股价变动与上市公司固定资本投资研究
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摘要
20世纪90年代以来,股票市场对上市公司固定资本投资影响的研究日益受到西方学术界的重视,并且已发展为一个新的学术研究课题。从20世纪90年代初使用加总数据在宏观层面的宽泛研究,到2000年以来使用微观数据在公司层面深入到影响机制的细致研究,西方学者正从不同角度使用各种方法不断推进这项学术创新活动。而且,他们的研究成果已获得国际一流的学术杂志认可。但是,国内学术界对此关注地很少。
已有的研究存在许多局限性,比如:(1)实证文献注重于研究西方成熟股市,但忽视了对新兴股市的考察;(2)设定的实证模型问题针对性不强或缺乏理论基础;(3)未全面的检验股权融资机制作用过程等等。
股票市场运行与公司固定资本投资都是现代经济活动的重要组成部分。研究股价变动对上市公司固定资本投资的影响是理解股票市场影响实体经济活动的一条重要途径。随着我国A股市场不断扩容膨胀,其重要性与日俱增。因此,以我国A股市场为背景,深入考察股价变动对上市公司固定资本投资的影响,既可以改进与发展这个领域的学术研究,又可以为考察评价我国A股市场对实体经济的影响提供一个全新的视角。为此,根据相关文献研究进展,本文提出两个更加具体的问题来深入研究我国A股市场上的股价变动对上市公司固定资本投资的影响。问题一,股权融资机制下股价变动是否影响我国A股市场上市公司的固定资本投资?问题二,信息机制下股价变动是否影响我国A股市场上市公司的固定资本投资?这两个具体问题是研究本文基本问题的两个视角。
本文针对以往相关文献的局限性,通过理论模型与实证分析相结合,且以实证分析为主的方法,改进以往研究缺陷,深入地研究了以上两个问题。在实证分析中,本文遵循较严谨的研究程序,即提出假说—构建实证模型—设计检验方法进行多维度检验分析,并且对实证结论进行了稳健性检验。因此,可以认为本文的研究结论是科学合理的。
本文的研究主要得到以下成果。首先,在研究方法上,根据以往文献的局限性改进有关学术研究方法,例如丰富了股权融资机制研究思路,设定了既具有理论基础又适合研究本文问题的实证检验模型,改进了重要实证变量的估算,设计一些有特色的实证检验新方法,改进了股权融资机制理论模型等。
其次,在研究结论上,本文主要得到以下结论:
1.在股权融资机制下股价变动对我国上市公司固定资本投资产生正向影响。进一步深入考察,具体发现:
(1)在控制内部现金流与银行借款融资因素下,由于1999—2000年牛市放松了股权融资约束,股价变动对我国上市公司固定资本投资的影响要比1998年熊市时期低;
(2)在牛熊市转换中,高银行依赖型公司的固定资本投资支出对股价的反应更具弹性,而低银行依赖型公司的投资支出对股价的反应相对具有刚性;
(3)非基本面股价变动通过股权融资机制对我国上市公司固定资本投资产生正向影响;而且股权依赖程度越高,非基本面股价对上市公司固定资本投资的敏感度越高;估价程度越低的上市公司,非基本面股价对其固定资本投资支出的敏感度越高;在非基本面股价与上市公司固定资本投资的敏感度上,民营上市公司最高,其次为地方国企上市公司,最后为央企上市公司。
2.信息机制在我国A股市场上失效,即股价变动不会通过信息机制影响我国上市公司固定资本投资;进一步探索发现我国A股市场上信息机制失效的原因在于我国A股市场上股价缺乏信息含量,股价既不能反映公司未来基本面的信息,也不能反映宏观经济未来基本面的信息。
因此,可以认为我国A市场的股价变动可以通过股权融资机制给上市公司固定资本投资带来正向影响,但是无法通过信息机制来影响上市公司的固定资本投资。
根据本文的研究,我国A股市场并不是完全处于脱离实体经济的投机状态。客观地看,我国A股市场至少可以通过股权融资机制作用于上市公司固定资本投资,进而影响实体经济活动;但是从信息机制上看我国A股市场并不能发挥预期未来的功能,无法为人们提供与固定资本投资活动相关的有用信息。与美国股市相比,信息机制的失效是我国A股市场的一大功能缺陷。
因此,监管层一方面要科学谨慎的干预股市,避免不当干预伤害了企业的物质生产活动,因为干预政策会通过股权融资机制影响上市公司固定资本投资;另一方面应积极培育我国A股市场预期未来的信息功能。
Since 1990's, more and more scholars have researched whether and how stock market prices influence on business fixed investments in western economics and finance academic community. In the early 1990's, this problem was studied rough by the empirical study method for aggregating data. But since 2000, it has been researched elaborately on microcosmic level. Many students researched it from the different points of view by the different methods. And some papers were issued in top academic magazines such as AER, QJE. So it becomes an interesting new topic in economics and finance in western academic community. But our scholars in China have known it little.
