卖空压力下资产误定价与企业资本投资研究

The Effect of Asset Mispricing on Corporate Capital Expenditure under Short Selling Pressure

以2010-2016年沪深A股非金融类上市公司为样本,运用市账比分解及剩余收益估值模型来测度资产误定价,检验了卖空压力下资产误定价的实体经济效果。实证结果表明:资产误定价与企业投资水平正相关,说明存在显著的投资迎合行为,且资产误定价可以同时通过理性迎合渠道和股权融资渠道影响企业投资水平;当融资约束越高时,股权融资渠道的迎合效果越明显。在卖空压力下,融资融券标的公司以及国有企业不具有显著的投资迎合行为。因此,企业应着眼于长远发展而不是为了短期利益一味迎合投资者非理性情绪,并正确引导市场对公司准确估值,促进资本市场健康发展,提高实体经济资源配置效率。

Taking the A-share non-financial listed companies in Shanghai and Shenzhen stock exchanges during 2010-2016 as samples, using the M/B ratio decomposition and residual income valuation model to measure stock mispricing, the paper studies the real effect of stock mispricing under short selling pressure. The results show that stock mispricing is positively correlated with corporate investment level, indicating that there are significant investment catering behaviors, and stock mispricing can affect the investment level of the enterprise through rational channel and equity financing channels at the same time;and when the financing constraint is higher, the equity financing channel has greater attractive effect. Under the pressure of short selling, the margin trading companies, and state-owned enterprises do not have significant investment catering activities. Therefore, enterprises should focus on long-term development rather than short-term interests to avoid catering to investors’ irrational sentiments;enterprises should correctly guide the market to accurately value the company, promote the healthy development of the capital market, and improve the efficiency of resource allocation in the real economy.