高管持股对股票收益影响的理论与实证研究

发布时间：2018-03-26 01:48

本文选题：高管持股　切入点：经理自主权　出处：《复旦大学》2014年硕士论文

【摘要】：现代企业中所有权和经营权的分离产生了委托代理问题。随着我国资本市场的不断完善,越来越多的上市公司通过高管持股试图解决委托代理问题。高管持股作为一种长期激励约束机制一直备受关注,学者对高管持股与公司价值关系进行了深入研究。与此同时,不少高管自愿持有较高比例的公司股票的现象近年来愈发明显,但这显然有悖于风险分散的原则。此种非理性行为的背后表明上市公司高管持股与股票收益之间可能存在相应关系。本文从理论和实证两个方面对我国上市公司高管持股与股票收益的关系进行了研究。从理论方面,基于传统的委托代理理论,并结合博弈论和行为金融理论,梳理总结了基于信息不对称的信号传递博弈理论、基于激励机制的公司治理溢价理论以及基于纳什均衡模型的折价均衡理论。从实证方面,基于高管持股比例构建投资组合,采用Fama-French三因子模型得到的超额收益率。本文在分析整理2007年至2013年所有A股市场高管持股与股票收益的基础上,结合我国高管持股发展历程和现状,构建多元回归模型,采用面板数据,运用FMB回归和PCSE回归法,对高管持股比例与股票收益进行了实证研究,并进一步基于经理自主权理论探究了经理自主权在高管持股对股票收益影响中的作用。实证结果表明,具有较高的高管持股比例的公司能够获得高达5%的超额收益率,若同时具有较大的经理自主权,其股票市场表现更为突出,并且能够获得更高的资产收益率和权益收益率,公司的成本控制也更加有效。总体而言,本文研究表明中国股票市场并不能完全有效地对高管持股的激励作用进行定价,通过持有具有较高的高管持股权的股票将能获得超额收益。
[Abstract]:The separation of ownership and management rights in modern enterprises leads to the principal-agent problem. With the continuous improvement of the capital market in China, More and more listed companies try to solve the principal-agent problem through executive stock ownership. As a long-term incentive and constraint mechanism, scholars have deeply studied the relationship between executive ownership and corporate value. It has become increasingly apparent in recent years that many executives voluntarily own a high percentage of the company's shares. But this is obviously contrary to the principle of risk dispersion. Behind this irrational behavior, there may be a corresponding relationship between the stock ownership and stock returns of listed companies. This paper gives a theoretical and empirical analysis of the listed companies in China. The relationship between stock ownership and stock returns is studied. Based on the traditional principal-agent theory, combined with game theory and behavioral finance theory, this paper summarizes the signaling game theory based on asymmetric information. Corporate governance premium theory based on incentive mechanism and discount equilibrium theory based on Nash equilibrium model. Based on the analysis of the stock ownership and stock returns of all A-share markets from 2007 to 2013, this paper constructs a multivariate regression model based on the development history and current situation of China's senior stock holding, which is based on the Fama-French three-factor model. Using panel data, using FMB regression and PCSE regression, the paper makes an empirical study on the proportion of senior executives' shareholding and stock returns. Furthermore, based on the theory of executive autonomy, the paper explores the role of executive autonomy in the influence of executive ownership on stock returns. The empirical results show that companies with higher proportion of executive ownership can obtain excess returns of up to 5%. With greater managerial autonomy at the same time, the stock market performance is more prominent, and the return on assets and equity is higher, and the cost control of the company is more effective. This paper shows that the Chinese stock market can not price the incentive effect of executive stock ownership effectively, and can obtain excess returns by holding stocks with higher stock ownership.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F272.92;F832.51

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