There are many limitations in the references related that problem. For example, the empirical studies in those papers focused on developed stock markets, and ignored emerging stock markets. Those models for empirical studies are not suitable for resolving that problem, etc.
Stock market and business fixed investment are the very important components in the modern economy system. Once we understand whether and how stock market influence business fixed investment, we will get more details about what stock market does for real economy activities. A-share market in China is getting more and more important because its size and the number of its listed companies are going up increasingly. Therefore, it will be very important to research on whether and how the changes of stock prices influence the business fixed investments of listed companies in A-share market. It will not only improve the related-problem study, but also provide a new window through which the effect of A-share market on real economy activities in China can be analyzed soundly. So this dissertation decomposes that basic problem into two sub-problem from two viewpoints. The first is whether stock price changes influence the business fixed investments of A-share companies from equity financing mechanism, and the second is whether stock price changes influence the business fixed investments of A-share companies from information mechanism.
This dissertation researches carefully the two problems by models deducing and empirical analysis which is used more frequently, and improve related study. During the course of empirical study, this dissertation follows the strict empirical process, that first step is setting up hypothesis, then establishing empirical investment equation, last designing testing method and estimating empirical equation. And robustness test will be done. Thus the conclusions of this dissertation should be reasonable and scientific.
This dissertation provides some significant results as follows. On the one hand, some research methods have been improved according to the shortcomings of existed papers. For example, designing new empirical analysis method for testing equity financing mechanism from the change of whole stock price, setting up better empirical investment model, improving the measurement of non-fundamental Tobin's q, etc.
On the other hand, the following meaningful conclusions can be drawn:
1. According to equity financing mechanism, the changes of stock prices have positive effect on the business fixed investments of A-share companies in China stock market. In detail, the following further findings can be gotten:
(1) While internal cash flow and bank loan keep unaltered, stock price changes during the bull market from 1999 to 2000 have less effect on the business fixed investments of A-share companies than that of bear market in 1998, because bull market ease the restriction of equity financing;
(2) During the course of stock market transformation from bull market to bear market, high bank-dependent firms show bigger change in the sensitivity of corporate investment to stock price than low bank-dependent firms;
(3) Through equity financing mechanism, the changes of non-fundamental stock prices have positive effect on the business fixed investments of A-share companies; the higher equity-dependent, the more sensitivity in corporate investments to non-fundamental stock prices; the lower stock valuation, the more sensitivity in corporate investments to non-fundamental stock prices; the private listed companies rank highest level, second local state listed companies, last central state listed companies according to the sensitivity of corporate investments to non-fundamental stock prices.
2. Information mechanism is ineffective in China A-share market, that is the changes of stock prices have no effect on A-share companies' fixed investments by information mechanism; the reason is that the stock prices of A-share companies have no information content about future corporate operating performance and future macroeconomic situation.
Therefore, it is believed that in China A-share market the stock prices changes may influence the business fixed investments of listed companies through equity financing mechanism, not through information mechanism.
According to the research from this dissertation, it is not true that China A-share market is completely speculative and nothing with real economic activity, because it may affect A-share companies fixed investments through equity financing mechanism, furthermore may influence real economy activity. But China A-share market does not exert expectant role by information mechanism, thus provide nothing about information related to productive investment decision. It is a defect for China A-share market contrasted with U.S. stock market where information mechanism is effective by Chen et al.(2007) paper.
