我国上市公司大股东违规导致的股票信用风险问题研究

发布时间：2018-01-02 05:30

本文关键词：我国上市公司大股东违规导致的股票信用风险问题研究　出处：《复旦大学》2012年博士论文　论文类型：学位论文

【摘要】：大股东出于对个人利益最大化的追逐,在管理上市公司的过程中可能会做出一些违反法律、法规或公司章程的行为,导致公司股价向不利方向变动,使股票收益率低于正常水平,甚或使公司被特别处理、乃至退市,从而导致中小股东遭受严重损失。大股东违规行为带来的可能损失是中小股东在股票投资中所必须面对的一种金融风险,中小股东和监管者应对该风险的度量、评价、规避、监管、处置等问题有一个全面的认识,并据此指导其投资与监管行为。因此,弄清楚大股东违规行为所带来的风险并对此风险做出准确评估,无论对广大投资者还是对监管者而言皆是当务之急。目前较成熟的针对大股东违规行为研究主要包括两类：一是基于“法与金融”的理论框架,重点研究不同法律体系对中小股东的保护程度、公司价值、所有权结构、资本流动等变量的影响机制等；二是基于公司治理理论的分析框架,研究核心是股东与管理层之间、大股东与中小股东之间的委托代理关系。但是,上述研究均未从金融风险的角度对大股东违规行为所带来的损失进行研究,无法为中小股东和监管者的决策提供有效的参考与指导。借鉴已有研究并在充分论证的基础.上,本文将大股东违规行为所导致的股票收益不确定性称为“大股东违规导致的股票信用风险”,简称“股票信用风险”,并尝试从金融风险的角度,对其内涵、特征、成因、影响因素、导致损失的机制、损失评估、监测指标、数量化度量模型与指标、防范和规避对策等方面进行探索：首先,本文从“股票信用风险”名称的起源出发,借鉴已有文献对“股票信用风险”进行界定,并从内涵和特征等方面讨论了“股票信用风险”这一名称的合理性；同时,对导致股票信用风险的大股东违规行为进行了分类,讨论其行为特征,为深入研究股票信用风险做准备；此外,为了借鉴债务性信用风险的相关研究方法,还对股票信用风险与债务性信用风险的特征进行了对比。其次,本文选取典型的大股东违规案例,以“欺诈三角”为起点对大股东违规行为的驱动因素进行了探究；在此基础上,借鉴犯罪经济学模型的建模思想,构建出一个大股东违规获益最大化模型,推导出一系列关于大股违规行为影响因素的结论；随后用单因素分析、主成份分步Logit回归等统计方法对该模型得到的结论进行了实证检验。至此,本文依次使用了案例分析、理论研究、实证研究三种研究方法,找到了对大股东违规行为有显著影响的因素,并建立了风险监测指标体系,为下一步建立股票信用风险度量模型奠定了基础。然后,本文从分析大股东违规行为引致投资者损失的路径出发,提出“违规导致股票价值下降机制”、“揭露公告机制”和“处罚公告机制”等几种股票信用风险引致投资者损失的可能机制；通过事件研究法进行实证检验,找出在我国上市公司中实际发挥作用的损失机制；并基于该损失机制,提出了股票信用风险引致投资者损失的评估方法。由此即可得到度量股票信用风险所需要的违规损失率及其分布特征。接下来是本文的核心部分,即构建股票信用风险的度量模型。借鉴债务性信用风险的度量模型,本文提出如下对我国上市公司的股票信用风险进行度量的方法：先对股票信用风险的违规概率和违规损失率进行估计,由此得到股票信用损失分布；再进一步得到股票信用风险的度量指标,如预期股票信用损失、未预期股票信用损失和股票信用VaR等；最后,对模型参数的几种可能估计方法进行检验,指出基于数据包络分析DEA的违规概率估计方法要优于基于线性判别和基于Logit回归的估计方法。进一步地,本文选取2004年至2011年所有数据可得的沪深A股为样本,利用上述度量模型对我国上市公司股票信用风险进行实际度量,得到了对单个股票和市场平均的度量结果；基于该度量结果,本文对我国上市公司股票信用风险的现状与发展趋势进行了判断,指出我国上市公司股票信用风险状况异常严重,具有大频率大损失、风险损失波动性大、股票之间差异性大等特点,且近3年来市场总体股票信用风险有上升趋势。最后,综合前述分析所得到的重要结论,本文尝试分别从监管者、做市商和投资者的视角给出防范股票信用风险的对策。
[Abstract]:Large shareholders for the maximum personal interest of the chase, in the process of management of the listed company may make some violation of laws, regulations or the company's articles of association, changes to the negative direction which the company shares, the stock return rate is lower than the normal level, or the company is special treated, and even small shareholders suffered delisting, resulting in may bring serious loss. The loss of large shareholders illegal behavior is a kind of financial risk of small and medium-sized shareholders must face in stock investment, small and medium-sized shareholders and regulators to deal with the risk measurement, evaluation, supervision, evasion, disposal problems have a comprehensive understanding, on the basis of its investment and regulatory actions. Therefore, make clear the risk of major shareholders violations of this risk and make an accurate assessment of whether investors or regulators is a pressing matter of the moment.
Currently more mature for large shareholders illegal behavior research mainly includes two types: one is based on the "law and finance" theory, the degree of protection, focusing on different legal system for small and medium-sized shareholders value, ownership structure, capital flows and other variables affecting mechanism; two is based on the theory analysis framework of corporate governance. Study on the core is between shareholders and management, principal-agent relationship between large shareholders and small shareholders. However, these studies were not studied from the point of financial risk of major shareholders violations caused by the loss, to provide reference and guidance for effective to small shareholders and regulators of the decision.
Based on existing research based on sufficient demonstration. And this article will lead to violations of the major shareholders of the stock income uncertainty is called a "big shareholder violation causes the stock of credit risk", referred to as "the stock of credit risk, and try from the point of financial risk, the connotation, characteristics, causes, influence factors that leads to the loss mechanism, damage assessment, monitoring indicators, quantitative measure model and index, to explore the prevention and Countermeasures etc.:
