行为金融视角下投资者情绪对实体企业金融化的影响研究

摘要/Abstract

摘要： 在实体企业金融类资产配置程度不断提高的现实背景下，企业金融化逐渐成为学术界和实务界共同关注的焦点，已有成果多聚焦于宏观层面的诱因分析，尚缺乏研究从行为金融视角提供来自新兴市场的微观证据。为此，本文以非金融保险类、非房地产类上市公司为研究对象，通过理论分析、模型推导和实证检验，刻画了行为金融视角下投资者情绪对实体企业金融化的影响路径。研究表明：投资者情绪造成的股票误定价会显著提升实体企业的金融化水平，而企业的股权融资依赖程度和管理者迎合程度会强化二者间的正向关系。进一步研究表明，上述作用关系在不同产权性质的企业间及不同宏观经济环境下均存在显著差异。本文从行为金融角度拓展了实体企业金融化的机理研究，有助于识别市场情绪在实体企业金融类资产配置过程中扮演的角色，为监管层管理资本市场情绪、规范股权融资过程提供了理论依据，亦有助于实体企业和中小投资者合理规避投融资过程的风险和投机行为。

关键词: 行为金融, 投资者情绪, 实体企业金融化, 股权融资依赖, 管理者迎合

Abstract: Against the backdrop of increasingly prevailing financial asset allocation in industrial companies, corporate financialization is becoming a common focus of academia and industry. While existing researches mainly concentrate on the analysis of incentives at the macro level, there is still a lack of research to provide micro-evidence in the emerging markets. Consequently, this paper studies non-financial and non-real estate listed firms by conducting theoretical analysis, model deduction and empirical test, and depicts the impact of investor sentiment on the financialization of entity enterprise from the perspective of behavioral finance. The results show that the mispricing of stocks caused by investors’ sentiment will significantly increase the level of financialization of industrial companies. Meanwhile the degree of equity financing dependence and the level of managerial compliance will strengthen the positive relationship between the two. Further, the above-mentioned relationship varies significantly among enterprises with different property rights and in different economic periods. From the perspective of behavioral finance, the paper expands the research on the mechanism of financialization of entity enterprise, which helps identify the role of market sentiment in the allocation of financial assets, and provides a theoretical basis for regulators to manage market sentiment and standardize the process of equity financing. This paper also helps industrial companies and minority investors to circumvent the risks and speculation in the investment and financing process.

Key words: behavioral finance, investor sentiment, financialization of industrial companies, equity financing dependence, managerial compliance

杨松令, 牛登云, 刘亭立, 王志华. 行为金融视角下投资者情绪对实体企业金融化的影响研究[J]. 管理评论, 2021, 33(6): 3-15.

Yang Songling, Niu Dengyun, Liu Tingli, Wang Zhihua. Research on the Influence of Investor Sentiment on the Industrial Companies’ Financialization from the Perspective of Behavioral Finance[J]. Management Review, 2021, 33(6): 3-15.

