异质性视角下股票错误定价对企业投资效率的影响研究  

Research on the Impact of Stock Mispricing on Enterprise Investment Efficiency from the Perspective of Heterogeneity

作　　者：李程[1,2] 贺凯然 Li Cheng;He Kairan

机构地区：[1]天津工业大学 [2]天津工业大学经济与管理学院 [3]中南财经政法大学

出　　处：《投资研究》2022年第12期106-125,共20页Review of Investment Studies

基　　金：教育部哲社后期资助项目,资产负债表关联与风险溢出双重视角下的政府杠杆率结构性优化研究(批准号:21JHQ068)。

摘　　要：以2010-2019年沪深A股上市公司财务数据为研究样本,从时间、误定价方向、行业和财务四个维度分析股票误定价对企业投资效率的异质性影响。结论表明:时间异质性维度,滞后期误定价水平降低企业投资效率,当期误定价在股票低估时会提高投资效率;行业异质性维度,各行业股价上涨对投资效率影响基本一样,个别行业具有不同结果;误定价方向维度,股价高估组结果和总体一样,低估组误定价程度减小提高投资效率;财务维度上,财务状况相对较好的企业误定价有利于提高投资效率,说明适度误定价是有利的。Taking the financial data of A-share listed companies in Shanghai and Shenzhen from 2010 to 2019 as the research sample,this paper analyzes the heterogeneous impact of stock mispricing on enterprise investment efficiency from three dimensions of time,mispricing direction,industry and finance.The conclusion shows that in the dimension of time heterogeneity,the level of mispricing in the lag period reduces the investment efficiency of enterprises,and the current mispricing will improve the investment efficiency when stocks are undervalued;In the dimension of industry heterogeneity,the impact of stock price rise on investment efficiency is basically the same in all industries,and individual industries have different results;In the aspect of mispricing direction,the result of the overvalued group is the same as that of the whole group,and the degree of mispricing of the undervalued group decreases to improve the investment efficiency;On the financial dimension,the mispricing of enterprises with relatively good financial conditions is conducive to improving investment efficiency,indicating that moderate mispricing is beneficial.

关 键 词：股票错误定价 投资效率 异质性 动态面板门限模型 

分 类 号：G11[文化科学] G12G30