股价信息含量、企业价值与投资效率

Stock Price Informativeness Firm Valuation and Investment Efficiency

股票价格中公司特定信息的含量会影响投资者的投资决策,进而影响对企业价值的评估;同时,公司管理人员可以利用股价中包含的信息,提高公司的投资效率。采用1997到2011年上交所上市公司的9047个观察样本,以托宾Q代表企业价值,以R2代表股价信息含量,研究发现股价中公司特定信息含量高的公司有着较大的企业价值,并且信息含量高的公司长期表现较差,意味着其价值被高估。进一步研究发现信息含量高的公司投资效率并没有显著优于信息含量低的公司,说明管理人员并未利用股价中的信息改进投资策略,因此股价信息含量未导致投资效率的提高。

Firm-specific information impounded in stock prices will influence the investment decisions of investors, and then affect the assessment of firm value; meanwhile, managers can learn from the information contained in their own stock prices＇s and use them as management guidance to improve corporate investment decisions. Applying the 9047 observations of companies listed on SHSE between 1997 and 2011, with Tobin＇s Q as proxy of firm value and RE as proxy of stock price informativeness, we find that stock price informativeness is positively related to firm value, and that firms with higher informativeness underperform that with lower informativeness. Further study shows that higher informativeness is not associated with higher investment efficiency, which indicates that investment efficiency is not improved accompanied with the information contents in stock prices.