| Energy is the foundation and driving force of human civilization and progress.It is related to the national economy,people’s livelihood and national security.It is also related to human survival and development,and very important to promote economic and social development and improve people’s living standards.Crude oil is one of the most important energy sources and an important strategic resource in China.China is in the period of urbanization and industrialization.A large number of infrastructure construction and the continuous expansion of industrial sectors make China’s demand for crude oil grow rigidly.The launch of China crude oil futures(INE)in 2018 further consolidated the important position of crude oil in China’s economic and financial development.However,China relies heavily on imports of crude oil.Therefore,China’s economic and financial development is deeply affected by the changes in international oil prices.This impact is reflected in the impact on enterprise economic activities at the micro level.Crude oil is the basic raw material produced by various enterprises.The oil price can affect the cash flow by affecting the input cost of raw materials.The rise of oil price increases the cost of raw materials and reduces the current cash flow of the enterprise,thus affecting the economic activities such as investment,operation and dividends.In this process,investment is a very important link,whici is very sensitive to cash flow.The reduction of cash flow will reduce investment,including the transformation of internal funds and the investment of external funds.The impact of oil price on investment has been confirmed by research.Previous studies have verified the negative relationship between oil price and investment,as well as its U-shaped characteristics and asymmetry.However,most of the existing studies lack in-depth discussion on the specific mechanism of oil price on investment.Therefore,this study will deeply explore the impact mechanism of oil price on investment,in order to provide supplement and expansion for understanding the impact of oil market on economy and finance.Furthermore,investment will affect stock returns.A large number of theories have proved that investment can price stock returns.The relevant pricing mechanisms of investment are mainly divided into two categories: risk pricing theory and misspricing theory.The relevant theories of risk pricing include the q theory,the real option theory and the technology growth effect theory.The misspricing theory includes the over-investment,the timing of investment,the earnings management hypothesis,the investor inference bias and so on.Rich empirical research also provides evidence for the impact of investment on stock returns.Through the investment channels,many anomalies in the stock market can be explained.Considering the important position of investment in asset pricing,this study further extends the influence mechanism and discusses the mechanism of oil price affecting stock return through the investment channel.In fact,oil prices do have a significant impact on stock returns.From the cross-sectional dimension,oil price can effectively price stock returns.However,these existing studies mainly focus on whether oil price can affect investment,but rarely discuss the impact mechanism.Therefore,this study further discusses how the crude oil price affects the stock return by affecting investment in the cross-sectional dimension,which provides ideas for the impact mechanism of oil price on stock return and fills the gap of relevant research.The main purpose of this study is to provide a new idea for studying the impact mechanism of oil price on investment.Further,taking investment as the starting point,this paper deeply explores the pricing mechanism of oil price on stock return,expands the current relevant research on the relationship between oil price and stock return,and deepens investors’ cognition of their relationship.The research content is designed as follows: first,test the impact of oil price on different types of investment in cross-sectional dimension;Second,in order to explain the time lag for the impact of oil price on investment at cross-section,this study will consider the role of investment opportunities in the relationship between oil and investment;Finally,it tests the pricing power of different types of investment on the stock returns of China’s A-share market at cross-section.The structure of this study is as follows: the first chapter is the introduction,which mainly describes the research background,the main research content,technical route and main contributions.The second chapter is literature review.This part combs and reviews the relevant literature at home and abroad from three aspects: the relationship between oil price and investment,the pricing of investment on stock returns,and the relationship between oil price and stock returns.It finds the contributions and shortcomings of the existing literature,so as to provide literature support for the next research.The third chapter is the theoretical basis.This part mainly combs and discusses the theoretical basis of the impact of oil price on investment,including discussing the impact channels of oil price on investment from the perspective of real option theory and investor expectation;It also discusses the classical pricing theory of investment,including risk pricing theory and mispricing theory;Finally,the two theories are organically combined to form the theoretical mechanism of oil price on stock return.The fourth chapter discusses the heterogeneity of the effect of oil price on different types of investment.First,it verifies whether the effect of oil price change on different types of investment is heterogeneous.Second,it discusses the dynamic evolution of the heterogeneity effect.Third,it tests the robustness.Forth,it also discusses the influence of oil on different types of investment in different economic cycles.Finally,the asymmetry of the heterogeneous effects are examined.The fifth chapter explores the role of investment opportunities in the relationship between oil and investment,and analyzes the reasons for the time lag of the impact of oil price on investment.In this part,we first discuss the impact of different investment opportunities on the relationship between oil and investment.Second,we test the robustness using different proxies of investment opportunities.Third,we group companies according to investment opportunities to explore whether the enterprises with different investment opportunities have different degrees of time lag.In the sixth chapter,we study the mechanism of the impact of different types of investment on the stock returns in China’s A-share market.In this part,we first verify the pricing effectiveness of different types of investment in China’s A-share market through univariate grouping,bivariate grouping and Fama Macbeth cross-sectional regression.Then we discuss the asymmetry and persistence of the pricing ability of different types of investment.Finally,we discuss the pricing mechanism of operating investment and financing investment.The seventh chapter is the conclusion,which summarizes the main research work,research content and research conclusions of this paper,and puts relevant policy suggestions.The main conclusions are as follows.