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论文编号：	5450
作者编号：	1120090682
上传时间：	2013/6/8 10:28:45
中文题目：	投资者情绪、信贷融资与企业投资
英文题目：	Investor Sentiment, Credit Financing and Corporate Investment
指导老师：	刘志远
中文关键字：	投资者情绪 信贷融资 投资规模 投资效率 融资约束
英文关键字：	Investor Sentiment Credit Financing Investment Level Investment Efficiency Financing Constraints
中文摘要：	金融危机的全面爆发及其向实体经济的快速蔓延，使资产价格波动如何传导至实体经济成为新的研究焦点。股票价格本应是公司期望价值浓缩而成的前瞻性变量，但在并非完全有效的真实世界里，非基本面因素也无时不在影响着股票的价格，如基于心理因素的投资者情绪会将股票价格推离基础价值并大幅波动，其造成了系统性的股票误定价，并对上市公司的融资及投资策略产生重大影响。投资者情绪影响企业投资的“股权融资渠道”从公司择时进行股权融资的角度阐明了投资者情绪对企业投资产生影响的作用机理，并已相对成熟。然而，投资者情绪对上市公司另一个非常重要且不可替代的融资来源——信贷融资的影响研究却始终没有得到足够的关注。本研究则开辟出投资者情绪影响企业投资的一条崭新路径——信贷融资中介效应传导途径。借鉴“资产负债表”相关理论，本研究首先分析了投资者情绪作用于企业信贷融资的理论基础与现实可行性，并从企业和银行两方面视角阐述了投资者情绪影响企业信贷融资规模的作用机理。在证实出投资者情绪与企业信贷融资呈同向变动的基础上，本研究又继续推延，证实投资者情绪可以通过信贷融资规模进而影响企业后续的投资规模和投资效率，即信贷融资为投资者情绪影响企业投资规模和投资效率的部分中介变量。本研究的内容主要分为六个章节。第一章为导论，结合现有理论与经济现象提出研究问题，论述本研究的理论意义及现实意义，同时阐明主要思路、内容框架，研究方法及创新点等。第二章为文献述评，对投资者情绪影响企业融资及投资决策、投资效率以及信贷融资对企业投资规模及投资效率方面的文献进行了梳理。第三章为投资者情绪与企业信贷融资，从抵押品、企业净财富、择时发行权益后的资本结构回归以及管理层受投资者情绪感染而过度负债等多个渠道分别阐述了投资者情绪与微观企业信贷融资之间的关系，为后续的中介效应研究奠定了基础。第四章为投资者情绪、信贷融资与企业投资规模，第五章为投资者情绪、信贷融资与企业投资效率，该两章通过假设推演和严格的中介效应检验程序，证实了投资者情绪可以通过信贷融资而改变企业的投资规模和投资效率。第六章为研究结论、启示与未来研究方向，在总结全文主要发现的基础之上，阐明了相关启示及政策建议，也指出本文的主要局限及未来研究方向。本文的主要研究发现有以下几点：第一，上市公司获得的银行借款会伴随着外部投资者情绪的高涨而普遍增加，投资者情绪与企业信贷融资呈同向变动。在将总借款按照期限进行划分之后，发现长期借款及其变化与投资者情绪的正相关关系更加显著。这充分说明了股票作为质押品融资渠道及“资产负债表”传导机制的重要作用。再进一步根据企业的融资约束程度及所有权性质进行拓展分析后，文章发现伴随着市场整体投资者情绪的高涨，融资约束企业获得更多银行借款，国有和民营上市公司获得的银行借款均显著增加，民营企业增加地更为显著。第二，在投资者情绪与企业信贷融资呈同向变动的基础上，本研究进一步发现了投资者情绪通过信贷融资进而影响企业投资规模的部分中介传导路径。即高涨（低落）的投资者情绪通过增加（减少）企业信贷融资规模进而引起企业投资规模的上升（下降）。第三，除了对企业投资规模的影响，文章进一步发现投资者情绪也会通过信贷融资影响企业的投资效率。从全样本来看，信贷融资在投资者情绪对企业投资效率产生影响的过程中也扮演了部分中介的角色，投资者情绪通过信贷融资与企业过度投资正相关，表现为资源配置的“恶化效应”，也通过信贷融资与企业投资不足负相关，表现为资源配置的“校正效应”。第四，依托于我国特有的制度背景和产权环境，文章发现，虽然伴随着高涨的投资者情绪，国有和民营上市公司均获得更多的银行借款，但其对后续投资效率的影响却是不同的。投资者情绪通过信贷融资渠道影响了国有企业的过度投资和民营企业的投资不足，但并未通过信贷融资渠道对国有企业的投资不足和民营企业的过度投资产生影响。造成这一结论的原因正是我国预算软约束环境下国有企业的信贷优惠和银行债权治理的部分缺失。本研究在以下几个方面对现有研究进行了有益的补充：首先，本文将投资者情绪对企业投资规模及投资效率的影响拓展到“信贷融资”层面，考察投资者情绪能否影响企业信贷融资规模以及这种影响的内在机制，并进一步分析企业在信贷融资之后的投资规模与投资效率，丰富了投资者情绪对企业投资的影响渠道研究。其次，以往文献认为投资者情绪与企业过度投资正相关，与投资不足负相关，并据此推断了投资者情绪对资源配置效率的“恶化效应”和“校正效应”两面性。本文在充分肯定了“两面性”的基础上，检验出投资者情绪通过信贷融资途径对资源配置产生两面性的影响，并延伸了投资者情绪通过信贷融资渠道对国有和民营两类企业产生不同影响的作用机理。最后，本研究将投资者情绪嵌入传统财务学的框架，将信贷融资的资金供给增加效应和债务监督治理效应相整合，更加清晰地阐述了投资者情绪对企业投资效率的影响及制度背景和公司特质对此的调节。不同特质的企业在同样的投资者情绪冲击之下，对投资效率带来的影响不同。这深化了有关银行债务治理和贷款监督方面的研究，并回答了我国银行对上市公司是否具有监督作用及对哪类公司更具有监督作用的现实问题。
英文摘要：	With the full-blown of financial crisis and its rapid spreading to the real economy, the issue of how to transmit the assets prices fluctuation to the real economy has become a new research point. Stock price should be the concentrated prospective variable of one company’s expected value, but in the reality which is not always effective, non-fundamental aspects are influencing stock prices all the time. For example, the investor sentiment based on psychological factors will push the stock prices away from the basis value and cause them fluctuate by a large margin, which will result in systematic mis-pricing and will have a great impact on the finance and investment strategies of listed companies. The functional mechanism of how investor sentiment effects enterprises’ investment has been made explicit and operated pretty maturely when companies choose the best time to do equity financing. However, the research of investor sentiment’s impact on credit financing ,which is another significant and indispensable financing source for listed companies, has remained