企业投资决策同伴效应及其特征的实证检验——基于中国上市公司的面板数据

doi:10.16381/j.cnki.issn1003-207x.2019.12.003

摘要/Abstract

摘要： 企业投资的同伴效应是指企业的投资行为受到其参照组内同伴投资的影响。为解决识别同伴效应时面临的参照组有效性问题以及企业决策互相影响的联立性问题，本文选择跨区域的同行业企业作为同伴企业，首次构建了同伴企业的同区域跨行业企业的投资均值作为工具变量，基于2008-2015年中国上市公司的面板数据，实证检验了上市企业投资决策的同伴效应。结果表明，中国上市企业投资决策受到跨区域同行业的同伴企业投资显著正向影响，且这种同伴效应在增减变动方向上具有不对称性和乘数效应的基本特征。本文拓展和深化了企业财务决策同伴效应的现有研究，并有助于投资者与监管部门理解同伴效应的放大作用。

关键词: 企业投资决策, 同伴效应, 工具变量, 社会乘数

Abstract: In a perfect market, corporate investment should be a firm-level idiosyncratic activity, while firms may interact through indirect and direct linkages in reality. Recent studies empirically examine the peer effects of corporate investment using OLS method by linear-in-mean model, and find that firm's investment is positive related to its peers' investment in the same reference group. However, it generates identification problems when using OLS method or an endogenous instrument to estimate peer effects. Several literatures solve the simultaneity problem by using heterogeneous returns of stocks as instrumental variables, but they have neglected the effectiveness of reference groups. Specifically, when industry reference group is used, only a part of peers in the same industry affect the focal firm's investment, and moreover those within-industry and within-region peers have two alternative explanations for peer effects:regional government intervention and industry competition, which lead to an ineffective estimated coefficient of within-industry peer effects. Thus, IV method is used to examine peer effects in corporate investment decisions of Chinese listed firms during 2008 to 2015. To estimate net peer effects of industry peers, within-industry and cross-region firms are chosen as focal firm's non-local peers, and peers' local uncorrelated firms' average investment is used as instrument variables. It estimates that firms increase investment by 29% in response to one standard deviation increase that of their peers. Further investigations show that firstly, focal firm would keep pace with their peers when peers positively invest and would not react when peers negatively investment; secondly, there are social multiplier effects in the investment, which means that the fluctuation of investment at firm level can cause several times changes within the whole reference group through peer effects. This study contributes to extend the understanding of corporate investment, to deepen the existing research on the peer effects of corporate financial decisions, and to help regulators understand that the positive influence of peers' investment could amplify variation in aggregate investment.

Key words: corporate investment, peer effects, instrumental variable, social multiplier

中图分类号:

F275

李佳宁, 钟田丽. 企业投资决策同伴效应及其特征的实证检验——基于中国上市公司的面板数据[J]. 中国管理科学, 2019, 27(12): 22-31.

LI Jia-ning, ZHONG Tian-li. Peer Effects in Corporate Investment: Empirical Study Based on Chinese Listed Firms[J]. Chinese Journal of Management Science, 2019, 27(12): 22-31.

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