So our government should be prudent while to intervene stock market, avoid doing harm to corporate production from improper policy, because government intervention may affect listed companies' fixed investments through equity financing mechanism; meanwhile, our government should actively develop expectant information role of A-share market.
已有的研究存在许多局限性,比如:(1)实证文献注重于研究西方成熟股市,但忽视了对新兴股市的考察;(2)设定的实证模型问题针对性不强或缺乏理论基础;(3)未全面的检验股权融资机制作用过程等等。
股票市场运行与公司固定资本投资都是现代经济活动的重要组成部分。研究股价变动对上市公司固定资本投资的影响是理解股票市场影响实体经济活动的一条重要途径。随着我国A股市场不断扩容膨胀,其重要性与日俱增。因此,以我国A股市场为背景,深入考察股价变动对上市公司固定资本投资的影响,既可以改进与发展这个领域的学术研究,又可以为考察评价我国A股市场对实体经济的影响提供一个全新的视角。为此,根据相关文献研究进展,本文提出两个更加具体的问题来深入研究我国A股市场上的股价变动对上市公司固定资本投资的影响。问题一,股权融资机制下股价变动是否影响我国A股市场上市公司的固定资本投资?问题二,信息机制下股价变动是否影响我国A股市场上市公司的固定资本投资?这两个具体问题是研究本文基本问题的两个视角。
本文针对以往相关文献的局限性,通过理论模型与实证分析相结合,且以实证分析为主的方法,改进以往研究缺陷,深入地研究了以上两个问题。在实证分析中,本文遵循较严谨的研究程序,即提出假说—构建实证模型—设计检验方法进行多维度检验分析,并且对实证结论进行了稳健性检验。因此,可以认为本文的研究结论是科学合理的。
本文的研究主要得到以下成果。首先,在研究方法上,根据以往文献的局限性改进有关学术研究方法,例如丰富了股权融资机制研究思路,设定了既具有理论基础又适合研究本文问题的实证检验模型,改进了重要实证变量的估算,设计一些有特色的实证检验新方法,改进了股权融资机制理论模型等。
其次,在研究结论上,本文主要得到以下结论:
1.在股权融资机制下股价变动对我国上市公司固定资本投资产生正向影响。进一步深入考察,具体发现:
(1)在控制内部现金流与银行借款融资因素下,由于1999—2000年牛市放松了股权融资约束,股价变动对我国上市公司固定资本投资的影响要比1998年熊市时期低;
(2)在牛熊市转换中,高银行依赖型公司的固定资本投资支出对股价的反应更具弹性,而低银行依赖型公司的投资支出对股价的反应相对具有刚性;
(3)非基本面股价变动通过股权融资机制对我国上市公司固定资本投资产生正向影响;而且股权依赖程度越高,非基本面股价对上市公司固定资本投资的敏感度越高;估价程度越低的上市公司,非基本面股价对其固定资本投资支出的敏感度越高;在非基本面股价与上市公司固定资本投资的敏感度上,民营上市公司最高,其次为地方国企上市公司,最后为央企上市公司。
2.信息机制在我国A股市场上失效,即股价变动不会通过信息机制影响我国上市公司固定资本投资;进一步探索发现我国A股市场上信息机制失效的原因在于我国A股市场上股价缺乏信息含量,股价既不能反映公司未来基本面的信息,也不能反映宏观经济未来基本面的信息。
因此,可以认为我国A市场的股价变动可以通过股权融资机制给上市公司固定资本投资带来正向影响,但是无法通过信息机制来影响上市公司的固定资本投资。
根据本文的研究,我国A股市场并不是完全处于脱离实体经济的投机状态。客观地看,我国A股市场至少可以通过股权融资机制作用于上市公司固定资本投资,进而影响实体经济活动;但是从信息机制上看我国A股市场并不能发挥预期未来的功能,无法为人们提供与固定资本投资活动相关的有用信息。与美国股市相比,信息机制的失效是我国A股市场的一大功能缺陷。
因此,监管层一方面要科学谨慎的干预股市,避免不当干预伤害了企业的物质生产活动,因为干预政策会通过股权融资机制影响上市公司固定资本投资;另一方面应积极培育我国A股市场预期未来的信息功能。
Since 1990's, more and more scholars have researched whether and how stock market prices influence on business fixed investments in western economics and finance academic community. In the early 1990's, this problem was studied rough by the empirical study method for aggregating data. But since 2000, it has been researched elaborately on microcosmic level. Many students researched it from the different points of view by the different methods. And some papers were issued in top academic magazines such as AER, QJE. So it becomes an interesting new topic in economics and finance in western academic community. But our scholars in China have known it little.
