A F PHR BGL022

2012. 1 A 1 2 3 3 1. 100081 2. 243002 3. 100048 6712 A 2002 2010 F279. 246 A 1001-6260 2012 01-0148 - 09 2011 20022010 A 0 Q 2011-09-10 1970 1959 1969 PHR20100512 11BGL022 148

Lang 1989 Q Q 1 Q 2009 Blanchard 1994 Fazzari 1988 Vogt 1994 Richardson 2006 I NEW t = α + β 1 V /P t - 1 + β 2 Leverage t - 1 + β 3 Cash t - 1 + β 4 Age t - 1 + β 5 Size t - 1 + β 6 Stock Returns t - 1 + β 7 I NEW t - 1 + 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 2006 2001 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 = 1 2 3 N i = 1 i = 1 P i i DT 149

Denis 1995 19851988 3 Pourciau 1993 DT 2004 150

R 2 R W j W j = R - 1 j 3 R - 1 j j = 1 Richardson 2006 H1 H1 2004 3 Hoskisson 1990 H21 H22 H21 H22 Denis 1995 Pourciau 1993 DeAngelo 1988 Murphy 1993 H31 H32 H31 151

H32 1. CSMAR WIND RESSET /DB 20022010 A 20002010 6712 1% 99% WINSORIZE Excel 2007 SAS 9. 2 2. 1 RINVEST i t = β 0 + β 1 RIQ i t - 1 + β 2 RLEV i t - 1 + β 3 RCASH i t - 1 + β 4 RAGE i t - 1 + β 5 RSIZE i t - 1 + β 6 RRETURN i t - 1 + β 7 RINVEST i t - 1 + β 8 D TMT i t - 1 + β 9 D TMT i t - 1 + 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 - 1 1 D TMT i t D TMT i t - 1 1 0 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 - 1 + 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

1 / 2 RDA i t 2003 Jones 2 D TMT i t RINVEST i t H31 H32 1 3 { 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 Control2 1 2 1. 1 OLS VIF 1 ~ 3 VIF D YEAR i t 1 1% H1 5% R 2 0. 24 1 RINVEST 1 1 RIQ RLEV RCASH RAGE RSIZE RLRETURN RLINVEST TMT L_TMT AdjR 2-0. 05 *** - 0. 08 *** - 3. 00-4. 64 0. 04 *** 3. 37-0. 04 *** - 2. 90 0. 03 *** 2. 70 0. 04 *** 3. 04 0. 46 *** 27. 85-0. 03 ** - 2. 16-0. 02-1. 17 *** ** * 1% 5% 10% t 2 2 2 10% 10% H21 H22 1% TMT 1% L_TMT 10% H31 H32 R 2 0. 34 2 2 RDT RDDT RLEV RCASH RAGE RSIZE RA10 RZINDEX RPGYG RPFRG RDA RINVEST TMT L_TMT TMT RINVEST AdjR 2 0. 24-0. 02* RROA -1. 71 0. 02 * -0. 33 *** 0. 24 *** 0. 05 *** 1. 68-8. 07 15. 89 4. 95 0. 14 *** 8. 46 0. 14 *** 10. 67-0. 05 *** -0. 04 *** -0. 02-4. 28-2. 76-1. 46 0. 27 *** 9. 32 0. 08 *** 7. 17-0. 06 *** -4. 73-0. 02 * -1. 63 0. 03 *** 2. 65 0. 34 2. 1 3 3 1 153

