股票流动性、公司治理与企业经营绩效——基于退出威胁与锁定效应的理论与实证研究

发布时间：2018-01-04 04:46

本文关键词：股票流动性、公司治理与企业经营绩效——基于退出威胁与锁定效应的理论与实证研究　出处：《商业经济与管理》2010年04期 　论文类型：期刊论文

【摘要】：文章采用博弈论的分析框架探讨了股票流动性的两大效应,即"退出威胁"与"锁定效应"。研究表明,当股票流动性较低时,机构投资者的退出策略不可行,被迫参与上市公司的监督行为,即表现为"锁定效应",且股票流动性越低,这一效应越明显。然而,随着股票流动性的进一步增强,机构投资者的退出策略开始变得可信,从而可以通过一定的触发策略迫使管理者选择尽职,因而表现为"退出威胁",且股票流动性越高,这一效应越明显。因此,总的说来,股票流动性与经营绩效之间会呈现一个先减后增的U型关系。文章采用高频交易数据构造相对有效价差与相对报价价差衡量股票流动性对上述假说进行了检验,其实证结论支持了文中的假说。
[Abstract]:This paper discusses the two main effects of stock liquidity, namely "exit threat" and "locking effect", using the framework of game theory. The research shows that the exit strategy of institutional investors is not feasible when the stock liquidity is low. Forced to participate in the supervision of listed companies, that is, the "locking effect", and the lower the stock liquidity, this effect is more obvious. However, with the further increase of stock liquidity. The exit strategy of institutional investors has become credible, so that managers can be forced to choose to do their duties through certain trigger strategies, thus showing the "exit threat", and the higher the stock liquidity. The more obvious this effect is. There is a U-type relationship between stock liquidity and operating performance. This paper uses high-frequency trading data to construct relative effective spread and relative quoted price difference to measure stock liquidity. In fact, the conclusion supports the hypothesis.
【作者单位】：中山大学管理学院;
【基金】：国家自然科学基金项目“现金持有量的决定与价值研究”(70772079) 教育部人文社会科学规划基金项目“制度约束下企业融资中的择时行为研究”(07JA630023) 广东省软科学项目“广东资本市场的发展与企业可持续自主创新机制的构建”(0711520600036)
【分类号】：F830.91;F276.6;F272
【正文快照】： 一、引言在我国特定的公司治理结构下,股票流动性是否会对企业的经营绩效产生影响?如果会产生影响,那么其作用机理又是如何的?对这些问题进行理论与实证探讨,不仅可探究我国证券市场的微观结构对上市公司的控股大股东及其代理人(管理者)是否以及如何起到制约作用,从而丰富公

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