(1)In the cross-sectional dimension,oil price has a heterogeneous impact on different types of investment: negative impact on financing investment and positive impact on operating investment.The increase of oil price reduces the financing investment in the current period.This negative impact can last for one year,but the degree of impact is weakening.The negative impact of oil price on financing investment mainly stems from the fact that financing investors regard the change of oil price as uncertainty: when facing the uncertainty caused by the rise of oil price,enterprises usually choose to postpone investment to wait for more new information to appear and reduce the impact of uncertainty;Waiting for new information about uncertainty will lead to abandoning the benefits brought by investment in the current period,but it will also improve the opportunities for correct investment decisions brought by new information.Therefore,the option value of waiting for investment will increase,the investment motivation will decrease,and the financing investment will decrease.Under different economic cycles,financing investment is affected differently: when the economy has an inflection point,financing investment is not affected;when the economy shows a trend,financing investment is significantly affected.Financing investment is also affected asymmetrically,and the negative impact of oil price is even greater.The increase of oil price increased the operating investment,but this impact did not appear until half a year later and lasted only half a year.The positive impact of oil price on operating investment is mainly due to the fact that operating investors associate oil price with macroeconomy: when oil price rises,investors are easy to associate the rise of oil price with economic prosperity,believing that the business performance of enterprises will be stronger,the stock market will usher in a bull market and the market confidence will increase;The positive expectation of the economy increases the expected income of the enterprise,the number of investment projects with positive net present value also increases,and the investment increases accordingly.In different economic cycles,the impact of operating investment is also different:when the economy has an inflection point,operating investment is significantly affected;when the economy continues to expand,the operating investment is also significantly affected;however,when the economy continues to decline,operating investment will not be affected.There is no asymmetry in the impact of operating investment.(2)The of investment opportunity can explain the time lag of the impact of oil price on investment.Investment opportunities affect the relationship between oil and investment.Whether it is growth option or contraction option,that is,whether it is increasing or reducing investment opportunities,the higher the investment opportunities,the more flexible the enterprise is,and the less impact the operating investment will be.Grouping by investment opportunity,there is no time lag for companies with high investment opportunity,while there is obvious time lag for companies with low investment opportunity.Therefore,enterprises with low investment opportunities mainly lead to the lag of the response of operating investment to the impact of oil price.In various economic cycles,the rise of investment opportunities weakens the impact of operational investment,and the companies with different investment opportunities are affected by different time lag and degree.In terms of lag,when the economy is at an inflection point,there is no lag for companies with high investment opportunities and there is lag for companies with low investment opportunities.When the economy is in the trend of expansion,there is less lag for companies with high investment opportunities.But when the economy is in the trend of recession,only companies with high contraction option and can reduce investment flexibly are significantly impacted.In terms of the degree of impact,when the economy is in a recession to expansion,the companies with high growth options and can rise investment flexibly will be less affected.When the economy is in an expansion to recession,the companies with high contraction options and can reduce investment flexibly will be less affected.When the economy is in an expansion trend,the companies with high investment opportunities will be less affected,regardless of growth options or contraction options.The impact of investment opportunities is also asymmetric.In terms of lag,under the positive impact of oil,the companies with high growth options and can rise investment flexibly will lag less.Under the negative impact of oil,the companies with high contraction options and can reduce investment flexibly lag less.From the perspective of impact degree,no matter what kind of investment opportunities,investment is more sensitive to the negative impact of oil.Investment opportunities have no significant impact on the relationship between oil and the financing investment.