中国市场管理者短视、投资者情绪与公司投资行为扭曲研究

本文研究了在股东短视从而造成管理者短视的情况下,投资者估价对中国上市公司投资的直接影响。通过比较常用的市场估价指标(市值账面比)和新的错误估价指标(非均衡估价),分析不同管理者短视程度下投资者情绪对公司的长期投资、短期投资和总体投资的影响,并考察了市场错误估价与管理者短视对公司投资扭曲的混合作用。研究发现,管理者短视程度越大,公司投资对市场估价的敏感性也越高—市场估价越高,公司投资越旺盛。另外,公司的长期投资决策对非均衡估价所表示的市场错误估价具有更大的敏感性,而短期投资及其他非长期投资决策对市值账面比所表示的市场错误估价具有更强的敏感性。短期投资决策对市值账面比的强敏感性说明中国市场尚属非有效市场,市值账面比在很大程度上反映了投资者的非理性估价心理。

Management Short-horizon, Investor Sentiment and Corporate Investment Distortion in China Stock Market

This paper investigates the direct effects of investor valuations on China corporation investments under management short-horizon resulted from stockholder short-horizon.By comparing usual-used market valuation index,marketto-book ratio,with new misprice index,non-equilibrium price,this paper analyzes the effects of investor sentiment on corporate long-turn investment,short-turn investment and total investment under different management short-horizon levels.And it also surveys the mix effects of market misprice and management short-horizon on corporate investment distortion.It concludes that the higher the market misprice is,the more corporation invests,and if the level of management short-horizon is higher,the investment is more sensitive to market valuation.Furthermore,long-turn investments are more sensitive to market valuations expressed by non-equilibrium price,and short-turn investments are more sensitive to market valuations expressed by market-to-book ratio.The latter sensitivity shows that China stock market is not efficient,and market-to-book ratio can reflect investor irrational valuation psychology.