قیمت‌گذاری نادرست سهام و رفتار سرمایه‌گذاری شرکت‌ها: شواهدی از نظریه‌ی ارضای سهامداران

 
Introduction
       Both theory and empirical evidence support the notion that equity mispricing has an impact on managers’ investment and financing decisions. For instance, misevaluation can drive firms’ takeover behavior (Rhodes-Kropf et al., 2005). Stock mispricing occurs when the stock price deviates from its fundamental value. The purpose of this paper is to examine the relationship between stock mispricing and corporate investment behavior. We also examine the impact of financial constraint on mispricing-investment relationship. Then we test a catering theory describing how managers cater to the firm's short-horizon shareholders.
 
Hypothesis
Hypothesis 1: Stock mispricing has a significant and positive impact on firm investment.
Hypothesis 2: The more the firm depends on equity (financially constrained), the higher the sensitivity of firm investments to stock mispricing.
Hypothesis 3: The shorter the investment horizon of shareholders, the more pronounced the effect of stock mispricing on corporate investments.
 
Methods
       We base our sample selection on all of the firms listed on the TSE during 2006-2015 period. The sample consists of 173 Tehran Stock Exchange firms. The sample excludes the following: 1-financial firms, 2-firms in the utility industry, 3-firms-year with missing data, and 4-firms that have not fiscal year end on 12.29 or change the fiscal year end during the time period. The resulting sample yields 1496 firm-year observations. Our basic methodology involves multiple regressions using Panel Data method. The models are estimated with Ordinary Least Square (OLS) and Generalized Least Square (GLS). Variables definitions are as follows:
 
Dependent Variable
       Investment: We define investment as sum of capital expenditures (dividend plus interest paid), fix asset acquisitions minus sale of fixed assets divided to beginning year total asset.
      
Independent Variables
       Mispricing: To obtain the mispricing variables we rely on Rhodes-Kropf, Robinson and Viswanathan’s (2005) market-to-book decomposition methodology. They decompose the MTB ratio to mispricing and growth components. Mispricing is the ratio of the market value of firm i at the time t on the fundamental value of firm i at time t, (M/V). If mispricing is positive (negative) then the firm is overvalued (undervalued). The fundamental value of the firm V is a function of certain accounting variables (θ) and their multiples (αs) and is calculated in two steps: First, we estimate the model (1):
                       
where M is the firm market value, BV is the book value of equity, NI is net income, D (NI it <0) is a dummy variable equal to 1 when NI is negative (firm-year with loss) and 0 otherwise, and LEV is the ratio of total debt to total asset. Next, using the estimated multiples (regressions Fitted Value) and Market values, we calculate the mispricing and growth components of market to book ratio.
       Financial Constraint: The degree of financial constraint (Zit) captures the firm’s dependence on equity. We follow Raei and Hesarzadeh (2010) estimation of Kaplan and Zingales (1997) index as model (2) follows:
 
       In equation (2), CF is cash flow from operations, DIV is cash dividends, and C is sum of cash and short-term investments. All three preceding variables are scaled by beginning year book value of total assets. DEBT is the total debt divided by total asset.
       Investors Horizon: We follow Polk and Sapienza (2009), and use share turnover ratio as a proxy for the average length of time that investors hold their stocks. Firms that are owned by short- (long-) horizon shareholders are more likely to have high (low) share turnover ratios. Share turnover ratio is calculated as the average of the monthly ratios of traded shares to shares outstanding during the fiscal year.
 
Control Variables
       Net Equity Issuance: the ratio of net equity issued to total assets.
       Cash Flow: Cash Flow from Operations to Total Asset.
       Growth: according to the Rhodes-Kropf, et al (2005) Growth component is equal to the fundamental value of the firm (v (it)) divided by Book Value.
       Free Float: this variable is included to control the Share Turnover ratio.
 
Results
       The results show that stock mispricing has positive impact on investment behavior. However, the degree of financial constraints has not significance impact on mispricing-investment relationship. The results also show that catering theory was true and the managers are going to cater stockholders in short-Horizon.
 
Discussion and Conclusion
       Some behavioral reasons such as shareholders herding behavior, over (under) reaction and information asymmetry are the main factors that cause the mispricing. Standard finance theory could not explain behavioral problems and capital market expectations, but the behavioral finance has tried to explain these issues. The aim of this study was to examine the impact of mispricing on the investment behaviors of firms. The results showed that mispricing has a direct impact on investment decisions. The results also showed that the financial constraints have no effect on mispricing-investment relationship. In case of catering theory it was found that managers seek to cater shareholders who have short - horizon (and more traded shares) and do not pay attention to long run performance. The results are consistent with Morck et al. (1990), Chang et al. (2007), Alzahrani and Rao (2014) and not inconsistent with the behavioral finance theories like market timing theory, catering theory, agency theory.