所有权结构、盈余管理与股价行为

发布时间：2018-06-01 15:27

本文选题：股价波动同步性 + 公司特质暴跌风险　；参考：《暨南大学》2012年博士论文

【摘要】：公司治理对股票价格以及股票收益率分布特征的影响是公司金融领域的重要研究课题。本文基于中国不断改革变化的制度背景和中国上市公司特有的公司治理结构特征，研究公司层面的投资者保护机制和管理层的盈余管理行为对进入资本市场的公司特质信息流从而股票收益率分布特征的影响及其作用机制。进一步的，本文还从资产定价的视角考察了股票收益率分布高阶矩特征的经济后果，具体而言，本文利用股权分置改革形成的“自然实验”条件，检验了公司特质波动率（二阶矩）和股价暴跌风险（三阶矩）对股权融资成本的影响。首先，运用中国上市公司1998-2010年间的面板数据，本文考察了所有权结构（包括政府控股、股权集中度和境外投资者持股）和管理层的盈余管理行为对股价波动同步性以及暴跌风险的影响。利用过去三年的非正常应计利润绝对值之和来捕捉公司管理层的盈余操纵程度，并引入会计制度改革和股权分置改革的政策性外生冲击后发现：（1）盈余管理水平与股价波动同步性、股价暴跌风险之间均显著正相关，并且这些正向关系在2007年新会计准则实施后均明显减弱。该发现与解释R2和股价暴跌风险的信息窖藏理论（Jin and Myers，2006；Hutton et al.，2009）的预期是一致的，即管理层可能通过盈余管理窖藏坏消息，导致负面信息在公司内部囤积直至超出经理人的隐藏能力时在瞬间全部释放出来，引起股价大幅下跌；旨在与国际财务报告准则趋同的新会计准则的实施有助于遏制管理层的盈余管理行为或降低其通过盈余管理隐藏（坏）信息的能力。（2）盈余管理与股价波动同步性之间的正向关系仅存在于政府控股的公司样本中，在非政府控股的公司样本中二者的关系并不显著；并且，本文发现即使在控制了盈余管理之后，相比于非政府控股的公司，政府控股公司的股价仍然表现出较高的波动同步性和暴跌风险。这些结果提供强有力的证据表明，相比于非政府控股的公司，政府控股公司的管理者具有更强的激励和更多的机会（通过操纵盈余）控制和隐藏进入资本市场的（负面）特质信息流，，从而减少融入股价的公司特质信息量并提高股价的暴跌风险。（3）股价波动同步性与股权集中度之间呈现显著的凹函数关系，即随着股权集中度的提高，股价波动同步性以递减的速率上升直至某个临界值后开始出现下降。同时，本文发现较弱的证据表明，股价暴跌风险与股权集中度之间呈现凸函数的关系。（4）相比于仅发行A股的公司，同时发行B股或H股的公司具有显著较低的股价波动同步性和股价暴跌风险，表明双重上市带来的更为严格的法律监管、面对具有更高信息质量要求的境外投资者及财务分析师等市场力量的约束，有助于改善公司的信息环境，促进知情交易并抑制管理层对好消息和坏消息披露的不对称性。（5）股权分置改革对中国上市公司的信息环境具有重要的影响。公司的股价波动同步性和股价暴跌风险在股权分置改革完成后均显著下降；并且，股权分置改革对非政府控股公司的影响更为显著，相比于政府控股的公司，非政府控股公司的股价暴跌风险在股权分置改革后下降幅度更大。该结果支持了这样的理论推断，即股权分置改革带来的股份转让权约束的放松能够显著改善控制性股东与中小投资者之间的利益一致性基础，从而降低内部人侵害外部投资者以谋求控制权个人私利的激励。然后，本文进一步利用股权分置改革形成的“自然实验”条件，考察了收益率分布的高阶矩特征（公司特质波动率和暴跌风险）对公司股权融资成本的影响极其作用机制。基于上市公司2002-2010年间的数据，采用Hou et al.（2012）最新发展的截面模型回归方法估计中国上市公司的股权融资成本，并在控制了公司规模、BETA系数、账面市值比以及财务杠杆等其他因素后发现：（1）公司特质波动率对股权融资成本具有显著的正向影响，并且这种影响在股权分置改革完成后明显减弱；股权分置改革对上市公司的股权融资成本具有显著的负向影响，其作用机制主要是通过股权分置改革前后公司特质波动率的定价效应变化实现的。这一实证发现很好的验证和补充了Li et al.（2011）的洞见，表明股权分置改革有助于提高原非流通股股东的投资组合分散能力，优化投资者之间的风险分担，从而弱化公司特质风险的定价效应，降低上市公司的股权融资成本。（2）在进一步控制了股权分置改革以及公司特质波动率的影响之后，公司特质暴跌风险与股权融资成本之间显著正相关，但是暴跌风险的定价效应在股权分置改革前后并未发生显著的变化。该结果表明公司管理层的不对称信息披露行为是被市场定价的，管理层对好消息和坏消息披露的不对称越严重，投资者要求的投资回报率越高；该结果也在一定程度上验证了Sunder（2010）和DeFond et al.（2011）关于公司特质暴跌风险“难以有效分散”的观点。本文的主要实证结果对于不同的变量测度方法、计量模型设定以及样本选择标准均具有良好的稳健性。本文的研究丰富和拓展了Jin and Myers（2006）的理论洞见和经验发现，表明在投资者保护较弱的新兴市场国家，公司层面的治理结构对于公司信息环境的形成具有重要的作用。本文的发现很好地验证了产权构成中财产转让权的重要性，为股权分置改革和新会计准则实施的成效提供了直接的经验证据。
[Abstract]:The influence of corporate governance on the stock price and the distribution characteristics of stock returns is an important research topic in the field of corporate finance. Based on the institutional background of China's continuous reform and changes and the characteristic characteristics of the corporate governance structure of Chinese listed companies, this paper studies the investor protection mechanism at the corporate level and the earnings management behavior of the management level. The influence of the characteristic information flow into the capital market and the effect mechanism of the distribution characteristics of the stock returns. Further, this paper also examines the economic consequences of the high order moment characteristics of the distribution of stock returns from the perspective of asset pricing. The impact of volatility (two order moments) and stock price risk (three order moments) on the cost of equity financing.
First, using the panel data of Chinese listed companies for 1998-2010 years, this paper examines the effects of ownership structure (including government holding, ownership concentration and foreign investor ownership) and management earnings management behavior on stock price volatility synchronization and the risk of plunge. The sum of the absolute value of the abnormal accruals in the past three years is used. Capturing the degree of earnings manipulation of the management of the company, and introducing the policy exogenous shocks of the accounting system reform and the split share structure reform, we found that:
(1) there is a significant positive correlation between earnings management level and stock price volatility synchronization and stock price plunge risk, and these positive relationships are obviously weakened after the implementation of new accounting standards in 2007. The discovery is consistent with the expectation of the information cellar theory (Jin and Myers, 2006; Hutton et al., 2009) to explain the risk of R2 and stock price fall, namely, management The layer may be managed by the surplus management to cellar bad news, causing the negative information to be hoarded in the company until the manager's hidden ability is released in a moment, causing the stock price to fall sharply. The implementation of the new accounting standards aimed at converging with the international financial reporting standards will help to curb the management's earnings management behavior or reduce it. The ability to hide (bad) information through earnings management.
(2) the positive relationship between earnings management and stock price volatility exists only in the sample of government holding companies, and the relationship between the two in non-governmental holding companies is not significant. Moreover, this paper finds that even after controlling the earnings management, the stock price of the government holding company is still displayed compared to the non government holding company. The results provide strong evidence that the managers of government holding companies have stronger incentives and more opportunities (by manipulating earnings) to control and hide the flow of (negative) trait information into the capital market, thus reducing the share of the share price. The quantity of information and the plunge risk of the stock price.
