交易频率与资本配置效率

Trading Frequency and Capital Allocation Efficiency

本文从市场的信息汇集功能角度出发,通过理论模型和实证研究,探讨了股票交易频率对资本配置效率的影响。理论研究发现,过高的交易频率可能导致股票中包含的能够帮助公司优化投资决策的前瞻性信息减少,从而降低资本配置效率。对中国股票市场的实证结果也表明,股票交易频率越高的公司其资本支出对利润的敏感度越低,意味着在帕累托优化的意义上资本没有实现有效配置。

This article conducts a theoretical and empirical analysis of the relationship between trading frequency and capital allocation efficiency. The theoretical model shows that, more frequent trading is likely to reduce the stock price informativeness and the firm manager can only learn less information from the stock market; as a consequence, the investment decision made is not optimal. The empirical test with a sample of stocks listed in Shanghai and Shenzhen Stock Exchange shows that companies whose stocks are traded at higher average daily frequencies, have less sensitivity of capital expenditure with respect to profits. Therefore, the capital allocation has not achieved Pareto optimality.