unnoticed. The thesis is to break a new path for investor sentiment effecting enterprise investment----credit financing media effect pathway. By referring to relative theories of “balance sheet”, the research firstly makes an analysis on the theoretical basis and realistic feasibility of investor sentiment effecting enterprises’ credit financing, and elaborates the functional mechanism of investor sentiment effecting enterprises’ credit financing from both the enterprises and the banks. After the conclusion that investor sentiment and enterprises’ credit financing vary co-directionally is made, the research continues its attempt to prove that investor sentiment can influence enterprises’ investment level and investment efficiency through credit financing level, namely, credit financing is the partial media variable of invest sentiment effecting enterprises’ investment level and investment efficiency. The thesis is composed of six chapters. Chapter 1 is the Introduction. In this part, relating to the actual condition of China, the author proposes the problem and explains the theoretical and realistic significance of the research, the main thought and the frame, the methodology and the innovation. Chapter 2 is the literature review. In this part, the author illustrates the literatures about how investor sentiment effects financing and investment policy, investment efficiency and investment level. In chapter 3, the thesis discusses the relationship between investor sentiment and the micro-level enterprise credit financing from several aspects, such as, collateral, enterprise net wealth, capital structure regression after timing issued equity, and the over-indebtedness caused by investor sentiment’s infection to the management. The discussion lays a foundation for the subsequent media effect research. Chapter 4 is about investor sentiment, credit financing and enterprise investment level and chapter 5 is about investor sentiment, credit financing and enterprise investment efficiency. By hypothetical deduction and strict media effect examination procedure, these two chapters prove that investor sentiment can change an enterprise’s investment level and efficiency. Chapter 6 is the conclusion, in which the author summarizes the main points of the whole and states relevant enlightenment and suggestions for policy-making, and also points out the limitations of the thesis and the future research direction. The main findings of the paper are as follows: First of all, similar with the management’s “bounded rationality”, the anticipating and lending behavior of banks are also affected by investor sentiment. Investor sentiment and enterprise’s credit financing varies in the same direction. Classifying the loan by time limit, we can see that the long-term loan and its variation have more obvious positive association with investor sentiment. It fully indicates stock, the collateral financing channel, and the transmitting mechanism of “balance sheet” play important parts. And taking a further step to expand its analysis on enterprises’ financing constraint and ownership of enterprises, the thesis finds that along with a high sentiment of whole market investors, enterprises of financing constraint can get more loans from banks, and the loans for state-owned and private listed companies are also increasing considerably, especially for the private enterprises. Secondly, based on the co-directional variation of investor sentiment and credit financing, the thesis has more findings in the partial media