There are many limitations in the references related that problem. For example, the empirical studies in those papers focused on developed stock markets, and ignored emerging stock markets. Those models for empirical studies are not suitable for resolving that problem, etc.
Stock market and business fixed investment are the very important components in the modern economy system. Once we understand whether and how stock market influence business fixed investment, we will get more details about what stock market does for real economy activities. A-share market in China is getting more and more important because its size and the number of its listed companies are going up increasingly. Therefore, it will be very important to research on whether and how the changes of stock prices influence the business fixed investments of listed companies in A-share market. It will not only improve the related-problem study, but also provide a new window through which the effect of A-share market on real economy activities in China can be analyzed soundly. So this dissertation decomposes that basic problem into two sub-problem from two viewpoints. The first is whether stock price changes influence the business fixed investments of A-share companies from equity financing mechanism, and the second is whether stock price changes influence the business fixed investments of A-share companies from information mechanism.
This dissertation researches carefully the two problems by models deducing and empirical analysis which is used more frequently, and improve related study. During the course of empirical study, this dissertation follows the strict empirical process, that first step is setting up hypothesis, then establishing empirical investment equation, last designing testing method and estimating empirical equation. And robustness test will be done. Thus the conclusions of this dissertation should be reasonable and scientific.
This dissertation provides some significant results as follows. On the one hand, some research methods have been improved according to the shortcomings of existed papers. For example, designing new empirical analysis method for testing equity financing mechanism from the change of whole stock price, setting up better empirical investment model, improving the measurement of non-fundamental Tobin's q, etc.
On the other hand, the following meaningful conclusions can be drawn:
1. According to equity financing mechanism, the changes of stock prices have positive effect on the business fixed investments of A-share companies in China stock market. In detail, the following further findings can be gotten:
(1) While internal cash flow and bank loan keep unaltered, stock price changes during the bull market from 1999 to 2000 have less effect on the business fixed investments of A-share companies than that of bear market in 1998, because bull market ease the restriction of equity financing;
(2) During the course of stock market transformation from bull market to bear market, high bank-dependent firms show bigger change in the sensitivity of corporate investment to stock price than low bank-dependent firms;
(3) Through equity financing mechanism, the changes of non-fundamental stock prices have positive effect on the business fixed investments of A-share companies; the higher equity-dependent, the more sensitivity in corporate investments to non-fundamental stock prices; the lower stock valuation, the more sensitivity in corporate investments to non-fundamental stock prices; the private listed companies rank highest level, second local state listed companies, last central state listed companies according to the sensitivity of corporate investments to non-fundamental stock prices.
2. Information mechanism is ineffective in China A-share market, that is the changes of stock prices have no effect on A-share companies' fixed investments by information mechanism; the reason is that the stock prices of A-share companies have no information content about future corporate operating performance and future macroeconomic situation.
Therefore, it is believed that in China A-share market the stock prices changes may influence the business fixed investments of listed companies through equity financing mechanism, not through information mechanism.
According to the research from this dissertation, it is not true that China A-share market is completely speculative and nothing with real economic activity, because it may affect A-share companies fixed investments through equity financing mechanism, furthermore may influence real economy activity. But China A-share market does not exert expectant role by information mechanism, thus provide nothing about information related to productive investment decision. It is a defect for China A-share market contrasted with U.S. stock market where information mechanism is effective by Chen et al.(2007) paper.
So our government should be prudent while to intervene stock market, avoid doing harm to corporate production from improper policy, because government intervention may affect listed companies' fixed investments through equity financing mechanism; meanwhile, our government should actively develop expectant information role of A-share market.
引文
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