非效率投资计量模型有效性检验——基于经济周期阶段性研究简

运用事件研究法，通过上市公司发布投资公告产生的公告效应来检验非效率投资计量模型的有效性。为了消除经济周期阶段的不一致性对公告效应的影响，文章以2008年9月30日为作为节点，划分经济周期不同阶段，以2007年10月1日至2009年9月30日发布投资公告的上市公司作为研究样本，分析上市公司发布的重大投资公告对股价产生的公告效应。研究证实：经济繁荣时期上市公司发布投资公告产生负的公告效应，经济萧条时期发布投资公告则产生正的公告效应；根据Richardson残差度量模型将样本划分为投资不足和过度投资两组样本，证实了投资不足组样本公司发布投资公告产生正的公告效应，过度投资组发布投资公告则产生负的公告效应；市场投资者具备识别包括系统因素和非系统因素造成的企业非效率投资的能力。

Research on the Validity of Econometric M odel of Inefficient Investment Based on the Stages of Economic Cycle

T his paper analyzes the effect of investment announcement of listed companies by using event study to measure the validity of the econometric model of inefficient investment .Considering the in-fluence of different stages of economic cycle on the announcement effect ,and taking the September 30 ,2008 as an intermediate node to divide the economic cycle into different stages ,the listed compa-nies w hich launch the investment announcement from October 1 ,2007 to September 30 ,2009 are cho-sen as research samples to analyze the effect of major investment announcement of listed companies on the stock price .T he results show that there is a negative announcement effect in the period of eco-nomic prosperity ,but a positive announcement effect in the period of economic depression .T he sam-ples are divided into two groups according to Richardson residual measurement model ,namely under-investment group and over-investment group .The results show that there is a negative announcement effect in over-investment group ,but a positive effect in under-investment group .The investors are ca-pable of identifying the inefficient investment of enterprises caused by systematic and non-systematic factors .