Abstract: Agency theory believes that managers will make inefficient investment behaviors that deviate from the maximization of firm value in a turbulent and uncertain environment. In order to explore whether the financial shocks, a uncertain factor, will worsen the company's inefficient investment behavior, this paper first uses a mathematical model to illustrate the possible relationship between the financial shocks and inefficient investment. Then, the conditional heteroscedasticity of the GARCH method is applied to measure the three latent variables of financial shocks, which are the stock market shock, monetary shock and exchange rate shock. Finally, this paper examines the relationship between the three potential variables of the financial shocks and the inefficient investment. The research finds that the monetary shock and exchange rate shock can significantly increase inefficient investment, while the stock market shock can remarkably reduce inefficient investment. Further research shows that the monetary shock and exchange rate shock can increase inefficient investment behavior by significantly increasing excessive investment. The stock market shock can reduce inefficient investment behavior by significantly reducing underinvestment.

Key words: financial shocks, inefficient investment, GARCH method, excessive investment, underinvestment

摘要： 代理理论认为,在动荡和不确定环境下,管理者会做出偏离企业价值最大化的非效率投资行为。为探究金融冲击这个带有不确定色彩的因素,是否会恶化企业非效率投资行为,论文先是使用一个数学模型来说明金融冲击与非效率投资的可能关系,而后以GARCH方法的条件异方差来度量金融冲击的潜变量股市冲击、货币冲击和汇率冲击。最后,实证检验了这三个金融冲击潜变量和非效率投资的关系。研究发现:货币冲击和汇率冲击会显著提升非效率投资,而股市冲击能够显著降低非效率投资。进一步研究表明,货币冲击和汇率冲击会通过显著增加过度投资来加大非效率投资行为,而股市冲击则通过显著减少投资不足来达到降低非效率投资行为。

关键词: 金融冲击, 非效率投资, GARCH方法, 过度投资, 投资不足