股价信息含量与资本投资效率——基于投资现金流敏感度的视角  

Stock Price Informativeness and Capital Investment Efficiency:A Study based on the Perspective of Investment Cash Flow Sensitivity

作　　者：杨继伟[1] 

机构地区：[1]云南财经大学会计学院

出　　处：《南开管理评论》2011年第5期99-108,共10页Nankai Business Review

基　　金：国家自然科学基金项目(70772039)资助

摘　　要：本文以2001-2008年在沪深证券交易所上市的制造业公司为研究样本,基于投资现金流敏感度的视角研究了股价信息含量与资本投资效率之间的关系,得到以下研究结论 :富含信息的股价有效降低了资本投资对现金流的敏感程度。进一步研究后发现,富含信息的股价不仅能够有效降低融资约束导致的投资现金流敏感度,而且也能够有效降低代理冲突导致的投资现金流敏感度问题,以上结论在添加了诸多影响资本投资的控制变量及稳健性检验后仍然成立。本文的研究从一个全新的视角证明,富含信息的股价通过缓和融资约束和代理冲突问题,有效地改善了企业的资本投资效率。Information Processing and capital allocation are the two basic functions of the stock market,and the stock price guide the rational allocation of capital is the internal operation mechanism of the stock market.Based on the perspective of investment-cash flow sensitivity,this paper studies the relationship of stock price informativeness and capital investment efficiency.Empirical results show that,informative stock prices effectively reduce the investment-cash sensitivity.Further study found that informative stock prices can not only effectively reduce the investment-cash sensitivity caused by financing constraints,but also effectively reduce the investment-cash sensitivity caused by agency conflicts.Moreover,the conclusion is robust to the inclusion of many investment-related variables.From a new perspective,this study proved that informative stock prices effectively improve the efficiency of capital investment by alleviate financing constraints and agency conflicts.Theoretical contribution of this paper is mainly reflected in the following three aspects： First,this paper study the relationship between stock price informativeness and capital investment efficiency from the perspective of investment-cash flow sensitivity,which proved that the informative stock price can improve the efficiency of corporate capital investment from a new perspective.Secondly,this paper enriches the relevant literature that study the relationship between stock price informativeness and the efficiency of capital investment,which provides empirical evidence that the improvement of information efficiency can improve the efficiency of capital investment in the transition economies.Thirdly,this paper enriches the related literature on the research of investment-cash flow sensitivity.This study shows that the problem of investment-cash flow sensitivity are both caused by financing constraints and agency conflicts,and the financing constraints and agency conflicts can be effectively alleviated by improving the information efficiency.This s

关 键 词：股价信息含量 资本投资效率 投资现金流敏感度 融资约束 代理冲突 

分 类 号：F832.51[经济管理—金融学] F224