股價報酬變異對公司投資決策的影響－考慮公司融資受限的情況

The Effect of Stock Return Variation on Corporate Investment Decisions under Financial Constraints

詹家昌(Chia-Chung Chan)；王冠婷(Kuan-Ting Wang)

個別公司報酬變異 ； 價格資訊 ； 融資限制 ； 投資決策 ； firm-specific return variation ； price informativeness ； financial constraints ； investment decisions

管理與系統

12卷4期（2005 / 10 / 01）

55 - 78

繁體中文

有許多實證文獻探討投資與股價是否有關的課題，然而對此關係之推論卻相當分歧與不一致。而此相關研究是可以使用橫斷面的分析方法，研究哪一種公司對投資與股價具較高的敏感度。本文除了驗證個別公司報酬變異所代表的價格資訊，對股價與實質投資是否扮演重要角色外，也觀察融資限制因子是否會影響股價變動與實質投資之間的敏感度。易言之，本文認為價格資訊與融資限制在影響投資與股價的敏感度方面並不是獨立的，主張價格資訊在決定投資方面扮演了一個主動的角色，亦即股票價格反映了一些經理人所未知的資訊，同時本文驗證了融資限制是會強化公司經理人利用權益融資管道來增加股東財富的能力。

Many empirical papers study the correlation between stock prices and investment. However, there is very little direct analysis on the relative merits of the possible explanations offered in the literature to this correlation. Such an analysis can be conducted cross-sectionally by studying which firms have stronger sensitivity of investment to stock price. In this paper, in addition to test empirically whether price informativeness has an important role in generating the correlation between stock prices and real investment, we also emphasize that financial constraints factor may result in stronger correlation. Both price informativeness and financial constraints do not affect investment sensitivity to stock price independently. We argue that price informativeness may point to an active role of prices in determining investment, i.e., prices reflect some information that is not known to managers. We find that financial constraints may influence whether managers will utilize this channel to increase their shareholders' wealth.

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