A F PHR BGL022

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Νηλεύς Ζερβός
6 χρόνια πριν
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1 A A F A A 0 Q PHR BGL

2 Lang 1989 Q Q 1 Q 2009 Blanchard 1994 Fazzari 1988 Vogt 1994 Richardson 2006 I NEW t = α + β 1 V /P t β 2 Leverage t β 3 Cash t β 4 Age t β 5 Size t β 6 Stock Returns t β 7 I NEW t ΣYear Indicator + ΣIndustry Indicator + ξ t I NEW t t V /P t - 1 t Leverage t - 1 Cash t - 1 Age t - 1 Size t - 1 Stock Returns t - 1 t t - 1 I NEW t - 1 Richardson Rumelt 1974 HDI SIC 0 ~ 1 Jacquemin 1979 N DT DT = N P i ln 1 /P i P i N P i = 1 i = N i = 1 i = 1 P i i DT 149

3 Denis Pourciau 1993 DT

4 R 2 R W j W j = R - 1 j 3 R - 1 j j = 1 Richardson 2006 H1 H Hoskisson 1990 H21 H22 H21 H22 Denis 1995 Pourciau 1993 DeAngelo 1988 Murphy 1993 H31 H32 H31 151

5 H32 1. CSMAR WIND RESSET /DB A % 99% WINSORIZE Excel 2007 SAS RINVEST i t = β 0 + β 1 RIQ i t β 2 RLEV i t β 3 RCASH i t β 4 RAGE i t β 5 RSIZE i t β 6 RRETURN i t β 7 RINVEST i t β 8 D TMT i t β 9 D TMT i t T - 1 β 9 + td YEAR i + ε t = 1 t i t 1 RINVEST i t RINVEST i t - 1 RIQ i t - 1 Q RLEV i t - 1 RCASH i t - 1 RAGE i t - 1 RSIZE i t - 1 RRETURN I t D TMT i t D TMT i t D YEAR T i t T - 1 β 0 β 1 β 2 ε i t 2 RROA i t = β 0 + β 1 RDT i t + β 2 RDDT i t + β 3 RLEV i t + β 4 RCASH i t + β 5 RAGE i t + β 6 RSIZE i t + β 7 RA10 i t + β 8 RZINDEX i t + β 9 RPGYG i t + β 10 RPFRG i t + β 11 RDA i t + β 12 RINVEST i t + β 13 D TMT i t + β 14 D TMT i t β 15 D TMT i t RINVEST i t + T - 1 β 15 + td YEAR i t + ε i t 2 t = 1 RROA i t RDT i t RDDT i t DDT i t DDT i t = DT i t - DT i t - 1 RLEV i t RCASH i t RAGE i t RSIZE i t RINVEST i t RA10 i t RZINDEX i t RPGYG i t RPFRG i t 1 Invest = - / Q = + / Lev = / Cash = / Age IPO Size Roa 152

6 1 / 2 RDA i t 2003 Jones 2 D TMT i t RINVEST i t H31 H { t RROA i t = f TMT RINVEST Control1 i t 3 RINVEST i t = f TMT Control2 i - 1 RROA i t TMT RINVEST Control1 Control OLS VIF 1 ~ 3 VIF D YEAR i t 1 1% H1 5% R RINVEST 1 1 RIQ RLEV RCASH RAGE RSIZE RLRETURN RLINVEST TMT L_TMT AdjR *** *** *** *** *** *** *** ** *** ** * 1% 5% 10% t % 10% H21 H22 1% TMT 1% L_TMT 10% H31 H32 R RDT RDDT RLEV RCASH RAGE RSIZE RA10 RZINDEX RPGYG RPFRG RDA RINVEST TMT L_TMT TMT RINVEST AdjR * RROA * *** *** *** *** *** *** *** *** *** *** * ***

