股票市场效率性新投资之采行.docVIP

股票市場效率性與新投資之採行 Stock Market Efficiency and The Adoption of New Investment 林育秀 Yu Shou lin* 摘要 本文分析股票市場效率性與廠商投資決策的關係，並探討股價資訊的實質效益，在(1)眾多異質廠商，(2)新投資具有實質選擇權(real options)特性的假設下，內生化廠商與股票交易者的資訊購買決策。均衡時廠商的投資與資訊購買決策決定於廠商技術水準與股價效率性之高低，股價資訊效益有二：(1)增加體系的期望報酬，(2)提高新資訊的被利用度，就前者而言，係因廠商可由股價獲得免費的新資訊，資訊成本轉由股市負擔之故，當廠商平均技術水準偏高或偏低，以致新資訊的實質效益薄弱時，股市淨效益便可能為負。其次，廠商僅能獲得新資訊的部份效益，且廠商利用新資訊有機會成本，故在相同資訊成本下，股票交易者購買新資訊的可能性高於廠商，股價乃有助於新資訊的充份利用。 關鍵字：股票市場效率性、經濟效率性、實質選擇權、市場個體結構 Abstract This paper analyzes stock market efficiency and firms’ new investment decisions. Under the assumptions of (1)heterogeneous technology and (2) new investment as a real option, it is shown that firms’ investment and information acquisition decisions are determined simultaneously by their own technology level and stock market efficiency. Besides, though stock market efficiency can improve firms expected returns and enhance the usefulness of new information, its net benefit is probably negative when the economy is underdeveloped. Keywords: Stock Market Efficiency, Economic Efficiency, Real Options, Market Microstructure ___________________ * 政治大學國貿所 壹、前言 股票市場是經濟體系中套利活動最迅速、最具資訊效率(informational efficiency)的市場之一，依資本主義市場機制運作的論點，市場價格是調節供需均衡，促使資源作有效配置的最佳工具，然則股價效率性是否隱含經濟效率性呢，Fama(1976)持肯定看法： An efficient capital market is an important component of capitalist system…. if the capital market is to function smoothly in allocating resources, prices of securities must be good indicators of value.(p.133) Stiglitz (1994, p.93-94)則認為股市交易者所耗費的資訊成本只有私有價值而無社會價值，換言之，股價效率性無關乎經濟效率性。就本質而言，股票市場的基本目的為提供流動性，高效率性、高流動性的股票市場容易吸引資金流入，促進初級市場活絡，降低廠商資金成本、促進投資，但企業係由投資決策決定資金需求，次級市場股價變化似與企業投資決策關係不大，故股價並無一般產品價格所具有的直接分配效果。 股價雖無直接的資源配置效果，但能否經由資訊揭露幫助廠商決策，進而產生間接的資源配置效果呢，此須視股價是否含有廠商所不知的新資訊。Stiglitz(1994)認為股價包含太多雜訊，不可能指引管理者的投資決策，他寫道: The stock price is relevant-they do look to the effect of their decisions on the stock market price. But it does not, and should not, drive their