内部资本市场价值、形成路径与投资者市场反应

The Value of Internal Capital Market,Paths to Generate and the Reactions of the Investors

选取中国制造业上市公司作为样本,在计量其内部资本市场价值的基础上,通过通径模型找出内部资本市场价值的形成路径,然后计算年报披露后不同时间窗口的累计超额收益率,分析投资者对内部资本市场价值的市场反应,揭示投资者市场反应机制对内部资本市场行为的治理作用。研究结果表明,上市公司的权益报酬率是决定其内部资本市场价值的最主要因素;权益报酬率与内部资本市场价值之间呈反向关系,内部资本市场价值主要存在于低权益报酬率企业,表明中国上市公司的内部资本市场价值主要源于缓解外部融资约束而引起的溢价,而不是由资源优化配置产生;由于投资者对内部资本市场价值反应不充分,内部资本市场缺乏投资者反应机制的治理,内部资本市场功能异化为弥补资金漏洞的工具。

This paper chose the manufacturing listed companies as researching sample. Based on measuring the value of internal capital market, it found out the paths to generate the value of internal capital market by path model, calculated the accumulative abnormal rate of return （CAR） in different time window, analyzed the reactions of the investors to the value of internal capital market and revealed the reaction mechanism of investors which plays a role in governing the internal capital market. The results showed that： ROE of company is the main factor to determine the value of internal capital market. ROE has strong negative relationship with the value of internal capital market, The internal capital market value mainly exists in the low rights and interests return rate enterprise, which means the value of internal capital market in china is formed by reducing external financing constraints instead of optimizing resources. Investors＇s reaction to the value of internal capital market isn＇t rational enough, therefore in the case of lacking restriction of investors in price reactions, the function of internal capital market in listed companies becomes into the tool of making up of financing scarcity.