7 R RIQ RLEV RCASH RAGE RSIZE RLRETURN RLINVEST TMT L_TMT SwR 2 RINVEST *** *** *** *** *** *** *** ** L_TMT 1% L_TMT TMT RINVEST % R RDT RDDT RLEV RCASH RAGE RSIZE RA10 RZINDEX RPGYG RPFRG RDA RINVEST TMT L_TMT TMT RINVEST AdjR ** RROA ** *** *** *** *** *** *** *** *** *** *** *** RL- ROA 1 RRETURN i t HI DT ~ 3 1 RESIDUAL RDT DT RDDT RDT IQCI IQCI = W 1 RESIDUAL + W 2 RDT + W 3 RDDT 4 W 1 W 2 W SCORE i t r = MAX RESIDUAL i t - RESIDUAL i t MAX RESIDUAL i t -0 SCORE i t d1 = SCORE i t d2 = MAX RDT i t - RDT i t MAX RDT i t - MIN RDT i t 100 RDDT i t - MAX RDDT i t MAX RDDT i t - MIN RDDT i t 100 SCORE i t = SCORE i t r W 1 + SCORE i t d1 W 2 + SCORE i t d2 W

8 5 MAX RESIDUAL i t 1 RESIDUAL i t 6 7 MAX MIN RDT i t RDDT i t 8 SAS RESIDUAL RDT RDDT RESIDUAL RDT RDDT W 1 W 2 W IQCI A 5 A A % ~ ~ A = W 1 + W 2 + W 3 W 1 W 2 W 3 1 1% 99% WINSORIZE 155

9 J J J M J J BLANCHARD O J LOPEZ - DE - SILANES F SHLEIFER A What do firms do with cash windfalls J. Journal of Financial Economics DEANGELO L E Managerial competition information costs and corporate governance the use of accounting performance measures in proxy contests J. Journal of Accounting and Economics DENIS D J DENIS D K Performance changes following top management dismissals J. Journal of Finance FAZZARI S HUBBARD R G PETERSEN B C Financing constraints and corporate investment J. Brookings Papers on Economic Activity HOSKISSON R E HITT M A Antecedents and performance outcomes of diversification a review and critique of theoretical perspectives J. Journal of Management JACQUEMIN A P BERRY C H Entropy measure of diversification and corporate growth J. The Journal of Industrial Economics LANG L H P LITZENBERGER R H Dividend announcements cash flow signalling U. S. free cash flow hypothesis J. Journal of Financial Economics MURPHY K ZIMMERMAN J Financial performance surrounding CEO turnover J. Accounting and Economics POURCIAU S Earnings management and non - routine executive changes J. Journal of Accounting and Economics RICHARDSON S A Over - investment of free cash flow J. Review of Accounting Studies VOGT S C The cash flow /investment relationship evidence from U. S. manufacturing firms J. Financial Management Construction and Testing of Enterprises' Two-dimensional Invest Quality Evaluation System Empirical Evidence from China's A Share Listed Companies WU Liang-hai 1 2 XIE Zhi-hua 3 WANG Feng-juan 3 1. School of Accountancy Central University of Finance and Economics Beijing School of Management Anhui University of Technology Maanshan School of Business Beijing Technology and Business University Beijing Abstract Based on the two-dimensional value perspective of integrating efficiency and risk concerning the quality of investment this paper selects 6712 A-share listed companies from 2000 to 2010 as research sample of investment quality evaluation system the results show that stock returns are significantly positively correlated w ith the size of investment. The prediction ability of the expected investment model is relatively strong and its residuals can be used to evaluate the invest efficiency of enterprises as denoted the quality of the size of investment relative diversification and its incremental level are significantly associated with their operating performance both can be used to evaluate the risk level of business investment as denoted the quality of the structure of investment. According to the statistical analysis of the results we construct the investment quality index calculation model regarding Chinese listed companies based on correlation coefficient weighted average method and then verify the scientific nature and feasibility of the two - dimensional investment quality evaluation system through the actual data. Keywords invest quality two-dimensional value perspective invest quality index evaluation system 156

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