(3)In the cross-sectional dimension,different types of investment have different effects on stock returns in China’s A-share market: financing investment has a negative impact on stock returns,and operating investment has no significant impact on stock returnsThe financing investment has significant positive pricing ability on China’s A-share market,and it can persistent for a relatively long time.In terms of size of companies,the financing investment has significant pricing ability only in small companies.In terms of growth type,the financing investment has significant pricing effect only in growth companies.Under different levels of returns,the pricing ability of the financing investment is significant,and the higher the return,the greater the impact of the financing investment.The pricing ability of the financing investment can be explained by the technology growth effect: in the early stage of technology shock,companies with investment opportunities related to technology progress have greater investment risk,thus the expected return increases accordingly.However,the operating investment has no pricing ability on China’s A-share market.But in terms of size of companies,the operating investment has positive pricing ability on large companies.From the perspective of growth type,the operating investment has positive pricing ability on the value companies.For different levels of return,the operating investment has pricing ability only in companies with low return,but the higher the return,the less the impact on future returns.The main reason for that the operating investment has no pricing effect on China’s A-share market is that,in China,the operating investors,even the professional seller analysts,do not have information advantage.Thus,there is no underestimation of the operating investment,and therefore no corresponding mispricing.(4)In the cross-sectional dimension,oil price can affect stock returns by affecting investment.Based on the relevant theories and empirical conclusions of this study,we can get the impact mechanism of oil price on cross-sectional stock returns based on through investment channels.When the oil price rises,the rise of uncertainty leads to the decline of financing investment,and the effect of technology growth further brings about the same change in the stock income of enterprises with high investment opportunities,that is,the stock return also decreases accordingly.However,the expectation of economic prosperity brought by the rise of oil price has led to the decline of operating investment.Due to the lack of information advantage of enterprises in China’s A-share market,operating investment has no significant pricing effect on stock returns.Generally speaking,the oil price mainly affects the stock return of China’s Ashare market by affecting financing investment.The main contributions are as follows.(1)This paper deeply studies the influence mechanism of oil price on investment from the perspective of theory and demonstration.Existing studies have only discussed whether oil price affects investment,but few studies have deeply discussed the specific impact mechanism.Therefore,starting with the real option theory,this study deeply studies the influence mechanism of oil price on investment.At the same time,taking China’s A-share market as a sample,this study empirically verifies the impact mechanism of oil price on investment at cross section,that is,whether there are significant differences in the impact of oil price on investment of different enterprises.On this basis,considering that there are significant differences between financing investment and operating investment in investment participants,investment objectives,information acquisition and investment decision-making,this study classifies investment into financing investment and operating investment,refines the understanding of enterprise investment,and reflects the heterogeneity of the impact of oil price on investment.Furthermore,this study also takes investment opportunities into account to explore the time lag of the impact of oil price on investment.Different from the existing studies that usually only consider growth options as investment opportunities,this study considers growth options and contraction options at the same time,that is,the opportunity to increase investment and the opportunity to reduce investment,and examines how different investment opportunities lead to the time lag of the impact of oil price on investment.The introduction of different types of investment opportunities has improved the understanding of enterprise investment behavior,effectively explained the reasons for the time lag in the impact of oil price on investment,and deepened the understanding of the relationship between oil price and investment.(2)Taking investment as a bridge,this paper discusses the influence mechanism of oil price on stock return,which provides a new idea for relevant research.The existing studies on the relationship between oil price and stock return cover different levels of the whole,sub market,sub industry and enterprises,and consider the essence,asymmetry,time variability and other characteristics of oil price changes.However,in the existing studies,there is a general lack of in-depth exploration of the impact mechanism,and few studies use real data to empirically test the specific mechanism.Therefore,starting with the classic investment pricing channels,this study deeply studies how the cross-sectional dimension of oil price affects investment and the pricing mechanism of investment on stock returns.Based on the existing investment pricing theory,this study empirically tests the impact path of oil price-investmentstock return,enriches and improves the relevant research on the relationship between oil price and stock return,and makes a beneficial exploration and attempt to explain the mechanism of the impact of oil price on stock return.(3)It provides new evidence for the impact of investment on stock returns in China’s Ashare market.At present,among the studies on the pricing of China’s A-share market,there are still disputes about how investment affects stock returns.Some studies believe that investment has a positive pricing effect on stock returns in China’s A-share market,that is,investment changes in the same direction as future stock returns;another part of the research believes that there is a negative pricing effect,that is,the increase of investment reduces the future stock return.On the basis of distinguishing different types of investment,this study empirically tests the pricing power of investment on the stock return of China’s A-share market,and puts forward that different types of investment have different pricing power.At the same time,because China’s A-share market is in the early stage of development and has different characteristics from developed markets,the pricing power of different types of investment is also different from developed markets.This study enriches the relevant research on the pricing of stock returns in China’s A-share market,and provides new ideas and evidence for the pricing of investment.Further,this study uses the technology growth theory to explain the impact mechanism of investment on the stock return of China’s A-share market.At the same time,it also provides Chinese evidence for the technology growth theory and expands the application and promotion of the theory. |
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