股价信息含量与资本配置效率研究
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摘要
信息处理与资本配置是证券市场最基本的两个职能,以股票价格引导资本朝价值最大化的方向配置则是市场有效运行的内在要求。在传统有效市场理论的研究框架下,往往将信息有效简单等同于资本配置有效。与此相一致,现有关于市场有效性的研究大多只考察了价格对信息反应的有效程度,却长期忽视了对市场效率研究的另一重要分支——价格信号引导资本配置有效性的考察。随着学术界对传统有效市场理论的反思,国外学者近年来开始考察价格信号对资本配置的引导作用,即通过理论和实证研究考察股价信息含量对资本配置效率的促进作用,但是这方面的研究还比较薄弱。此外,基于发达国家证券市场的研究结论在我国证券市场是否适用,仍然是有待于实证检验的研究课题。
论文首先阐明了研究的背景和意义,确立了本文的研究思路和研究框架。接着,对与本文研究主题相关的文献进行了系统的归类、分析和评述,既为论文创新方向的突破奠定了文献基础,同时也界定了股价信息含量的内涵,为实证研究主要变量测度方法、实证检验模型及控制变量的合理选择奠定了扎实的文献基础。
其次,对本文的主要理论基础有效市场理论及其发展作了较为详细的分析和评论,用文献分析的方法论证了信息有效并不等同于资本配置有效,两者之间不可能是一一对应的简单关系。从理论上分析了股票价格联动产生的原因,为本文股价信息含量测度方法的选择奠定了理论基础。通过理论模型分析了富含公司特质信息的股价对资本配置效率作用的微观机理,进一步夯实了本文研究的理论基础。此外,对我国证券市场发展取得的成就、与成熟资本市场存在的差距两方面进行了分析和评论,为后续的研究作了制度背景铺垫。
在对相关文献和理论进行系统回顾和分析的基础上,以我国证券市场2001-2008年主板上市的公司数据为基础,从行业、区域、企业和企业内部四个层面系统的考察了股价信息含量对资本配置效率的作用机理。为了研究结论的稳健性,本文在实证研究中分别应用了单变量检验模型和多变量检验模型、交乘效应检验模型和资本配置弹性系数检验模型。此外,还采用固定效应变系数模型考察了我国证券市场资本配置效率在行业层面、区域层面和企业层面的变动趋势,通过对实证研究结果的对比和分析,论证了宏观层面的资本配置有效并不意味着微观层面的资本配置必然有效,证明了从多个层面系统考察两者之间的内在逻辑关系是必要的。
通过理论和实证研究,本文主要得到以下研究结论：
(1)宏观层面的实证研究结果显示,随着股价信息含量的增加,行业和区域层面的资本配置效率均得到显著改善。具体而言,交乘效应检验结果显示,随着股价信息含量的增加,资本流入增减对效益变动更加敏感；资本配置弹性系数检验结果显示,股价信息含量与资本配置效率显著正相关。
(2)微观层面的实证研究结果显示,随着股价信息含量的增加,企业层面及企业内部的资本配置效率均得到有效改善。就企业层面而言,随着股价信息含量的增加,资本流入增减对企业效益变动更加灵敏,有效改善了资本在各企业之间的配置效率；就企业内部而言,随着股价信息含量的增加,企业的资本投资效率得到显著提高,具体表现为企业的非效率投资行为得到有效抑制,企业的投资现金流敏感度出现了明显的下降。
(3)富含信息的股价对过度投资、投资不足的抑制机理是不同的,前者表现为间接作用的机制,后者表现为直接作用的机制。具体而言,股价信息含量的增加本身并不能有效抑制企业的过度投资行为,但是却可以有效缓解企业滥用自由现金流进行过度投资的行为,这在回归模型中体现为股价信息含量与过度投资之间为不显著的负相关关系,股价信息含量和自由现金流的交乘项与过度投资之间表现为显著的负相关关系；股价信息含量的增加可以直接抑制企业的投资不足问题,两者在回归模型中体现为显著负相关的关系。
(4)富含信息的股价不仅有效缓和了融资约束导致的投资现金流敏感度问题,而且有效抑制了代理冲突引发的投资现金流敏感度问题,对企业资本投资效率的改善起到了积极的促进作用。进一步的对比研究发现,富含信息的股价在缓和融资约束上的效果要好于代理冲突。
Information Processing and capital allocation are two of the most basic functions of the securities market, stock prices guide capital allocation towards the direction of maximizing the value of the effective operation is the inherent requirement of the market. In the framework of traditional efficient markets theory, information effective be simply treated as the effective of capital allocation. Consistent with this, the existing literature on the effectiveness of the securities market mostly only studied the effectiveness of price response to information, having longer neglected another important branch of market efficiency study-the effectiveness of price signals guiding capital allocation. With the academic reflection on the traditional efficient market theory, foreign scholars began to study the role of price signals guiding capital allocation.Through theoretical and empirical research to study the role of stock price informativeness in promoting the efficiency of capital allocation, but the research is still relatively weak. In addition, research conclusion based on the experience of developed countries weather be applicable in China's securities market is still to be empirical tested.
