高铁开通与资产误定价——基于新经济地理学视角的分析

High-speed Railway Opening to Traffic and Asset Mispricing——Based on the Perspective of New Economic Geography

资产定价是现代金融领域的核心问题,而信息的充分流动和有效传播构成了资产定价的前提基础。现有研究普遍认为,信息不对称与投资者非理性认知是扭曲资产定价的重要因素。本文利用高铁开通这一外生事件,考察交通基础设施建设带来"软信息"流动的加快对资产定价偏误的缓释效果。双重差分模型(DID)结果显示,高铁开通能有效缓解所在地上市公司的资产误定价现象,并且这种影响主要存在于信息透明度低的公司中。进一步地,高铁开通的效果在省会城市和非省会城市均存在,但对非省会城市的影响显著强于省会城市;同时,高铁开通后显著增加所在地上市公司被实地访问的频次。这表明,高铁开通为利益相关者提供了极大的便利,使得其可以方便地对企业进行实地访问和调研,掌握更多的内部信息,进一步降低信息不对称。本文实证检验交通发展对市场定价效率提升的影响效果,揭示高铁开通对市场定价效率提升的作用机制,以期丰富高铁开通经济后果和资产误定价影响因素的相关研究。

Asset pricing is the core issue in the modern financial field, and the full flow and effective dissemination of information constitute the premise basis for asset pricing. Existing research generally believes that information asymmetry and investor irrational cognition are important factors that distort asset pricing. This paper uses the high-speed railway opening to traffic as an exogenous event to investigate the construction of transportation infrastructure brings about the soft information flow on the asset pricing bias. The difference-in-differences approach (DID)shows that high-speed railway opening to traffic can effectively alleviate the asset mispricing,and this effect mainly exists in firms with low information transparency. Further investigation shows that the effect of high-speed rail opening to traffic on asset pricing is in both provincial capitals and non-capital cities, but the impact on non- provincial cities is significantly stronger than that of provincial capitals. Meanwhile,the high-speed rail opening to traffic has significantly increased the frequency of visits of local companies,showing that the opening of the high- speed rail can help stakeholders to conduct on-the-spot investigations of enterprises,communicate with management to understand information, grasp their operating conditions and potential risks, and thus reduce asset mispricing caused by information asymmetry. Based on the perspective of new economic geography,taking the high-speed rail traffic as the breakthrough point, this paper empirically tests the effect of traffic development on asset pricing efficiency and extends the related research in this field,which provides a useful reference for cross research between new economic geography and financial economics.