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中国特色的市场环境下,市场化程度会对资本配置效率产生怎样的影响,以及在这样的市场环境中股市信息效率与资本配置效率间的关系又会产生怎样的变化,是值得深入探讨的课题。采用沪深两市A股非金融类上市公司为研究样本,借鉴Wurgler的资本配置效率模型,分别从地区及公司层面探讨中国市场环境下股价信息含量对资本配置效率的影响。实证结果表明,无论是在地区层面还是公司层面,较高的股价信息含量均有助于提升资本配置效率;进一步采用市场化指数检验表明,市场环境在股价信息含量影响资本配置效率中存在显著的调节作用。
Under the market environment with Chinese characteristics, how the degree of marketization will affect the efficiency of capital allocation and how the relationship between the efficiency of capital markets and the efficiency of capital allocation will change in such a market environment is a topic that deserves further study . This paper uses the A-share non-financial listed companies in Shanghai and Shenzhen stock exchanges as the research sample and Wurgler’s capital allocation efficiency model to explore the impact of the stock price information content on the capital allocation efficiency in the Chinese market from the regional and company level respectively. The empirical results show that the higher stock price information content helps to improve the capital allocation efficiency both in the regional level and the corporate level. Further tests using the market-oriented index show that the market environment has significant impact on the capital allocation efficiency of the stock price information content Regulatory effect.