企业投资决策同伴效应及其特征的实证检验——基于中国上市公司的面板数据

doi:10.16381/j.cnki.issn1003-207x.2019.12.003

Abstract

Abstract: In a perfect market, corporate investment should be a firm-level idiosyncratic activity, while firms may interact through indirect and direct linkages in reality. Recent studies empirically examine the peer effects of corporate investment using OLS method by linear-in-mean model, and find that firm's investment is positive related to its peers' investment in the same reference group. However, it generates identification problems when using OLS method or an endogenous instrument to estimate peer effects. Several literatures solve the simultaneity problem by using heterogeneous returns of stocks as instrumental variables, but they have neglected the effectiveness of reference groups. Specifically, when industry reference group is used, only a part of peers in the same industry affect the focal firm's investment, and moreover those within-industry and within-region peers have two alternative explanations for peer effects:regional government intervention and industry competition, which lead to an ineffective estimated coefficient of within-industry peer effects. Thus, IV method is used to examine peer effects in corporate investment decisions of Chinese listed firms during 2008 to 2015. To estimate net peer effects of industry peers, within-industry and cross-region firms are chosen as focal firm's non-local peers, and peers' local uncorrelated firms' average investment is used as instrument variables. It estimates that firms increase investment by 29% in response to one standard deviation increase that of their peers. Further investigations show that firstly, focal firm would keep pace with their peers when peers positively invest and would not react when peers negatively investment; secondly, there are social multiplier effects in the investment, which means that the fluctuation of investment at firm level can cause several times changes within the whole reference group through peer effects. This study contributes to extend the understanding of corporate investment, to deepen the existing research on the peer effects of corporate financial decisions, and to help regulators understand that the positive influence of peers' investment could amplify variation in aggregate investment.

Key words: corporate investment, peer effects, instrumental variable, social multiplier

CLC Number:

F275

LI Jia-ning, ZHONG Tian-li. Peer Effects in Corporate Investment: Empirical Study Based on Chinese Listed Firms[J]. Chinese Journal of Management Science, 2019, 27(12): 22-31.

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Peer Effects in Corporate Investment: Empirical Study Based on Chinese Listed Firms

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