私募股权基金特征对上市公司违规行为溢出效应的影响

发布时间：2018-01-09 00:28

本文关键词：私募股权基金特征对上市公司违规行为溢出效应的影响　出处：《北京大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文通过线性和非线性回归两种方式，验证了溢出效应的存在性。当一家上市公司的违规行为被披露时，在一个两天的窗口期内，该上市公司的私募基金股东投资的其他上市公司的市值也会受到损失，这种溢出效应并不会受到传导机制的影响。然后本文使用一般线性回归的方式，对私募基金的特征在溢出效应作用过程中的影响进行了检验。通过回归方程，我发现私募基金对于溢出效应的影响可以分为两个方面，首先是溢出效应的存在性，私募基金的政府背景、总资产、退出耗时和成立年限可以通过影响其声誉，间接地对溢出效应的存在性产生影响。其中有政府背景的私募基金更容易成为溢出效应的“导体”；规模较大的私募基金，普遍声誉较好，，因而不容易诱发溢出效应；历史较长的私募基金同样拥有较好的声誉，因而也会降低溢出效应的发生概率；私募基金过往投资中退出耗时越长，说明其专业能力越值得怀疑，也就更容易成为溢出效应的导火索。与之相对的，私募基金在企业中的地位、私募基金是否本地投资则不受市场重视，没有产生一致的显著影响。由此我认为，本文的结论证明了归因理论的观点在市场上也是有效的，即在评价一个结果时，观察者更倾向于接受主观原因的解释，而不愿意给予客观原因较大的权重（Jellison和Green，1981）——市场上的投资者在面对一个负面信息时，更倾向于从相关方本身的特征去寻找原因，因此私募股权基金本身的特征才会对溢出效应的存在性产生显著的影响。于此相对的是溢出效应的程度问题。本文的回归发现，溢出效应的程度与上述变量中的绝大多数并不构成显著的相关关系，在所有的变量中，只有私募基金的历史、私募基金在违规企业的股东排名具有显著性，这说明溢出效应的存在性和显著性的作用机制是有很大不同的，这一观点在之前的研究中少有人涉及，是本文的新发现。
[Abstract]:This paper verifies the existence of spillover effect by linear and nonlinear regression. When the irregularities of a listed company are disclosed, it is in a two-day window period. Market value of other listed companies where the private equity shareholders of the listed company are investing will also suffer losses, and the spillover effect will not be affected by the transmission mechanism. Then this paper uses the general linear regression method to test the effects of the characteristics of private equity funds in the process of spillover effect. I find that the impact of private equity on spillover effect can be divided into two aspects: first, the existence of spillover effect, the government background of private equity, total assets, exit time and established years can affect its reputation. It has an indirect influence on the existence of spillover effects. Private equity funds with government background are more likely to be "conductors" of spillover effects; The larger private equity fund has a good reputation in general, so it is not easy to induce spillover effect. The long history private equity fund also has the good reputation, therefore also can reduce the spillover effect occurrence probability; The longer the withdrawal from private equity investments in the past, the more doubtful its professional ability is, and the more likely it is to become a trigger for spillover effects. In contrast, private equity funds have a position in the enterprise. Private equity whether local investment is not valued by the market, did not have a consistent significant impact. Therefore, I believe that the conclusion of this paper proves that the theory of attribution is also valid in the market, that is, when evaluating a result, the observer is more inclined to accept the explanation of subjective reasons. And unwilling to give more weight to objective reasons Jellison and Greenberg 1981- investors in the market are facing a negative message. Therefore, the characteristics of private equity fund itself will have a significant impact on the existence of spillover effect. The regression of this paper found that the degree of spillover effect is not significantly related to most of the above variables, in all variables. Only the history of private equity funds, private equity funds in violation of the corporate shareholder ranking has significant, which shows that the existence of spillover effect and significant mechanism is very different. This view is rarely discussed in previous studies and is a new discovery in this paper.
【学位授予单位】：北京大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51

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