投资者情绪、管理层持股与企业实际投资——来自中国上市公司的经验证据

Investor Sentiment, Managerial Ownership and Corporate Investment: Evidence from China Context

本文在放松行为公司金融理论中管理者"三目标"基本框架基础上,构建了考虑管理层持股影响下企业迎合投资行为的理论模型。理论分析结果表明,管理层持股会抑制企业的迎合投资行为,并且这种抑制作用在价格偏离的不同方向上有非对称的影响。同时,本文还利用我国资本市场1998-2012年的数据进行实证分析,检验了我国上市公司的董事会、监事会和高管成员持股水平对企业迎合投资决策的影响,其结果也验证了本文提出的理论假设。

The traditional theories on account of the fact that market price can truly reflect corporate fundamental value clarifies managers＇ financing decisions and how they in turn affect corporate value. Distinct from the efficient market hypothesis, however, recent behavior corporate finance theories and results of empirical study indicate that in real life deviation of corporate market price from corporate fundamental value is normal. Empirical studies within the frame of such approach demonstrate that market mispricing could influence managers＇ investment decisions. Polk and Sapienza （2009） proposed catering theory of corporate investment decisions, which is regarded as the most efficient explanation for the relation between such market behavior and corporate decisions. They point out that if managers reject the investment on the project that investors think profitable, investors （shareholders） might be compelled to reduce shareholding period, leading to external pressure of corporate man- agement. Hence, mangers, aware of short-term share price, may expand or tighten investment in accordance with investors, i.e. give rise to catering investment behavior. Given that managers＇ trade- off between long-term fundamental value and short-term price is a key factor in catering investment behavior, this paper releases the assumption of managerial ＂goal triplet＂ in behavior finance, and form a new model considering the possible influence of managerial ownership to catering investment behavior. The deduction from the model shows that this incentive function suppresses catering investment behavior, and such restricting results differ when companies are overpriced or underpriced. Specifically speaking, when market overprices a company, managers with high proportion of restrictive equity could weaken corporate catering investment tendency; when market underprices a company, the increase of manager holding proportion could restrict corporate catering invest tendency. Mean- while, based on the financial data of Chinese listed firms during 1998-2012, we carry out the empirical study on the correlation between managerial ownership and the catering tendency, which further verify the assumption of this paper.