Firstly, the paper clarifies the background and significance, this study established the framework of ideas and research. Then, the author systemly classificate, analysis and commente on the related literature. This work is not only laid the foundation for the paper's innovation, but also defines the content of stock price informativeness, for the rational selection of the measurement methods of the main variables, empirical model and control variables laied a solid literature basis.
Secondly, the paper made a more detailed analysis and comment on the efficient market theory, demonstrated that the information effective is not equivalent to the capital allocation effective, they can not be the one to one Simple relationship. The paper theoretically analysis the causes of stock price comovement, it lay theoretical foundation for the the choice of methods to measure of the stock price informativeness. The paper analyze the microscopic mechanism of informed stock price effects on capital allocation efficiency by theoretical models, further reinforce the theoretical basis for this study. In addition, the paper analyze and comment on the development achievements of China's securities market and the gap with mature capital markets.
Based on the the review and analysis of the relevant literature and theory, the paper investigated the relationship of stock price informativeness and capital allocation efficiency on a samples of China's listed company between 2001 and 2008 from the industry-level, regional-level, firm-level and firm. For the robustness of the conclusions, this paper applied single variable model and multivariate variables model, cross-multiplication effect model and capital allocation elastic coefficient model to test the research hypothesis. In addition, the paper applied fixed-effect variable coefficient model investigated the change trend of capital allocation efficiency in China stock market from the industry level, regional level and corporate level. By comparing and analysis the results of empirical research, the paper demonstrated the effective allocation of capital at the macro level does not mean it effective at the micro level, it prove that study internal logic relations from multiple dimensions between stock price informativeness and capital allocation efficiency is necessary.
Through theoretical and empirical research, this paper obtained the following conclusions:
(1) The empirical results from macro-level show that, the efficiency of capital allocation has been significantly improved with the increasing of the stock price informativeness both from industry-level and regional- levels. Specifically, the test results of cross-multiplication effect model showed that capital inflows are more sensitive to the changes of profit with the increase of stock price informativeness. The test results of capital allocation elastic coefficient model show that the stock price informativness has a strong positive effect on the capital allocation efficiency.
(2)The empirical results from micro-level show that, the efficiency of capital allocation has been significantly improved with the increasing of the stock price informativeness both from firm-level and firm. On firm-level, capital inflows are more sensitive to the changes of profit with the increase of stock price informativeness. In the firm, capital investment efficiency is significantly improved with the increase of stock price informativeness, that is the inefficient investment behavior of enterprises effectively suppressed and investment cash flow sensitivity shown a significant decline.
(3) The inhibition mechanism of informative stock prices on the over-investment and unde-rinvestment is different, the former is indirect mechanism and the latter is direct mechanism. Specifically, as the increasing of stock price informativeness itself can not effectively inhibit over- investment, but it can effectively alleviate the behavior of abuse free cash flow to over-investment. The relationship between stock price informativeness and over-investment is insignificant negative correlation, but the item of stock price informativeness cross-multiply with free cash flow is significant negative with over-investment. The increasing of stock price informativeness can directly inhibit under-investment, the relation-ship between stock price informativeness and under-investment is significantly negative correlation.
