政治关联与中国资本市场估值差异

发布时间：2018-01-06 15:17

本文关键词：政治关联与中国资本市场估值差异　出处：《中央财经大学》2016年博士论文　论文类型：学位论文

【摘要】：在完美的资本市场上,资产或资本只有一个价格,这一价格决定于资产预期的未来现金流与风险水平。股票价格在有效市场上,是根据全部可得信息对公司未来现金流现值的无偏估计,而市场的不完美性,比如交易成本、信息分布等可能导致同一资产存在不同的价格,即多重的估值标准。中国的资本市场显然也存在多重估值标准,如股权分置改革前,由于股权性质导致的市场分割,形成国有、国有法人股市场和流通股市场;股改后,由于资金规模和进入限制导致的分割,即风险资本取得准上市公司股权的市场与公开交易的资本市场;上市公司选择或契约导致的分割,取得定向增发股票的市场与日常股票交易的公开资本市场,显然都分属不同的资本市场,存在不同的估值标准。本文选取了风险投资机构获得准上市公司股权的非公开交易市场和公开交易的流通股市场为研究对象,已有的以成熟资本市场为研究对象的资产定价文献中考虑了系统风险、税、流动性限制、投资者行为或偏好等因素对资产定价产生的影响,本文在上述文献基础上研究了中国资本市场中政治关联是否具有定价含义,以及政治关联如何影响IPO估值和股权资本成本。首先,本文考察了介入上市公司的风投机构高管的政治关联对风投机构与中小投资者投资成本差异的作用,逐层深入分析不同产权性质高管的政治关联对估值差异的影响,以及风投机构减持与政治关联之间的关系,风投机构投资者取得股权的价格远低于中小投资者取得股权的价格,控制了货币时间价值和IPO锁定期的流动性折价后,研究发现,风投机构高管的政治关系与估值差异具有显著相关性,政治关联的风险投资机构估值差异、减持比例显著高于非政治关联的风投机构。风投介入被投资公司时已获得远远低于市场价格的股权成本,通过短暂的培育、培训期促使准上市公司成功IPO,此时政治寻租为上市公司带来了高估值,待中小投资者接手后,风投机构精准的把握市场行情,在IPO锁定期结束时陆续减持,此时市盈率尚未回落至行业平均水平,且市盈率越高减持比例、减持数量越大,减持的等待期越短。这显然是对中小投资者的一场浩劫,财富通过资本市场由中小投资者流向了风投机构。出于自身利益最大化,风投机构有动机利用自己的信息优势在公司价值被高估时出售持有股票。通过本文的研究该引起监管部门的重视,适当的延长限售期、加强市场约束力量,保护中小投资者利益,构建健康、可持续发展的资本市场。其次,本文研究了政治关联对IPO价格高估的影响。一直以来,IPO价格高估,大股东、高管减持,既分割中小投资者利益,又影响资源配置效率,从而危害市场的公平和效率。导致我国股票市场IPO“高发行价、高募集资金、高市盈率”的“三高”乱象的原因是什么?谁又是IPO高估的受益者?本文进行了理论分析和实证检验,笔者将Olhson模型与GLS模型结合,构造了一个基于可观察的历史会计数据的股票估值模型,并用这一模型来估计股票的内在价值,进而估计股票IPO价格偏离率,以此来准确衡量IPO估值泡沫,为研究政治关联和IPO定价之间的关系提供了一个合理的方法论基础。基于我国中小板资本市场数据,实证研究结果发现民营企业的IPO价格更高,上市公司中有政治关联董事会成员的比例越大,IPO价格偏离公司价值程度越高。或者说,民营企业有政治背景高管的比例越高,其IPO定价越高。这些发现,既有助于科学评估我国股市的公平、效率及其影响因素,也为监管部门评估并改进上市、退市制度提供可资借鉴的政策建议。最后,本文对政治关联如何影响资本成本及其经济后果进行了经验分析,结果表明,在控制影响资本成本的已知因素后,资本成本与政治关联存在显著的负相关关系,IPO公司与公共部门之间的政治关联越紧密,资本成本越低。这意味着,一方面,与公共部门紧密的政治关联,降低了投资者的预期投资回报从而降低了投资者福利;另一方面,资本成本因政治关联而降低时将大大高估IPO公司实物投资的净现值,从而导致稀缺资本被低效率使用,降低实体经济的资源配置效率。本文的经验分析,对监管部门改进上市、退市制度以及促进资本市场的公正公平和资源配置效率,具有一定的政策含义。
[Abstract]:In a perfect capital market, asset or capital only a price, the price depends on the expected future cash flow of the assets and the risk level. The stock price in the efficient market, is based on all available information on the estimation of the present value of future cash flows of the company, and the market is not perfect, such as transaction cost the distribution of information, may lead to different prices of the same asset, namely multiple valuation standards. Chinese capital market is clearly the existence of multiple valuation standards, such as the reform of non tradable shares, due to the equity nature of the cause of market segmentation, to form a state-owned, state-owned legal person shares and tradable shares market after the share reform, because the capital market; the size and limits to segmentation, namely venture capital equity quasi listed companies publicly traded market and capital market; listed companies or contract to achieve segmentation, to the issuance of shares Open capital market and daily stock trading, are obviously different capital markets, there are different valuation standards. This paper selects the risk investment institutions to obtain quasi equity of listed companies non open market transactions and publicly traded shares market as the research object, existing in the mature capital market as the research object of the asset pricing literature in consideration of system risk, tax, liquidity constraints, influence investor behavior or preference on asset pricing, based on the literature on the capital market in the Chinese political association is the pricing implications, and how to influence the political association of IPO valuation and the cost of equity capital. Firstly, this paper examines the role of political association participate in the corporate venture capital institutions executives of venture capital institutions and small investors investment cost difference, depth analysis of different property rights The influence of political connection properties of executives on the valuation differences, reducing the relationship between political connections and venture capital institutions, venture capital investors made equity prices far lower than the small and medium-sized investors made equity prices, control the time value of money and IPO lock liquidity discount regularly after the study found that the political relationship and difference between the valuation of venture capital institutions executives have significant correlation, risk