市场环境、股价信息含量与资本配置效率

Market Environment,Stock Price Informativeness and Capital Allocation Efficiency

中国特色的市场环境下,市场化程度会对资本配置效率产生怎样的影响,以及在这样的市场环境中股市信息效率与资本配置效率间的关系又会产生怎样的变化,是值得深入探讨的课题。采用沪深两市A股非金融类上市公司为研究样本,借鉴Wurgler的资本配置效率模型,分别从地区及公司层面探讨中国市场环境下股价信息含量对资本配置效率的影响。实证结果表明,无论是在地区层面还是公司层面,较高的股价信息含量均有助于提升资本配置效率;进一步采用市场化指数检验表明,市场环境在股价信息含量影响资本配置效率中存在显著的调节作用。

How does the marketization influence the efficiency of capital allocation in the market environment with Chinese characteristics？ What is the relationship between stock market information efficiency and capital allocation efficiency？ These questions are worthy of in-depth discussion. Based on the samples of the A-share nonfinancial listed companies in Shanghai and Shenzhen,a study is conducted in this paper to analyze the impact of stock price informativeness on the efficiency of capital allocation in Chinese market environment from the regional and corporate level respectively with the help of Wucler＇ s capital allocation efficiency model. The result shows that the more valuable stock price informativeness is conducive to the improvement of the efficiency of capital allocation. Furthermore,the marketed index is applied in this paper to examine this result,which indicates that the market environment plays a regulating role in the impact of stock price informativeness on the capital allocation efficiency.