(4) Informative stock price not only effectively ease the investment cash flow sensitivity caused by financing constraints, but also effectively inhibited investment cash flow sensitivity caused by agency conflicts. Informative stock price has played a positive role in promoting the efficiency of capital investment improvement. Further comparative study found that, informative stock price ease financing constraints is better than the effect on agency conflicts.
论文首先阐明了研究的背景和意义,确立了本文的研究思路和研究框架。接着,对与本文研究主题相关的文献进行了系统的归类、分析和评述,既为论文创新方向的突破奠定了文献基础,同时也界定了股价信息含量的内涵,为实证研究主要变量测度方法、实证检验模型及控制变量的合理选择奠定了扎实的文献基础。
其次,对本文的主要理论基础有效市场理论及其发展作了较为详细的分析和评论,用文献分析的方法论证了信息有效并不等同于资本配置有效,两者之间不可能是一一对应的简单关系。从理论上分析了股票价格联动产生的原因,为本文股价信息含量测度方法的选择奠定了理论基础。通过理论模型分析了富含公司特质信息的股价对资本配置效率作用的微观机理,进一步夯实了本文研究的理论基础。此外,对我国证券市场发展取得的成就、与成熟资本市场存在的差距两方面进行了分析和评论,为后续的研究作了制度背景铺垫。
在对相关文献和理论进行系统回顾和分析的基础上,以我国证券市场2001-2008年主板上市的公司数据为基础,从行业、区域、企业和企业内部四个层面系统的考察了股价信息含量对资本配置效率的作用机理。为了研究结论的稳健性,本文在实证研究中分别应用了单变量检验模型和多变量检验模型、交乘效应检验模型和资本配置弹性系数检验模型。此外,还采用固定效应变系数模型考察了我国证券市场资本配置效率在行业层面、区域层面和企业层面的变动趋势,通过对实证研究结果的对比和分析,论证了宏观层面的资本配置有效并不意味着微观层面的资本配置必然有效,证明了从多个层面系统考察两者之间的内在逻辑关系是必要的。
通过理论和实证研究,本文主要得到以下研究结论：
(1)宏观层面的实证研究结果显示,随着股价信息含量的增加,行业和区域层面的资本配置效率均得到显著改善。具体而言,交乘效应检验结果显示,随着股价信息含量的增加,资本流入增减对效益变动更加敏感；资本配置弹性系数检验结果显示,股价信息含量与资本配置效率显著正相关。
(2)微观层面的实证研究结果显示,随着股价信息含量的增加,企业层面及企业内部的资本配置效率均得到有效改善。就企业层面而言,随着股价信息含量的增加,资本流入增减对企业效益变动更加灵敏,有效改善了资本在各企业之间的配置效率；就企业内部而言,随着股价信息含量的增加,企业的资本投资效率得到显著提高,具体表现为企业的非效率投资行为得到有效抑制,企业的投资现金流敏感度出现了明显的下降。
(3)富含信息的股价对过度投资、投资不足的抑制机理是不同的,前者表现为间接作用的机制,后者表现为直接作用的机制。具体而言,股价信息含量的增加本身并不能有效抑制企业的过度投资行为,但是却可以有效缓解企业滥用自由现金流进行过度投资的行为,这在回归模型中体现为股价信息含量与过度投资之间为不显著的负相关关系,股价信息含量和自由现金流的交乘项与过度投资之间表现为显著的负相关关系；股价信息含量的增加可以直接抑制企业的投资不足问题,两者在回归模型中体现为显著负相关的关系。
(4)富含信息的股价不仅有效缓和了融资约束导致的投资现金流敏感度问题,而且有效抑制了代理冲突引发的投资现金流敏感度问题,对企业资本投资效率的改善起到了积极的促进作用。进一步的对比研究发现,富含信息的股价在缓和融资约束上的效果要好于代理冲突。
Information Processing and capital allocation are two of the most basic functions of the securities market, stock prices guide capital allocation towards the direction of maximizing the value of the effective operation is the inherent requirement of the market. In the framework of traditional efficient markets theory, information effective be simply treated as the effective of capital allocation. Consistent with this, the existing literature on the effectiveness of the securities market mostly only studied the effectiveness of price response to information, having longer neglected another important branch of market efficiency study-the effectiveness of price signals guiding capital allocation. With the academic reflection on the traditional efficient market theory, foreign scholars began to study the role of price signals guiding capital allocation.Through theoretical and empirical research to study the role of stock price informativeness in promoting the efficiency of capital allocation, but the research is still relatively weak. In addition, research conclusion based on the experience of developed countries weather be applicable in China's securities market is still to be empirical tested.
