过度投资与投资不足:基于双边随机边界模型的实证研究
Overinvestment versus Underinvestment: A Two-tier Stochastic Frontier Approach
Abstract
公司非有效投资主要存在两种形式:投资不足和过度投资。现有文献所采用的研究方法往往未能准确度量出两类非有效投资程度,其实证结论往往由二者的净影响所驱动。本文使用1975-2014年美国上市公司数据,借助双边随机边界模型将真实投资对投资机会的回归残差分解,从而估计出每一家公司每一年的过度投资水平和投资不足水平,并构造出二者的衡量指标。本文使用新指标研究公司投资效率与股票收益率之间的关系。 本文的实证研究分为三个部分展开:我们首先证实本文所提出的投资效率指标的有效性,并以投资不足的衡量指标为基础,对比及评价现有文献中常用的融资约束指标。研究结果表明:相比KZ指数、Cleary指数和股利支付哑变量,... There are two basic forms of inefficient investment: underinvestment and overinvestment. Researchers endeavor to set up a general framework which takes both underinvestment and overinvestment into consideration. However, their empirical results are usually driven by the net effects of under- and overinvestment. Using a two-tier stochastic frontier model, this paper proposes direct measures of unde...