股票錯誤定價與不流動性對企業投資的聯合影響

Abstract

Amihud and Levi（2023）透過實證分析發現股票流動性不佳會透過提升投資人預期報酬，即權益融資成本的管道推升公司整體資金成本，進而抑制其投資量；Baker and Wurgler（2002）提出市場擇時理論，證實公司在股價被高估時更傾向透過權益融資取得投資資金。 本研究以美國排除金融業及公用事業之上市公司為研究對象，並以1970年至2017年為主要樣本區間，參考Amihud and Levi（2023）的實證模型，並引用Stambaugh, Yu and Yuan（2015）定義的股價錯估指標（MISP）將樣本資料依據股價錯估程度高低分為五組，並對每一組分別進行追蹤資料迴歸分析，分析「股票錯誤定價與不流動性對企業投資的聯合影響」。 研究結果顯示，股票流動性不佳會顯著抑制公司的投資量，且當公司股價被高估時，此抑制效果相較於股價未被高估時更強。在股價最被高估的組別中，其股票不流動性對公司投資量的抑制效果為股價最被低估組的1.69倍。 整體研究結果顯示，當公司股價被高估時，公司會傾向使用較高比例的權益融資，因此公司的投資量將對權益融資的成本更加敏感；若此時股票流動性不佳造成權益融資成本增加，則公司投資量受到的抑制效果相較於股價未被高估時將更大。

Amihud and Levi (2023) found that stock illiquidity increases the expected return required by investors, thereby raising the cost of equity financing. This increase in financing costs, in turn, elevates the firm's overall cost of capital and subsequently decreases its investments. Baker and Wurgler (2002) proposed the market timing theory, which demonstrates that firms are more likely to use equity financing to obtain investment capital when their stock is overvalued. This study examines publicly listed firms in the United States, excluding financial and utility firms, covering the period from 1970 to 2017. Referring to the empirical model of Amihud and Levi (2023) and utilizing the mispricing measure (MISP) defined by Stambaugh, Yu and Yuan (2015), this study classifies sample firms into five groups based on the degree of stock mispricing and then conducts panel data regression analysis separately for each group to investigate the joint effect of stock mispricing and illiquidity on corporate investments. The empirical results indicate that stock illiquidity significantly decreases corporate investments, and the effect is stronger among overvalued stocks compared to undervalued stocks. Specifically, in the group of firms with the most overvalued stocks, the negative impact of stock illiquidity on investment is 1.69 times that of the group with the most undervalued stocks. In conclusion, When a firm's stock is overvalued, it tends to rely more on equity financing, making its investments more sensitive to the cost of equity capital. When the firm’s stock illiquidity leads to an increase in equity financing costs, the firm's investments will be further constrained compared to when its stock is not overvalued.