摘要
股票价格的非理性变化是否会对资本配制产生重要影响呢?本文试图从实证的角度回答这一问题。利用一个面板VAR模型,我们发现,对于高流通股比例的企业,与基本因素相正交的Tobin's Q冲击对投资有显著影响。但是,方差分解显示,投资波动中可由Tobin's Q解释的比例很低。这些证据意味着,非理性的股价变化虽然会对真实投资产生影响,但其作用相当有限。结果还显示,股价的非理性变化主要通过迎合渠道,而非股本融资渠道影响投资。
Will irrational stock price fluctuation have important impact on capital allocation？ This paper tries to answer this question empirically. Using a panel VAR model, we found that for firm with higher percentage of tradable shares, shocks to Tobin＇ s Q which are orthogonal to fundamentals have statistically significant impact on investment. However, variance decomposition reveals that shocks to Tobin＇s Q explain a very small fraction of the variation in investment. The above evidence suggests that although irrational changes in stock price can influence investment, the impact is rather limited. We also found that irrational stock price changes affect investment mainly through catering channel. Equity financing channel plays a trivial role.
出处
《经济管理》
CSSCI
北大核心
2008年第16期16-25,共10页
Business and Management Journal ( BMJ )