R 2 0. 30 3 3 RIQ RLEV RCASH RAGE RSIZE RLRETURN RLINVEST TMT L_TMT SwR 2 RINVEST -0. 06 *** -3. 21-0. 08 *** -4. 58 0. 04 *** 3. 41-0. 04 *** -3. 29 0. 03 *** 2. 47 0. 05 *** 4. 42 0. 46 *** 41. 03-0. 02 ** -2. 16-0. 01-1. 25 0. 30 2 4 3 1 L_TMT 1% -0. 06-0. 04 L_TMT TMT RINVEST 0. 03 0. 09 1% R 2 0. 30 4 3 RDT RDDT RLEV RCASH RAGE RSIZE RA10 RZINDEX RPGYG RPFRG RDA RINVEST TMT L_TMT TMT RINVEST AdjR 2-0. 02** RROA -2. 07 0. 02 ** -0. 32 *** 2. 10-30. 04 0. 23 *** 21. 75 0. 05 *** 5. 08 0. 15 *** 0. 10 *** 13. 39 4. 36 0. 14 *** 10. 70-0. 04 *** -0. 04 *** -4. 37-2. 65-0. 02-1. 34 0. 27 *** 24. 57-0. 04 *** -4. 19-0. 01-1. 42 0. 09 *** 8. 25 0. 30 3. RL- ROA 1 RRETURN i t -1 1 3 HI DT 2 3 1 ~ 3 1 RESIDUAL RDT DT RDDT RDT IQCI IQCI = W 1 RESIDUAL + W 2 RDT + W 3 RDDT 4 W 1 W 2 W 3 0 20022010 SCORE i t r = MAX RESIDUAL i t - RESIDUAL i t 100 5 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 3 6 7 8 154

5 MAX RESIDUAL i t 1 RESIDUAL i t 6 7 MAX MIN RDT i t RDDT i t 8 SAS RESIDUAL RDT RDDT 0. 0558 0. 3040 0. 3043 RESIDUAL RDT RDDT W 1 W 2 W 3 0. 7317 0. 1342 0. 1341 IQCI 20022010 A 5 A 20022010 5 2002 2010 5 2002 77. 14 75. 53 2007 1. 61 20032006 A 2002 490 77. 14 11. 27 80. 33 93. 00 11. 59 2003 632 76. 22 12. 38 79. 63 89. 98 13. 92 2004 864 76. 37 12. 10 79. 43 90. 79 12. 24 2005 972 77. 29 12. 04 80. 62 91. 13 13. 01 2006 1066 77. 33 11. 92 80. 75 90. 85 12. 20 2007 1066 75. 53 13. 62 79. 29 90. 43 11. 28 2008 1152 75. 97 12. 70 78. 88 91. 30 10. 20 2009 1268 76. 60 13. 09 80. 65 89. 86 9. 89 0. 48% 2007 2009 2010 2010 1379 75. 94 12. 41 78. 92 91. 90 9. 06 75. 94 75. 53 11 ~ 14 78 ~ 81 20022006 2007 A 20022010 1 2 3 4 = W 1 + W 2 + W 3 W 1 W 2 W 3 1 1% 99% WINSORIZE 155

. 2001. J. 10 75-82.. 2004. J. 1 145-146 149.. 2003. J. 2 94-122.. 2011. M. 15-17.. 2004. J. 11 119-135.. 2009. J. 5 69-77. BLANCHARD O J LOPEZ - DE - SILANES F SHLEIFER A. 1994. What do firms do with cash windfalls J. Journal of Financial Economics 36 3 337-360. DEANGELO L E. 1988. Managerial competition information costs and corporate governance the use of accounting performance measures in proxy contests J. Journal of Accounting and Economics 10 1 3-36. DENIS D J DENIS D K. 1995. Performance changes following top management dismissals J. Journal of Finance 50 4 65-86. FAZZARI S HUBBARD R G PETERSEN B C. 1988. Financing constraints and corporate investment J. Brookings Papers on Economic Activity 1 141-195. HOSKISSON R E HITT M A. 1990. Antecedents and performance outcomes of diversification a review and critique of theoretical perspectives J. Journal of Management 16 2 461-509. JACQUEMIN A P BERRY C H. 1979. Entropy measure of diversification and corporate growth J. The Journal of Industrial Economics 27 4 359-369. LANG L H P LITZENBERGER R H. 1989. Dividend announcements cash flow signalling U. S. free cash flow hypothesis J. Journal of Financial Economics 24 1 181-191. MURPHY K ZIMMERMAN J. 1993. Financial performance surrounding CEO turnover J. Accounting and Economics 16 1-3 67-85. POURCIAU S. 1993. Earnings management and non - routine executive changes J. Journal of Accounting and Economics 16 317-336. RICHARDSON S A. 2006. Over - investment of free cash flow J. Review of Accounting Studies 11 2-3 159-189. VOGT S C. 1994. The cash flow /investment relationship evidence from U. S. manufacturing firms J. Financial Management 23 2 3-20. 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 100081 2. School of Management Anhui University of Technology Maanshan 243001 3. School of Business Beijing Technology and Business University Beijing 100048 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