摘要
资本市场如何影响实体经济的效率?本文利用中国A股上市公司数据研究了股票的错误定价程度对上市公司运行效率的影响及其潜在机制.研究结果表明,股票错误定价程度的提高会导致上市公司运行效率的降低,这一结果在基于沪深港通事件的PSM-DiD分析和基于基金赎回压力的工具变量法下均成立.在探究错误定价影响公司运行效率的潜在传导机制时,本文发现公司创新和融资约束有助于解释错误定价对运行效率的负向影响,且在控制上述两种传导机制后,仍然存在剩余效应.本文为研究股价的信息传递作用和微观层面的实体经济运行效率提供了新的视角,并为股票市场与实体经济关系的相关研究提供了新的实证证据.
How does the capital market affect the efficiency of the real economy? This paper examines the effects of the degree of stock mispricing on the efficiency of listed companies in China A-share market,and further discusses possible underlying mechanisms through which stock mispricing affects the real efficiency.The result shows that the stock mispricing decreases the efficiency of listed companies.This result is robust in the PSM-DiD analysis based on the Shanghai-Hong Kong and Shenzhen-Hong Kong stock connect events,and the instrumental variable method using the measure of mutual fund redemption pressure.When exploring potential mechanisms,this paper finds that corporate innovation and financing constraints could explain the negative impact of mispricing on corporate efficiency,and there is still a residual effect after controlling the above two mechanisms.This paper offers a new perspective for studying the information transmission function of stock price and the micro-level operation efficiency of the real economy,and provides additional empirical evidence for research on the relationship between the stock market and the real economy.
作者
刘力源
尹玉刚
刘亚辉
LIU Li-yuan;YIN Yu-gang;LIU Ya-hui(PBC School of Finance,Tsinghua University,Beijing 100083,China;School of Finance,Southwestern University of Finance and Economics,Chengdu 611130,China)
出处
《管理科学学报》
CSSCI
CSCD
北大核心
2023年第8期52-73,共22页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(71903154,71873266)
中央高校基本科研业务费专项基金资助项目(JBK2001077)。
关键词
错误定价
全要素生产率
公司创新
融资约束
mispricing
total factor productivity
corporate innovation
financial constraints
作者简介
通讯作者:尹玉刚(1988-),男,安徽六安人,博士,副教授,博士生导师.Email:yinyg@swufe.edu.cn。
