股票流动性、股价信息含量与企业投资决策  

Stock Liquidity,Price Informativeness and the Investment Decision of the Firm

作　　者：顾乃康[1] 陈辉[1] 

机构地区：[1]中山大学管理学院,广州510275

出　　处：《管理科学》2010年第1期88-97,共10页Journal of Management Science

基　　金：国家自然科学基金(70772079);教育部人文社会科学规划基金(07JA630023);广东省软科学基金(0711520600036)~~

摘　　要：市场微观结构和公司财务学的交叉研究是当前的研究热点,以2001年～2007年仅发行A股的非金融类上市公司平衡面板数据为样本,采用高频数据构造相对有效价差和相对报价价差衡量股票流动性,考察股票流动性、股价信息含量与公司投资决策之间的关系。研究结果表明,股票流动性与股价信息含量呈倒U型关系,但是股票信息含量的大小并没有影响到投资和股价之间的敏感性,说明市场上的投资者可能更多的是挖掘管理者已有但没有披露出来的私有信息,而不是管理者没有的私有信息,因而管理者并不需要据此进行投资决策。此外,股票流动性与企业投资水平正相关,意味着股票流动性通过扩展企业的投资机会集而影响企业的投资行为。使用不同的代理变量进行稳健性检验均没有改变研究结论。At present, the interdisciplinary research of market microstructure and corporate finance is a hot topic. Based on balanced panel data of non-financial listed companies of Shenzhen Stock Market and Shanghai Stock Market from 2001 to 2007 which issue A-shares only, the paper explores the relationship between stock liquidity, price informativeness and firm investment decision by employing the relative effective spread and the relative quoted spread constructed by high frequency data. The results show that the relationship between stock liquidity and price informativeness is inverted U-shape, but the price informativeness doesn＇t affect the investment-price sensitivity. This means that the investors in the market may pay more attention on digging the information that they already have but hasn＇t been disclosed rather than the information that they don＇t have, so the managers don＇t make investment decision according to it. It also shows that the relationship between stock liquidity and firm investment level is positive. This means that the stock liquidity can affect the firm＇s investment opportunity set and further affect the firm＇s investment behavior. Robust tests with various parameters all lead to the same result.

关 键 词：股票流动性 股价信息含量 企业投资决策 投资股价敏感性 

分 类 号：F830.91[经济管理—金融学]