股价特质信息与全要素生产率:信息有效还是无效?  

Stock Price Characteristic Information and Total Factor Productivity:Is the Information Valid or Invalid?

作　　者：张志元[1] 马永凡 胡兴存 Zhang Zhiyuan;Ma Yongfan;Hu Xingcun(School of Finance,Shandong University of Finance and Economics,Jinan 250014,Shandong,China;School of Finance,Renmin University of China,Beijing 100872,China)

机构地区：[1]山东财经大学金融学院,山东济南250014 [2]中国人民大学财政金融学院,北京100872

出　　处：《金融发展研究》2021年第11期3-12,共10页Journal Of Financial Development Research

基　　金：山东省软科学计划重大项目“数字经济赋能山东实体经济高质量发展的实现路径研究”(2020RZB01169);山东省社科数字山东专项“山东数字经济发展赋能新旧动能转换研究”(20CSDJ25)。

摘　　要：在资本市场深化改革和经济高质量发展转型的当下,金融市场信息是否能有效作用于公司的生产效率呢?本文基于我国2010—2019年A股的非金融企业数据,检验了股价特质信息对企业全要素生产率的影响及路径机制。研究发现:(1)股价特质信息对企业全要素生产率具有显著提升作用;(2)信息的有效性依赖于企业优化资源配置与脱虚向实渠道来实现;(3)该作用基于企业异质性产生了不同效果,在非国有、成立年龄较小、治理完善的企业中提升作用更为明显;(4)多层次资本市场建设有助于信息传递效率的提升,是资本市场改革的一剂良药。本文拓展了市场信息有效性的研究,为股市的信息价值提供了重要的经验证据,为深化资本市场改革与经济高质量发展提供了政策启示。With the deepening reform of the capital market and the transformation of high-quality economic development,can financial market information effectively affect the company's production efficiency?Based on China's Ashare non-financial corporate data from 2010 to 2019,this paper examines the impact of stock price characteristics information on corporate total factor productivity and the path mechanism.It is found that:(1)stock price characteristic information has a significant effect on the total factor productivity of enterprises;(2)the effectiveness of information depends on the realization of the enterprise's"optimized resource allocation"and"removal of virtuality to reality"channels;(3)this role has different effects based on the heterogeneity of enterprises,and the promotion effect is more obvious in non-state-owned,younger established and well-governed enterprises;(4)the construction of a multi-level capital market helps to improve the efficiency of information transmission and is a good medicine for capital market reform.This paper expands the research on the effectiveness of market information,provides important empirical evidence for the information value of the stock market,and offers policy inspiration to deepen the reform of the capital market and the direction of high-quality economic development.

关 键 词：股价信息 全要素生产率 企业金融化 公司治理 

分 类 号：F832.5[经济管理—金融学]