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投资者过度自信下上市公司过度投资行为研究

The Study of Overinvestment Behavior of Listed Companies Based on Investors’ Overconfidence

作者: 专业:金融学 导师:史金艳 年度:2010 学位:硕士  院校: 大连理工大学

Keywords

Behavior Finance, Overconfidence, Overinvestment

        上市公司的投资决策不仅会影响到公司的融资决策、股利政策,还会影响到上市公司的经营业绩及其未来发展。然而,在上市公司中存在的过度投资行为已成为阻碍上市公司长期发展的重要因素。这是因为在上市公司的管理者做出投资决策时,往往会受到上市公司的股票价格偏离其基本价值的制约。而由于上市公司股价会因市场上投资者自身的认知与行为偏差出现的非理性投资方式而发生偏离,最终导致上市公司股价偏离其基本价值,从而造成上市公司的过度投资问题。又由于投资者存在的这种认知与行为偏差被普遍认为是由投资者的过度自信造成的,并且过度自信也已被广泛用于解释市场上的各种投资者的认知与行为偏差。所以,基于投资者过度自信对上市公司过度投资行为的研究具有重要的现实意义。本文首先对基于投资者过度自信与上市公司过度投资行为的现有研究进行了梳理和综述,分别从模型研究和实证研究两方面进行了研究,分析了投资者过度自信与上市公司过度投资的理论基础,进一步研究投资者过度自信对上市公司过度投资的影响和作用机制。在此基础上,本文采用了以换手率作为投资者过度自信的代理变量,构建了投资者过度自信下上市公司过度投资行为影响的模型,并且从理论上证明了投资者的过度自信程度与上市公司的过度投资行为是同方向变动的。为检验理论模型的结论,选取了中国股票市场数据构建了计量经济模型,对投资者过度自信下上市公司过度投资行为的影响进行了实证分析,并且得出的实证结果能支持理论模型的结论。由此,也使本文的理论模型部分得到我国股市数据的证实。通过本文的结论分析,能给出与此相关的政策建议。
    Investment decisions of listed companies not only influence the companies’financing decisions and dividend policy, but also influence the companies’operation results and future developments. But existing in the listed companies’overinvestment which having become the principal element of obstructing future development of listed companies. This is because the administrators of the listed companies when they making the investment decisions, they tend to be constrained by the listed companies’stock price deviates its fundamental value. Owing to the listed companies’stock price would deviate because of acknowledge and behavioral deviance of the investors in the market, then leading to the listed companies’stock price deviates its fundamental value, and then resulting in the problems of the overinvestment of the listed companies. And also because of acknowledge and behavioral deviance of the investors are widespread considered caused by the overconfidence of the investors, and overconfidence has been widely used in explaining all kinds of acknowledge and behavioral deviance of the investors. Therefore, the research based on the investors’overconfidence and behavior on overinvestment of listed companies has important significance.First of all, this paper from the model studies and empirical studies aspects, and also straightens out and reviews the existing researches in the investors’overconfidence and behavior on overinvestment of listed companies, and then analyzes the theoretical basis of the investors’overconfidence and behavior on overinvestment of listed companies, accordingly studies the influence and mechanism of the investors’overconfidence and behavior on overinvestment of listed companies. And on this basis, this paper uses turnover rate as the proxy variables of the investors’overconfidence, and builds the model of the influence based on the investors’overconfidence of the behavior on overinvestment of listed companies, and then theoretically demonstrates that the investors’overconfidence and behavior on overinvestment of listed companies have the same change direction. In order to examine the results of the theoretical model, this paper selects the data of stock market of China to build the econometric model, and empirical analysis of the influence based on the investors’ overconfidence of the behavior on overinvestment of listed companies, and then reaches a conclusion that the empirical result supports the results of the theoretical model. So, it is also apply that the theoretical model research of this paper has been empirically proved by the stock market data of China. Through analyzing the conclusions in this paper, gives some relevant proposals.
        

投资者过度自信下上市公司过度投资行为研究

摘要4-5
Abstract5-6
1 绪论9-19
    1.1 选题背景与研究意义9-11
        1.1.1 选题背景9-10
        1.1.2 研究意义10-11
    1.2 国内外文献综述11-16
        1.2.1 国外文献综述11-14
        1.2.2 国内文献综述14-16
    1.3 研究评述16-17
    1.4 本文创新点与组织结构17-19
2 投资者过度自信与公司投资决策的理论基础19-26
    2.1 过度自信的概念及表现19-20
    2.2 传统投资决策理论与行为金融学投资决策理论20-23
        2.2.1 传统投资决策理论20-21
        2.2.2 行为公司金融学投资决策理论21-23
    2.3 投资者过度自信影响公司投资决策的途径23-26
3 投资者过度自信下上市公司过度投资决策的模型研究26-32
    3.1 理论模型的基本假设26-27
    3.2 投资者过度自信下上市公司过度投资的模型建立27-31
        3.2.1 理性投资者对风险资产的需求分析27-28
        3.2.2 过度自信投资者对风险资产的需求分析28-29
        3.2.3 投资者过度自信对上市公司过度投资决策的影响29-31
    3.3 理论模型的结论分析31-32
4 投资者过度自信下上市公司过度投资行为的实证研究32-43
    4.1 研究假设32-36
        4.1.1 上市公司过度投资行为的存在性32-34
        4.1.2 自由现金流与上市公司过度投资行为34
        4.1.3 独立董事与上市公司的过度投资行为34-35
        4.1.4 投资者过度自信下上市公司过度投资行为35-36
    4.2 样本选择与数据来源36
    4.3 投资者过度自信下上市公司投资的计量模型36-38
        4.3.1 上市公司正常投资水平的计量模型36-37
        4.3.2 投资者过度自信下上市公司过度投资水平的计量模型37-38
    4.4 实证结果分析38-41
        4.4.1 描述性统计分析38-39
        4.4.2 回归结果及其分析39-41
    4.5 稳健性检验41-42
    4.6 实证结论42-43
5 结论与政策建议43-46
    5.1 研究结论43-44
    5.2 政策建议44-45
    5.3 研究不足45-46
参考文献46-49
附录A 确定性等值CE的推导49-50
附录B 条件期望与条件方差的推导50-52
攻读硕士学位期间发表学术论文情况52
攻读硕士学位期间参加科研课题情况52-53
致谢53-55
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