作　　者： ; ; ;

机构地区： 广西师范大学经济管理学院

出　　处： 《管理评论》 2015年第1期103-113,共11页

摘　　要： 本文分析上市公司投资对股票收益的影响,根据行为金融理论和风险定价理论提出对照假设,应用排序组合法和截面回归法实证发现:投资水平高(低)的上市公司后期股票收益低(高)于前期;投资与股票收益的关系动态变化,高投资公司前期的股票收益高于低投资公司,后期则相反,表明投资者对公司投资过度反应;投资扩张后,股票收益不一定下降,而且控制投资因素后股票收益与盈利、账面市值比、贝塔没有显著正相关,结果不支持风险定价理论。投资效应的原因是当前国际学术界的热点问题,本文为此提供了中国经验证据。表明中国投资者的非理性行为导致了投资效应,新兴加转轨的中国资本市场没有达到有效市场的要求,这为加强金融监管和投资者教育提供政策参考。 This paper analyzes the impact of company investment on stock returns,and makes comparative hypotheses based on behavioral finance theory and risk pricing theory. The results show: firms that invest more( less) have lower( higher) returns than before,and vice versa; the relationship between investment and returns is in the opposite direction between pre-ranking period and post-ranking period: in pre-ranking period,firms with high investment have higher returns,but in post-ranking period,firms with high investment have lower returns. This result shows that investors overreact to firm investment; stock returns will not necessarily decline after investment expansion. In addition,stock returns don't positively correlate with profitability,beta,and book-to-market when investment factors are controlled. The results don't support the risk-based theory. The cause of the investment effect is a hot issue in the international academia and this paper provides Chinese empirical evidence. The results show the irrational behavior of Chinese investors lead to investment effect,and emerging and transitional capital market in China don't meet the requirements of the efficient market.

关 键 词： 公司投资 股票收益 投资效应 资产定价

领　　域： [经济管理] [经济管理] [经济管理] [经济管理]