pathway in which investor sentiment affects enterprises’ investment level through credit financing. In another word, the high (low) investor sentiment causes the going up (down) of enterprises’ investment level through the way of increasing (decreasing) credit financing level. Thirdly, besides the effect on enterprises’ investment level, the thesis finds that investor sentiment also has impact on enterprises’ investment efficiency through the same way. Seen from the whole sample, credit financing plays the role of partial media as well in the process of investor sentiment affecting investment efficiency. Investor sentiment positively associates with enterprises’ over-investment, noted as the “deterioration effect” in resources allocation, while investor sentiment negatively associates with enterprises’ underinvestment, noted as the “correction effect” in resources allocation. The fourth, relying on the particular system background and property right environment in China, the thesis finds that although high investor sentiment gets both state-owned companies and private companies more loans from banks, it makes different effects on the subsequent investment efficiency. Investor sentiment has an effect on the over-investment of state-owned enterprises and the underinvestment of private enterprises through credit financing channel, while it does not function in the underinvestment of state-owned enterprises and the over-investment of private enterprises. The reason of the difference is that under the soft budget constraint in our country, the credit preference of state-owned enterprises and the creditor’s rights management of banks are partially absent. The research makes useful supplements to current research. First, the thesis expands the investor sentiment’s effect on investment level and investment efficiency to the layer of “credit financing”, studying whether investor sentiment can effect credit financing level and the inner mechanism of the effect. The research further analyzes the investment level and investment efficiency after credit financing, which enriches the channel research of investor sentiment’s effect on investment. Secondly, the previous literature hold the view that investor sentiment associates over-investment in a positive way, and underinvestment in a negative way, and based on this, they inferred that investor sentiment has dual effects---- “deterioration effect” and “correction effect” in resources allocation. Fully affirming the dual effect, the thesis examines investor sentiment’s dual effect on resources allocation through credit financing, extends the function mechanism in which investor sentiment has different influence on state-owned and private enterprises through credit financing channel. Finally, the research puts the investor sentiment into the frame of traditional finance theory, integrating funds increasing effect and debt supervision effect in bank debt financing, clearly explains investor sentiment’s effect on enterprises’ investment efficiency and the corresponding adjustment from system background and enterprise property. Under impact of the same investor sentiment, enterprises of different properties have different effects on investment efficiency. The research deepens the issue of bank’s debt management and loan supervision, and answers the realistic questions that whether domestic banks have supervision function and to which kind of enterprises the supervision functions more effectively.
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