资本市场中公司治理的信号机制研究

发布时间：2018-05-16 11:43

本文选题：资本市场 + 公司治理　；参考：《南开大学》2013年博士论文

【摘要】：全球经济一体化、国内经济转轨和新兴市场并存背景下,中国资本市场在我国市场经济体制改革中具有重要的战略地位和意义。但近几年资本市场的大幅波动和持续低迷严重挫伤了广大投资者的信心和投资积极性。究其原因,业界分析多数归咎于国内、国际的宏观经济环境和政策,而作为资本市场微观基础的公司治理却经常被忽视。基于我国资本市场资源配置效率低、上市公司与外部投资者信息严重不对称和我国上市公司整体治理水平不高的现状,本文旨在从独立第三方和监管者的视角,探讨和验证资本市场中是否存在一种公司治理信息的传导机制,在验证这种机制存在性与稳定性的基础上,从机制设计的角度提出对资本市场中现有公司治理信息第三方显示机制的设计和优化思路。理论分析发现,该机制可实现公司治理信息在上市公司与投资者之间的有效传递,在降低信息不对称程度和促进上市公司整体治理水平提高的同时,有助于提高资本市场的有效性。为此,本文主要进行了以下五方面的研究：首先,假设资本市场中存在公司治理信号机制,并将其界定为公司治理自发传导机制和第三方显示机制两种。分析发现,公司治理的自发传导机制是资本市场中自然存在的信息传导机制,它主要通过投资者异质信念这一中介变量实现对股票超额收益和投资风险的影响,但在抗干扰性、可控性和自我实施性等方面存在明显不足。为解决这一机制存在的不足,我们提出构建公司治理股价指数这一公司治理信息第三方显示机制的设想,即运用公司治理专业评价机构对上市公司治理水平的评价结果作为主要选股依据,根据国际惯例和指数设计规则,编制和公开发布公司治理股价指数,以实现公司治理信息的在资本市场中的有效传递。其次,基于上市公司与广大投资者之间的信息不对称特征,我们对两种公司治理信号机制构建了动态博弈模型,通过模型求解和机制有效性分析发现：公司治理自发传导机制不满足博弈主体的参与约束和激励相容,不具有信息传递的有效性,无助于促进上市公司整体治理水平和资本市场有效性的提高；公司治理第三方显示机制能够满足有效机制的条件,能激励和约束上市公司主动提高治理水平和真实披露信息,有助于降低市场中信息的不对称程度和促进市场中上市公司整体治理水平的提高,从而有利于促进资本市场有效性的提高。第三,实证检验了资本市场中公司治理自发传导机制的存在性与稳定性。借鉴投资者异质信念理论,我们将其界定为公司治理信息通过投资者异质信念这一中介变量影响股票超额收益和投资风险的传导机制。运用中国沪深两市A股上市公司7年(2004-2010)的数据,实证分析发现：我国资本市场中存在公司治理的自发传导机制,但这种传导机制是非常不稳定和不可控的,更不具有自我实施功能。第四,分析验证了资本市场中现有公司治理第三方信息显示机制的不足。通过对国内现有的5种公司治理股价指数分析,发现它们在公司治理信息传递方面存在诸多不足,在此基础上,采用上证公司治理股价指数3年的成分股数据,实证检验了这一第三方显示机制对公司治理信息传递的有效性,结果显示,现有公司治理股价指数无法在资本市场中形成有效的公司治理传导机制。第五,公司治理第三方显示机制的设计优化。基于公司治理自发传导机制和现有第三方显示机制的不足,我国资本市场迫切需要一个有效的公司治理第三方显示机制,即重新编制和发布一个公司治理股价指数。为此,我们根据国际惯例和一般股价指数设计原则,通过选用国内独立第三方、权威公司治理评价机构的评价结果作为主要选股依据,对公司治理股价指数的设计框架和方案进行了优化。分析发现,通过对公司治理治理评价指标的动态调整和指数间特征值的比较分析,可对选股依据和成分股数量进行控制,从而实现对这一机制的控制。从优化后指数历史数据的市场表现来看,优于大盘指数和现有公司治理股价指数,非常适合在我国资本市场中形成有效的公司治理信息传导机制。根据本文的研究结论,我们提出和设计优化的公司治理第三方显示机制,在丰富公司治理应用研究的同时,有助于引导广大投资者树立理性投资和价值投资理念,相对于加强政府监管和惩处违法、违规行为力度等措施,它是资本市场中信息传递缺陷的有益补充,有利于创造一个有效、稳定的资本市场,让投资者把资金投向具有更高效率的企业,这对促进实体经济的增长具有重要意义。同时,本文的研究结论可为管理层、市场组织者提供理论借鉴和决策启示。
[Abstract]:On the basis of analyzing the existence and stability of capital market in China , this paper aims to explore and verify the existence of a company governance information third - party display mechanism from the perspective of independent third parties and regulators .

Firstly , it is assumed that the company governance signal mechanism exists in the capital market , and it is defined as two types of corporate governance spontaneous conduction mechanism and third party display mechanism . It is found that the spontaneous conduction mechanism of corporate governance is the information transmission mechanism in capital market .

Secondly , based on the asymmetric information between listed companies and investors , we constructed a dynamic game model for two corporate governance signal mechanisms , and found that the self - conduction mechanism of corporate governance does not satisfy the participation and motivation of the game principal , and does not have the validity of information transmission , and does not help to promote the overall governance level of listed companies and the improvement of capital market effectiveness ;
The third - party display mechanism of corporate governance can meet the conditions of effective mechanism , can stimulate and restrain listed companies to actively improve the governance level and real disclosure information , help reduce the asymmetry of information in the market and promote the improvement of the overall governance level of listed companies in the market , thus contributing to the improvement of the effectiveness of capital market .

Third , we empirically test the existence and stability of corporate governance spontaneous conduction mechanism in capital market . Based on the theory of investor ' s heterogeneous belief , we define it as the transmission mechanism of corporate governance information through investors ' foreign belief .

Fourthly , the deficiency of the third party information display mechanism in the capital market is verified and verified . Based on the analysis of the stock price index of the existing five companies in China , it is found that there are many deficiencies in the transfer of corporate governance information . On the basis of this , the validity of the third party display mechanism on the transfer of corporate governance information is verified empirically . The results show that the existing corporate governance index cannot form effective corporate governance conduction mechanism in the capital market .

Fifth , the company manages third - party display mechanism design optimization . Based on the lack of corporate governance spontaneous conduction mechanism and existing third - party display mechanism , China ' s capital market urgently needs an effective third - party display mechanism for corporate governance , which is to reformulate and publish a company ' s governance index .

According to the research conclusion of this paper , we propose and design the optimized third - party display mechanism of the company , while enriching the application of corporate governance , it is helpful to guide the general investors to set up rational investment and value investment idea , which is beneficial to strengthen the government supervision and punishment and punish the violation . It is beneficial to create an effective and stable capital market . It is beneficial to create an effective and stable capital market .

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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