvaluation and undervaluation. The investment efficiency is divided into overinvestment and underinvestment to explore the impact of variables. This paper constructs a hypothesis. From the data of 335 listed companies in Shenzhen Stock Exchange from 2007 to 2013, we establish multiple regression models to test the hypothesis, and then analyze the test results and draw the corresponding conclusions. This paper adopts Richardson / 2006) the expected investment theory model to measure the investment efficiency. The stock mispricing variable is calculated by fitting the expected Tobin's Q residual value. Through theoretical analysis and empirical test, this paper draws the following conclusion: 1) Stock mispricing has a negative impact on investment efficiency, and information transparency has a positive impact on investment efficiency. The loss of investment efficiency can be reduced by improving the level of information transparency when the level of mispricing is high. (2) relative to insufficient investment, the negative correlation between mispricing and over-investment is greater, among which underpricing of stock price is more related to over-investment, and underpricing of stock price can effectively alleviate excessive behavior of investment; In the case of low information transparency, companies are more likely to overinvest. The research on stock mispricing is still in its infancy, and few scholars put stock mispricing, information transparency and investment efficiency under a conceptual framework. Through the empirical study, the corresponding conclusions, in theory and practice has a certain degree of innovation.
【学位授予单位】：浙江理工大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F275;F832.51

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