科研管理

科研管理 ›› 2017, Vol. 38 ›› Issue (10): 119-127.

• 论文 • 上一篇    下一篇

公司不确定性、非效率投资与资产定价

叶建华   

  1. 河南财经政法大学会计学院，河南 郑州45004
  • 收稿日期:2015-04-22 修回日期:2016-11-17 出版日期:2017-10-20 发布日期:2017-10-11
  • 通讯作者: 叶建华
  • 基金资助:

    基金项目：国家自然科学青年基金项目“高管团队垂直对特征、内部晋升激励与公司风险承受：影响及作用机理研究”（项目编号：71602049，2017.01-2019.12）；河南省高等学校哲学社会科学创新团队项目“河南省国有企业混合所有制改革制度安排”（编号：2015-CXTD-09，2015.01-2018.12）；河南省高等学校重点科研项目“公司内部治理机制、高管垂直对特征与公司风险承受：影响及作用机理研究”（项目编号：17A630003，2017.01-2018.12）。

Firm uncertainty, inefficient capital investment and asset pricing

Ye Jianhua   

  1. School of Accounting,He’nan University of Economics and Law, Zhengzhou 450046, Henan, China
  • Received:2015-04-22 Revised:2016-11-17 Online:2017-10-20 Published:2017-10-11

摘要： 全球经济金融危机后，公司面临的不确定性因素日益增多。公司不确定性对企业投资的影响及其经济后果，成为理论和实务界关注的焦点。本文以A股上市公司为样本，研究公司不确定性、非效率投资与资产定价的关系。研究发现：（1）公司不确定性显著加剧公司非效率投资（尤其是过度投资），这在投资者情绪高涨期最明显；（2）公司非效率投资对企业价值的负向影响源于公司过度投资，这在市场投资者情绪低落期最明显；（3）公司投资不足显著正向影响企业价值，这在投资者情绪低落期更明显。本研究丰富了公司非效率投资、资产定价和行为公司金融研究，对企业高管、投资者以及监管者均有启示意义。

关键词: 公司不确定性, 非效率投资, 投资者情绪, 资产定价

Abstract: After the global economic and financial crisis, the environment that firms confronted become more and more complicated. How firm uncertainty affects firm’s investment behavior become the focus of theorists and practices. Based on the sample of listed companies in A share stock market, this paper investigate the relation of firm uncertainty, inefficient investment(especially over-investment)and asset pricing. This paper finds that:(1)firm uncertainty significantly intensify inefficient investment, especially when investor sentiment is high;(2)the negative effect of firm inefficient investment on firm value is mainly due to firm over-investment, and this phenomenon is more evident when investor sentiment is high;(3)firm under-investment positive affect firm value significantly, specially when investor sentiment is low. This paper enrich the research on inefficient investment, asset pricing based on investment and behavioral corporate finance, and this research is helpful for firm top managers, investors and supervisors to make decision.

Key words:  firm uncertainty, inefficient investment, investor sentiment, asset pricing