investment institutions valuation differences between the political and the reduction of the proportion of venture capital institutions was significantly higher than that of the non political connection. Venture capital investment company has been obtained when intervention is far lower than the market price of the cost of equity, through the short training period to cultivate, quasi listed companies successful IPO, this time for listed companies to bring political rent-seeking the valuation of small and medium-sized investors to venture capital institutions took over, accurate grasp of the market, in the IPO end of the lock up period when another reduction at this time. Not back to the industry average price earnings ratio, price earnings ratio and higher reduction ratio, the reduction of the number of the greater reduction of the waiting period is shorter. This is obviously a catastrophe for small investors, wealth through the capital market by small investors to venture capital institutions. For the maximization of their own interests, venture capital institutions motivation to use their information advantage in the value of the company to sell overvalued stock. Through this study the regulatory attention, appropriate to extend the restricted period, strengthen market discipline, protect the interests of small investors, Gou Jianjian Kang, the sustainable development of the capital market. Secondly, this paper studies the effect of political connection on the price of IPO overvalued. Since IPO prices overvalued, major shareholders, executives holdings, which split the interests of small investors, but also affects the efficiency of resource allocation, and do harm to the justice and efficiency of market in our country stock. The ticket market IPO "high price, high to raise funds, what is the reason for the high price earnings ratio" of the "three high" chaos? Who is the IPO overestimates the beneficiary? This paper gives a theoretical analysis and empirical test, the author combines Olhson model and GLS model, we construct a model based on historical accounting data of stock valuation observation, and use this model to estimate the intrinsic value of the stock, and then estimate the stock price from the rate of IPO, in order to measure the IPO value of the foam is accurate, provides a reasonable method for the study of the relationship between political connection and IPO pricing based on the data of China's SMEs. Based on the results of empirical research of capital market. IPO found the price of private enterprises is higher, listed companies in the political association of members of the board of directors of the greater the proportion of IPO, the higher the degree of price deviation from the value of the company. Or, private enterprises have more proportion of executives and political background The IPO is high, the higher the price. These findings not only contribute to the scientific evaluation of China's stock market fair, efficiency and influence factors, also for regulators to assess and improve the market, provide some policy suggestions of delisting system. Finally, this article on how to influence the political connection cost of capital and the economic consequences of the empirical analysis the results showed that, in control of factors known to affect the cost of capital, there is a significant negative correlation between the capital cost associated with political, political connection between IPO company and the public sector more closely, the lower the cost of capital. This means that, on the one hand, politics closely associated with the public sector, reducing the expected investment of investors return to reduce the welfare of investors; on the other hand, the net present value of cost of capital because of political association will decrease greatly overestimated the IPO investment, which leads to the low efficiency in the use of scarce resources To reduce the resource allocation efficiency of the real economy, the empirical analysis in this paper has certain policy implications for regulatory authorities to improve the listing, delisting system, and promote equity and resource allocation efficiency in the capital market.

【学位授予单位】：中央财经大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：D0;F832.51

【相似文献】