First of all, this article from the "origin of the stock of credit risk" in the name of references to "stock credit risk" is defined, and the connotation and characteristics of "discusses the reasonableness of the name of the stock of credit risk"; at the same time, the major shareholder of the irregularities caused the stock of credit risk classification, discusses its behavior characteristics, prepare for the further study of the stock of credit risk; in addition, in order to research methods reference debt credit risk, compared to the stock of credit risk and debt credit risk characteristics.
Secondly, this paper selects the major shareholder illegal typical cases, explored with "fraud triangle" as the starting point of the driving factors of major shareholders violations; on this basis, modeling reference of criminal economics model, construct a large shareholder illegal benefit maximization model, derive a series of big violations influence conclusion factors; then with single factor analysis, statistical method of principal component Logit regression step by step makes an empirical test of the model results. Thus, this paper uses case analysis, followed by theoretical research, empirical research three research methods, find the factors have significant influence on major shareholders violations, and establish the risk monitoring index system, the next step for the establishment of the stock of credit risk measurement model of the foundation.
Then, this paper from the path analysis of large shareholders violations caused losses to investors, put forward the "breach caused the decline in the stock price mechanism", "the possible mechanism of several disclosure announcement mechanism" and "penalty mechanism" stock credit risk caused losses to investors; empirical testing through the event study method, find out the actual play loss mechanism the listed companies in China; and based on the loss mechanism, put forward an evaluation method of stock credit risk caused by loss of investors. This can be obtained by measuring stock credit risk to illegal loss rate and its distribution.
The following is the core part of this paper, namely the construction of the stock of credit risk measurement model. The measurement model from the debt credit risk, this paper proposes the following measurement method for Chinese Listed Companies in the stock of credit risk: first violation probability on the stock of credit risk and illegal loss rate estimation, the stock of credit loss distribution measure; further get the stock of credit risk, such as expected stock credit losses, unexpected credit losses and stock stock credit VaR; finally, some of the model parameters estimation method may be examined, pointed out that the probability of illegal data envelopment analysis DEA estimation method is better than linear discriminant analysis and Logit regression method based on Estimation Based on.
Further, the paper selected from 2004 to 2011 all the data available in the Shanghai and Shenzhen A shares as a sample, the actual measurement of the listed companies using the credit risk measurement model, obtained on individual stocks and the market average measurement results; based on the measurement results, current situation and development trend of the listed companies the credit risk of the judgment, pointed out that listed companies credit risk seriously, with a large loss of high frequency, the risk of loss between the high volatility of the stock differences and other characteristics, and nearly 3 years a total stock of credit risk has a rising trend.
Finally, combined with the important conclusions obtained from the above analysis, this paper tries to give some countermeasures to prevent stock credit risk from the perspective of regulators, market makers and investors.

【学位授予单位】：复旦大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

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