Firstly, the paper clarifies the background and significance, this study established the framework of ideas and research. Then, the author systemly classificate, analysis and commente on the related literature. This work is not only laid the foundation for the paper's innovation, but also defines the content of stock price informativeness, for the rational selection of the measurement methods of the main variables, empirical model and control variables laied a solid literature basis.
Secondly, the paper made a more detailed analysis and comment on the efficient market theory, demonstrated that the information effective is not equivalent to the capital allocation effective, they can not be the one to one Simple relationship. The paper theoretically analysis the causes of stock price comovement, it lay theoretical foundation for the the choice of methods to measure of the stock price informativeness. The paper analyze the microscopic mechanism of informed stock price effects on capital allocation efficiency by theoretical models, further reinforce the theoretical basis for this study. In addition, the paper analyze and comment on the development achievements of China's securities market and the gap with mature capital markets.
Based on the the review and analysis of the relevant literature and theory, the paper investigated the relationship of stock price informativeness and capital allocation efficiency on a samples of China's listed company between 2001 and 2008 from the industry-level, regional-level, firm-level and firm. For the robustness of the conclusions, this paper applied single variable model and multivariate variables model, cross-multiplication effect model and capital allocation elastic coefficient model to test the research hypothesis. In addition, the paper applied fixed-effect variable coefficient model investigated the change trend of capital allocation efficiency in China stock market from the industry level, regional level and corporate level. By comparing and analysis the results of empirical research, the paper demonstrated the effective allocation of capital at the macro level does not mean it effective at the micro level, it prove that study internal logic relations from multiple dimensions between stock price informativeness and capital allocation efficiency is necessary.
Through theoretical and empirical research, this paper obtained the following conclusions:
(1) The empirical results from macro-level show that, the efficiency of capital allocation has been significantly improved with the increasing of the stock price informativeness both from industry-level and regional- levels. Specifically, the test results of cross-multiplication effect model showed that capital inflows are more sensitive to the changes of profit with the increase of stock price informativeness. The test results of capital allocation elastic coefficient model show that the stock price informativness has a strong positive effect on the capital allocation efficiency.
(2)The empirical results from micro-level show that, the efficiency of capital allocation has been significantly improved with the increasing of the stock price informativeness both from firm-level and firm. On firm-level, capital inflows are more sensitive to the changes of profit with the increase of stock price informativeness. In the firm, capital investment efficiency is significantly improved with the increase of stock price informativeness, that is the inefficient investment behavior of enterprises effectively suppressed and investment cash flow sensitivity shown a significant decline.
(3) The inhibition mechanism of informative stock prices on the over-investment and unde-rinvestment is different, the former is indirect mechanism and the latter is direct mechanism. Specifically, as the increasing of stock price informativeness itself can not effectively inhibit over- investment, but it can effectively alleviate the behavior of abuse free cash flow to over-investment. The relationship between stock price informativeness and over-investment is insignificant negative correlation, but the item of stock price informativeness cross-multiply with free cash flow is significant negative with over-investment. The increasing of stock price informativeness can directly inhibit under-investment, the relation-ship between stock price informativeness and under-investment is significantly negative correlation.
(4) Informative stock price not only effectively ease the investment cash flow sensitivity caused by financing constraints, but also effectively inhibited investment cash flow sensitivity caused by agency conflicts. Informative stock price has played a positive role in promoting the efficiency of capital investment improvement. Further comparative study found that, informative stock price ease financing constraints is better than the effect on agency conflicts.
引文
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