“过度投资”是低效率投资吗?——来自中国上市公司的证据  

Is"Overinvestment"Inefficient Investment?——Evidence from ChineseListed Companies

作　　者：夏秀芳 吴卫星[3] J Daniel Chi[4] XIA Xiu-fang;WU Wei-xing;J Daniel CHI(School of Mangemerd,Ocean University of China,Qingdao 266000,China;School of Business,Qingdao University of Technology,Qingdao 266520,China;School of Finance y University of International Business and Economics,Beijing 100029,China;Lee Business School,University of Nevada,Las Vegas,NV 89154,USA)

机构地区：[1]中国海洋大学管理学院,山东青岛266000 [2]青岛理工大学商学院,山东青岛266520 [3]对外经贸大学金融学院,北京100029 [4]University of Nevada,Las Vegas,Lee Business School,Las Vegas,NV 89154,USA

出　　处：《中国软科学》2020年第12期117-129,共13页China Soft Science

摘　　要：投资效率是公司金融领域的重要研究课题,理论上的低效率投资是指净现值为负的投资。而在实证中,大量文献以Richardson(2006)回归模型来衡量过度投资,并把以此模型衡量的"过度投资"等同为低效率投资。但本文的研究发现Richardson(2006)回归模型无法衡量企业理论的过度投资和投资效率,甚至会得出与实际投资效率相反的结论。所以,现有文献中基于此模型而得出的关于投资效率的研究结论可能存在一定程度的偏差,若以此模型来指导投资决策,会造成低效投资。Mueller和Reardon(1993)基于股票市场对企业新增投资的定价来衡量企业的投资效率,符合理论上对投资效率的定义,本文在充分考虑模型内生性问题的基础上对此模型进行了修正,并以实例说明了企业理论投资效率的度量,建议使用此修正模型来衡量企业的投资效率。Investment efficiency is an important topic in corporate finance research.In theory,inefficient investment refers to investment whose net present value is negative.However,a large number of empirical studies measure overinvestment by Richardson(2006)regression model,and equate"overinvestment"measured by this model with inefficient investment.We find that Richardson(2006)regression model is not able to identify overinvestment that is inefficient,and may even misclassify efficient investment as overinvestment.Extant inferences based on Richardson’s model may mislead corporate investment decisions and result in inefficient investment.Consistent with the theoretical definition of investment efficiency,Mueller and Reardon(1993)measures investment efficiency by market’s valuation of new corporate investment.We modify this model to account for endogeneity and show that it can adequately measure investment efficiency.Future research can use this modified model to measure the efficiency of corporate investment.

关 键 词：“过度投资” 投资效率 残差 投资规模 

分 类 号：F270[经济管理—企业管理]