企业二维投资质量评价体系的构建与检验——来自中国A股上市公司的经验证据

Construction and Testing of Enterprises' Two-dimensional Invest Quality Evaluation System:Empirical Evidence from China's A Share Listed Companies

基于效率与风险相融合的投资质量二维价值观,选取6712家A股上市公司2002—2010年的数据作为研究样本,对投资质量评价指标进行系统研究,结果表明:股票回报率与投资规模显著正相关,预期投资模型预测最优投资规模的能力较强,其残差可用以评价企业投资效率的高低即投资规模的质量;相对多元化及其增量水平与企业经营业绩具有显著的相关性,二者可用以评价企业投资风险高低即投资结构的质量。依据上述统计分析结果,基于复相关系数的加权平均法构建中国上市公司投资质量指数计算模型,并以实际数据验证了企业二维投资质量评价体系的科学性与可行性。

Based on the two-dimensional value perspective of integrating efficiency and risk concerning the quality of investment,this paper selects 6712 A-share listed companies from 2000 to 2010 as research sample of investment quality evaluation system,the results show that：stock returns are significantly positively correlated with the size of investment.The prediction ability of the expected investment model is relatively strong,and its residuals can be used to evaluate the invest efficiency of enterprises as denoted the quality of the size of investment;relative diversification and its incremental level are significantly associated with their operating performance,both can be used to evaluate the risk level of business investment as denoted the quality of the structure of investment.According to the statistical analysis of the results,we construct the investment quality index calculation model regarding Chinese listed companies based on correlation coefficient weighted average method,and then verify the scientific nature and feasibility of the two-dimensional investment quality evaluation system through the actual data.