从股票错误定价看投资-现金流敏感性

Research on Investment-cash Flow Sensitivity from the Respective of Mispricing

在传统的投资-现金流敏感性研究基础上,本文运用中国上市公司2003-2008年面板数据,考察了盈余管理造成的股票错误定价对公司投资-现金流敏感性的影响。本文的实证结果表明:当股价处于上升通道中时(即投资者看好投资前景时),公司的投资-现金流敏感性较高,并且融资约束对公司的投资-现金流敏感性影响显著,但盈余操纵导致错误定价对公司投资-现金流敏感性影响不大;股指处于下降通道时,通过盈余操纵导致股价高估的公司,往往无法获得外部股权融资,只体现了更高的稳定股价和投资的意愿,因此,此类公司的投资-现金流敏感性较高。本文运用信息不对称理论,结合投资者情绪和管理者行为分析,对研究结果进行了解释并指出了后续研究的方向。

Based on the traditional research, this study examines the financial market mispricing on the sensitivity of investment to internal cash flows. Using a sample of listed companies in China over the period 2003-2008, we find that companies have higher investment-cash flow sensitivities, financial constraint has a significant effect and earnings management has insignificant effect on investment-cash flow sensitivity during the period of stock index going up. Moreover, we also find that during the period of stock index going down, the companies whose stock price was overvalued by earnings management could not obtain external equity financing. The earnings management reflects the higher willingness to invest and stable stock prices, thus this kind of companies＇ investment - cash flow sensitivity is higher. We explained these results using asymmetric information theory, investors＇ sentiment and managerial behavior and pointed out the direction for further research.