(3) there is a significant concave function relationship between stock price volatility synchronization and ownership concentration, that is, with the increase of ownership concentration, the synchronization of stock price fluctuation is rising to a certain critical value. At the same time, the weak evidence shows that the stock price fall risk and the ownership concentration show a convex function. The relationship.
(4) compared to the company issuing A shares only, the companies issuing B shares or H-shares have significantly lower share price volatility synchronization and stock price plunge risk, indicating more stringent legal regulation brought by double listing, which will help to improve the market forces such as overseas investors and financial analysts with higher information quality requirements. The company's information environment promotes informed trading and inhibits the asymmetry of good news and bad news disclosure.
(5) the share split reform has an important influence on the information environment of Chinese listed companies. The volatility synchronization and stock price fall risk of the company have been significantly reduced after the completion of the split share reform, and the impact of the split share reform on non-governmental holding companies is more significant, compared to the government holding company, the non government holding company. The stock price plunge risk has decreased significantly after the split share reform. The result supports the theoretical inference that the relaxation of the equity transfer restriction brought by the split share reform can significantly improve the basis for the consistency of the interests between the controlling shareholders and the small and medium investors, thus reducing the insider's infringement on the external investors. The incentive to seek private interest in the right of control.
Then, this paper further uses the "natural experiment" conditions of the split share reform to examine the effect mechanism of the high order moment characteristics of the rate of return (the volatility and the risk of the fall) on the cost of the equity financing. Based on the data of 2002-2010 years of the listed company, the latest development of Hou et al. (2012) is adopted. The surface model regression method is used to estimate the cost of equity financing in China's listed companies, and it is found after controlling the size of the company, the BETA coefficient, the book value ratio and the financial leverage, and other factors.
(1) the volatility of the company's trait has a significant positive impact on the cost of equity financing, and this effect is obviously weakened after the completion of the split share reform. The share split reform has a significant negative impact on the equity financing cost of the listed companies, and its mechanism is mainly through the determination of the volatility of the company's characteristics before and after the split share reform. The price effect change is realized. This empirical discovery is a good verification and supplement of the insight into Li et al. (2011), which shows that the split share reform helps to improve the portfolio dispersion ability of the original non tradable shareholders and optimizes the risk sharing among the investors, thus weakening the pricing effect of the company's idiosyncratic risk and reducing the equity financing of the listed companies. Cost.
(2) after the further control of the ownership disposition reform and the influence of the firm's characteristic volatility, the corporate trait slump risk has a significant positive correlation with the cost of equity financing, but the price effect of the plunge risk has not changed significantly before and after the split share reform. In order to be priced by the market, the more serious the management has on the asymmetry of good news and bad news disclosure, the higher the investment returns required by investors; the results also prove to a certain extent that Sunder (2010) and DeFond et al. (2011) are "difficult to disperse" on the risk of corporate slump.
The main empirical results of this paper have good robustness for different variable measure methods, measurement model setting and sample selection criteria. This study enriches and expands the theoretical insight and experience discovery of Jin and Myers (2006), which shows that the corporate governance structure of the company level in the emerging market countries with weak investor protection. The formation of the company's information environment plays an important role. The findings of this paper well verify the importance of the property transfer right in the structure of property rights, and provide direct empirical evidence for the effectiveness of the split share reform and the implementation of the new accounting standards.
【学位授予单位】：暨南大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F276.6;F832.51;F224

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