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论文编号：	5352
作者编号：	2120112456
上传时间：	2013/6/6 18:48:15
中文题目：	信息含量、股票价格和公司投资 ——关于我国股市价格引导作用的研究
英文题目：	Stock price informativeness，stock price and corporate investment： A research on the price guiding effect of our stock market.
指导老师：	黄福广 教授
中文关键字：	股票价格，股价信息含量，公司投资决策，投资股价敏感性.
英文关键字：	stock price, stock price informativeness, corporate investment, the sensitivity of corporate investment to stock price.
中文摘要：	股票市场被称作国民经济的“晴雨表”，其与实体经济的关联互动一直以来是学术界和实务界关注的热点；这种互动关系最为重要的表现在于股票价格对公司投资的引导作用。研究我国市场股票价格对上市公司投资的引导作用并进一步关注信息含量在股价引导作用过程中扮演的角色，有助于丰富和完善公司金融和市场微观结构互动关系研究。基于此，本文以2006-2012年A股非金融类上市公司为样本，综合运用时间序列分析、面板数据回归分析和构建向量自回归模型等研究方法，相对全面地考察了我国股市中信息含量、股票价格和公司投资之间的关联关系。 研究表明：我国股市的股票价格能够对公司投资起到一定程度的引导作用，但是这种作用仍然有限；股价信息含量能够增强股票价格对公司投资的引导作用，但是股价信息含量是否能够产生这种促进效应受到了环境因素的影响。在公司治理较好的上市公司信息含量更能促进投资股价敏感性，而在高融资约束公司和国有控股的公司信息含量促进作用不能有效发挥。研究还发现，股价信息含量可以同时通过“学习渠道”、抵消股价中非理性因素和“感性认知渠道”等途径来影响公司投资决策。
英文摘要：	The connection and interaction between stock market-which are called the barometer of the economy- and the real economy are the hot issue that are continued to be concentered on by the researchers and the practitioners in the finance area. The most significant performance of the interaction is the guidance function from stock price to the investments of those listed corporates. Studying the guidance function from stock price to corporate investment as well as focusing on the roles that the price informativeness play in the process will contribute to the richness and the completeness of those studies on the relationship between market microstructure and corporate finance. Thus, this thesis uses the data of listed companies in the A Stock from 2006 to 2012 as research sample, combines those research approaches such as time-series analysis, panel data regression and auto-vector regression model, and then study the interactive relationship among stock price informativeness, stock price and corporate investment in depth. This thesis shows that although in our stock market stock price could guide corporate investment, the power of explanation is still limited, and that stock price informativeness could positively contribute to the sensitivity of corporate investment to stock price, however, the function of stock price informativeness will be affected by factors from the environment which listed companies faced up to. The analysis demonstrates that in the companies with well-corporate governance the stock price informativeness could strengthen their investment well, in contrast, in the companies with highly financing constraints or state controlled, the stock price informativeness could not effectively play its role. This thesis also throws light upon that stock price informativeness could influence corporate investment through the approaches of learning approach, offsetting the effect from irrational factors in stock price and perceptual cognizing approach.
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