参考文献

[1] 谢家智,王文涛,江源. 制造业金融化、政府控制与技术创新[J]. 经济学动态, 2014, (11):78-88
[2] 宋军,陆旸. 非货币金融资产和经营收益率的U形关系——来自我国上市非金融公司的金融化证据[J]. 金融研究, 2015,(6):111-127
[3] Stockhammer E. Financialisation and the Slowdown of Accumulation[J]. Cambridge Journal of Economics, 2004,28(5):719-741
[4] 吴悠悠. 散户、机构投资者宏微观情绪:互动关系与市场收益[J]. 会计研究, 2017,(11):86-92
[5] Baker M., Wurgler J. Market Timing and Capital Structure[J]. Journal of Finance, 2002,57(1):1-32
[6] Polk C., Sapienza P. The Stock Market and Corporate Investment:A Test of Catering Theory[J]. Review of Financial Studies, 2009,22(1):187-217
[7] 陈雨露. 重建宏观经济学的"金融支柱"[J]. 国际金融研究, 2015,(6):3-11
[8] Holmstrom B., Kaplan S. N. Corporate Governance and Merger Activity in the U.S[J]. Journal of Economic Perspectives, 2001,15(2):121-144
[9] 邓超,许志勇. 民营企业金融化发展路径与风险防范[J]. 理论探讨, 2017,(5):109-113
[10] 王宜峰,王燕鸣. 投资者情绪在资产定价中的作用研究[J]. 管理评论, 2014,26(6):42-55
[11] 叶建华. "热手效应"和"赌徒谬误"决策偏差与股市极大日收益率异象——基于中国A股市场的经验证据[J]. 管理评论, 2016,28(11):30-39
[12] 花贵如,刘志远,郑凯. 机构投资者是股票市场影响实体经济的助推器吗?——基于投资者情绪对公司资本投资的视角[J]. 经济与管理研究, 2015,36(2):51-58
[13] 花贵如,刘志远,许骞. 投资者情绪、企业投资行为与资源配置效率[J]. 会计研究, 2010,(11):49-55
[14] Baker M., Stein J. C., Wurgler J. When Does the Market Matter? Stock Prices and the Investment of Equity-Dependent Firms[J]. Quarterly Journal of Economics, 2003,118(3):969-1006
[15] Gilchrist S., Himmelberg C. P., Huberman G. Do Stock Price Bubbles Influence Corporate Investment?[J]. Journal of Monetary Economics, 2005,52(4):805-827
[16] 郝颖,刘星. 资本投向、利益攫取与挤占效应[J]. 管理世界, 2009,(5):128-144
[17] 吴世农,汪强. 迎合投资者情绪?过度保守?还是两者并存——关于公司投资行为的实证研究[J]. 公司治理评论, 2009,1(1):185-204
[18] 朱迪星,潘敏. 迎合投资一定非效率吗——基于利益相关者的视角[J]. 南开管理评论, 2012,15(6):14-24
[19] 刘志远,靳光辉. 投资者情绪与公司投资效率——基于股东持股比例及两权分离调节作用的实证研究[J]. 管理评论, 2013,25(5):82-91
[20] 刘志远,花贵如. 投资者情绪与企业投资行为研究述评及展望[J]. 外国经济与管理, 2009,31(6):45-51
[21] 花贵如,刘志远,许骞. 投资者情绪、管理者乐观主义与企业投资行为[J]. 金融研究, 2011,(9):178-191
[22] 彭俞超,韩珣,李建军. 经济政策不确定性与企业金融化[J]. 中国工业经济, 2018,(1):137-155
[23] 黎文靖,李茫茫. "实体+金融":融资约束、政策迎合还是市场竞争?——基于不同产权性质视角的经验研究[J]. 金融研究, 2017,(8):100-116
[24] 彭俞超,刘代民,顾雷雷. 减税能缓解经济"脱实向虚"吗?——来自上市公司的证据[J]. 税务研究, 2017,(8):93-97
[25] Baker M., Wurgler J. Behavioral Corporate Finance:An Updated Survey[J]. Handbook of the Economics of Finance. 2013,2(A):357-424
[26] Sawicki J., Shrestha K. Misvaluation and Insider Trading Incentives for Accrual-based and Real Earnings Management[J]. Journal of Business Finance & Accounting, 2014,41(7-8):926-949
[27] 翟淑萍,黄宏斌,毕晓方. 资本市场业绩预期压力、投资者情绪与企业研发投资[J]. 科学学研究, 2017,35(6):896-906
[28] Demir F. Financial Liberalization, Private Investment and Portfolio Choice:Financialization of Real Sectors in Emerging Markets[J]. Journal of Development Economics, 2009,88(2):314-324
[29] 张成思,张步昙. 中国实业投资率下降之谜:经济金融化视角[J]. 经济研究, 2016,51(12):32-46
[30] Goyal V. K., Yamada T. Asset Price Shocks, Financial Constraints, and Investment:Evidence from Japan[J]. Journal of Business, 2004,77(1):175-199
[31] 谭跃,夏芳. 股价与中国上市公司投资——盈余管理与投资者情绪的交叉研究[J]. 会计研究, 2011,(8):30-39
[32] 黄宏斌,翟淑萍,陈静楠. 企业生命周期、融资方式与融资约束——基于投资者情绪调节效应的研究[J]. 金融研究, 2016,(7):96-112
[33] 张庆,朱迪星. 投资者情绪、管理层持股与企业实际投资——来自中国上市公司的经验证据[J]. 南开管理评论, 2014,17(4):120-127
[34] 邓超,张梅,唐莹. 中国非金融企业金融化的影响因素分析[J]. 财经理论与实践, 2017,38(2):2-8
[35] 王铭利. 影子银行、信贷传导与货币政策有效性——一个基于微观视角的研究[J]. 中国软科学, 2015,(4):173-182
[36] Davis L. E. Financialization and the Non-Financial Corporation:An Investigation of Firm-Level Investment Behavior in the United States[J]. Metroeconomica, 2018,69(1):270-307
[37] Luz A. R. D., Bittencourt J. T., Taioka T., et al. Wealth Financialization:Operating Profit as Conditioning of Financial Revenue[J]. Journal of Financial Innovation, 2015,1(1):53-72
[38] 刘笃池,贺玉平,王曦. 企业金融化对实体企业生产效率的影响研究[J]. 上海经济研究, 2016,(8):74-83
[39] Arrighi G. The Long Twentieth Century:Money, Power, and the Origins of Our Times[J]. American Political Science Association, 1994,89(4):427-436
[40] Chan K., Chan L. K. C., Jegadeesh N., et al. Earnings Quality and Stock Returns[J]. Journal of Business, 2006,79(3):1041-1082
[41] 李君平,徐龙炳. 资本市场错误定价、融资约束与公司融资方式选择[J]. 金融研究, 2015,(12):113-129
[42] Baker M., Wurgler J. Investor Sentiment and the Cross-Section of Stock Returns[J]. The Journal of Finance, 2006,61(4):1645-1680
[43] 易志高,茅宁. 中国股市投资者情绪测量研究:CICSI的构建[J]. 金融研究, 2009,(11):174-184