投资机会集对股票流动性影响研究——兼论资产专用性的调节效应  

The Effect of Investment Opportunity Set on Stock Liquidity:the Adjustment of Asset specificity

作　　者：陈春春 王国成[2] CHEN Chun-chun;WANG Guo-cheng(Insititute of Economics,Tsinghua University,Beijing 100084,China;Institute of Quantitative& Technical Economics,Chinese Academy of Social Sciences,Beijing 100732,China)

机构地区：[1]清华大学社会科学学院经济学研究所,北京100084 [2]中国社会科学院数量经济与技术经济研究所,北京100732

出　　处：《贵州财经大学学报》2018年第5期24-34,共11页Journal of Guizhou University of Finance and Economics

基　　金：国家自然科学基金"面向经济复杂性的行为建模与计算实验及应用"(编号:71471177);中国博士后科学基金"股票流动性的数理描述及其应用研究"(编号:2018M630126)

摘　　要：通过理论建模并结合沪深A股数据证实投资机会集对股票流动性的影响,结果显示:(1)随着投资机会集的扩大,更宽广的投资领域使企业未来经营绩效面临更多的不确定性,这种不确定性会导致投资者对其股票内在价值的把握难以趋同,从而使股票在投资者间的流通受阻、流动性下降;(2)资产专用性可有效避免企业对不擅长、缺乏经验的领域进行投资,限制企业未来经营绩效的波动,在此情形下,投资者对股票的内在价值容易形成趋同性把握,而投资机会对流动性的不利影响也因此得以削弱。What’s the effect of the investment opportunity set on stock liquidity What are the factors that affect the above effect The paper built a theoretical modeling and used the data of Hushen A-share stock market to prove:1)as the expansion of the investment opportunity set,broader investment field makes the firms’future business performance face higher uncertainty,this uncertainty leads to difficult converging for investors’grasp on stocks internal value,so the stocks circulation between investors will be hindered and the stocks liquidity will decline;2)asset specificity avoids firms’invest on projects which they are lack of advantage and experience,limits the fluctuation of firms’future business performance,in this case,it’s easier for investors’grasp of the stocks intrinsic value to converge,and so the adverse effect of the investment opportunity on liquidity can be weakened.The conclusions provide reasonable explanations to the findings of Gopalan et al.(2012),and find new evidence for the liquidity commonality(liquidity common factors).

关 键 词：投资机会集 股票流动性 非做市商制度 资产专用性 

分 类 号：F832.5[经济管理—金融学]