喻园管理论坛2024年第96期(总第1028期)

演讲主题:Estimating Corporate Investment Efficiency with Bias Correction: A Semiparametric Panel Model Approach

主讲人:王钛宁 首都经济贸易大学副教授

主持人:蔡俊 会计与财税系讲师

活动时间:2024年11月20日（周三）10:00-11:30

活动地点:管院大楼119室

主讲人简介：

王钛宁，美国西弗吉尼亚大学经济学博士，首都经贸大学国际经济管理学院常任轨副教授，博士生导师。主要研究领域：非参数计量模型估计与假设检验、随机边界模型、生产效率分析等领域。在Econometric Theory、Journal of Applied Econometrics、Journal of International Money and Finance、Empirical Economics、The World Economy、Economics Letters 等国际期刊发表10余篇学术论文，主持国家自然科学青年基金一项，参与国家自然科学基金面上项目一项。

活动简介：

Empirical studies often use the residuals from ordinary least squares regression models to represent certain discretionary or unexpected components and then regress these residuals on potential determinants. However, this two-step approach has been criticized for leading to biased estimates, invalid inferences, and unreliable empirical results. This paper shows that the shortcomings of the two-step approach and alternative existing methodologies are retained and even more pronounced when analyzing inefficient corporate investment. To address these shortcomings, we propose a novel semiparametric model tailored for investment efficiency analysis. Our model mitigates estimation bias caused by inappropriate model design or misspecified model structure, and discerns over-investment, under-investment, and efficient investment along with their respective probabilities. Applying our model to a sample of Chinese listed firms reveals significant, previously obscured nonlinear impacts of Tobin's q and sales on investment. Our results reveal pronounced tendencies towards over-investment, contradictory to existing models which reveal opposite tendencies towards under-investment. Our model is applicable to various types of efficiency analysis, where each firm may exhibit different performance outcomes with associated probabilities.