机构投资者对企业海外并购股东财富效应影响研究

发布时间：2018-01-11 23:30

本文关键词：机构投资者对企业海外并购股东财富效应影响研究　出处：《哈尔滨工业大学》2017年博士论文　论文类型：学位论文

【摘要】：机构投资者作为金融市场中重要的投资力量,顺应社会变革和经济环境变化而生,在经济发展中充当着重要的角色。截止2016年上半年,A股上市公司机构投资者的合计持仓达到了25736.85亿股,占全部A股48.18%。得益于机构投资者的发展和融资渠道的畅通,中国企业海外并购浪潮风起云涌。在“一带一路”、“中国制造2025”等一系列政策引导下中国企业抓住机遇,在全球范围内积极寻找和发掘被价值严重低估的优质资产,并将其同中国资产、中国市场进行重组和整合,2016年前三个季度,中国已取代美国,成为全球并购金额最大的国家,标志着中国海外并购进入了快速发展的全新阶段。在此背景下,机构投资者凭借资金、信息和资源优势,出于自身利益的考虑,越来越多地参与到中国企业海外并购中,因而研究机构投资者对企业海外并购股东财富效应影响具有重要的理论和现实意义。本文通过相关文献研究发现,关于企业海外并购股东财富效应的现有研究大都基于企业或者国家的视角而少有从机构投资者视角出发。本文以机构投资者这一全新视角,以海外并购事件为核心和逻辑起点,以股东财富效应为考量目标,引入委托代理理论来架构机构投资者对海外并购股东财富效应影响的理论框架,从长期和短期两个层面全方位地分析了机构投资者持股、交易行为和积极主义行为对企业海外并购股东财富效应影响,揭示了机构投资者对企业海外并购股东财富效应的影响机理和传导路径,既深化了机构投资者行为理论,又有助于丰富海外并购的理论内涵。本文从短期和长期两个层面,构建企业海外并购股东财富效应的研究体系,对企业海外并购股东财富效应进行更加全面系统地考察,并且在研究中更加注重考虑现实因素的影响,使研究结果更加可信。从短期层面来看,考虑到中国资本市场呈现半强式有效且资本市场制度不够健全等因素,海外并购信息存在提前泄露的可能,本文将研究的窗口期增加到了41天,除常规的窗口期外,增加了[-20,-1]、[2,20]和[-20,20]三个窗口期。研究结果显示,企业海外并购在海外并购事件公告日前后的确存在股价异动现象,说明中国企业存在海外并购短期股东财富,并且这种影响会随着窗口期的加长而变弱。从长期层面来看,进一步修正BHAR模型,将企业规模、权益账面-市值比(BE/ME)作为分类依据,划分为两个维度,共计25组,剔除这两类因素所引发的效应,使得研究结果更加准确。研究结果显示,中国企业海外并购并没有带来股东财富效应。本文引入行为金融学理论,放松原有的理性经济人假设,将有限理性机构投资者的交易行为纳入考量体系中,全面地揭示了机构投资者微观动态行为特征,构建机构投资者持股和交易行为影响企业海外并购短期股东财富的研究体系,选取机构投资者持股比例和机构投资者持股比例变动作为代理变量,全面地考察机构投资者行为对企业海外并购短期股东财富效应的影响。研究结果显示,机构投资者持股比例越大,企业海外并购短期股东财富效应就越好;机构投资者在海外并购事件宣告日前后持股比例变动越大,企业海外并购短期股东财富效应越差,说明中国的证券市场中存在着“风险补偿效应”。本文借鉴Brickly的研究,将机构投资者分为压力敏感型和压力抵制型,将异质性机构投资者对企业海外并购股东财富效应纳入研究框架,弥补了现有研究的不足。研究结果表明,压力抵制型机构投资者的持股比例增加,企业海外并购的短期股东财富效应越差,且该类型机构投资者持股比例变化减弱了企业海外并购短期股东财富效应;而敏感型机构投资者持股与企业海外并购短期股东财富之间存在着正向影响,其持股比例变化显著增加了企业海外并购短期股东财富效应,说明不同类别的机构投资者对企业海外并购短期股东财富效应的影响存在异质性。本文将机构投资者积极股东主义纳入到企业海外并购长期股东财富效应的研究体系中,为避免内生性问题,构建OLS和2SLS计量模型。研究结果显示,机构投资者总的持股与企业海外并购的长期股东财富效应之间无显著关联,压力抵制型和压力敏感型机构投资者持股对企业海外并购的长期股东财富效应均没有显著影响,说明机构投资者总体上来说并没有达到企业治理的效果。同时,考虑到不同类型的机构投资者持股比例高低也会对企业海外并购长期股东财富产生影响,本文进一步进行了深入的研究,结果显示,券商、银行和非金融机构持股企业海外并购长期股东财富效应具有负相关关系;相反,信托、金融机构、QFII持股对企业海外并购长期股东财富效应有正向影响,说明不同类型的机构投资者持股对企业海外并购的长期股东财富效应的影响存在一定的差异。最后,基于机构投资者理论和实证研究结果,本文对中国机构投资者健康有序地发展提出政策建议。
[Abstract]:Institutional investors in the financial market as an important investment force, conform to the social change and the change of economic environment and health, plays an important role in the economic development. As of the first half of 2016, A shares of listed companies institutional investors total holdings reached 2 trillion and 573 billion 685 million shares, accounting for the full development and financing channels of A shares 48.18%. benefit from institutional investors the smooth wave of overseas mergers and acquisitions of enterprises. Chinese raging like a storm in the "The Belt and Road", "China 2025" and a series of policy under the guidance of China enterprises to seize the opportunity in the global scope, and actively looking for mining was seriously underestimated the value of high-quality assets, and its asset China, China market restructuring and integration three, a quarter of 2016, China has replaced the United States to become the world's largest amount of mergers and acquisitions, marks China overseas mergers and acquisitions has entered a new stage of rapid development in this. Under the background of institutional investors with funds, information and resources for their own interests, more and more involved in overseas mergers and acquisitions Chinese enterprise, which has important theoretical and practical significance of overseas mergers and acquisitions of shareholder wealth effect on institutional investors. Through literature study found that existing research on overseas mergers and acquisitions the wealth effect of shareholders are mostly based on the perspective of enterprises or countries rather than starting from the perspective of institutional investors. In this paper, a new perspective of institutional investors in overseas mergers and acquisitions events as the core and the logic starting point, the wealth effect of shareholders for consideration, introducing the principal-agent theory to construct the theoretical framework of institutional investors for overseas mergers and acquisitions affect the wealth effect of shareholders and from the two aspects of the long-term and short-term analysis of all-round institutional investors trading behavior, and actively advocate The meaning of behavior of enterprises overseas mergers and acquisitions of shareholder wealth effect, reveals the influence of institutional investors on corporate mergers and acquisitions overseas shareholder wealth effect mechanism and conduction path, not only deepen the institutional investors' behavior theory, and enrich the theoretical connotation of overseas mergers and acquisitions. The short and long-term two aspects, constructing the research system of overseas mergers and acquisitions the wealth effect of shareholders, a more comprehensive system to study on overseas mergers and acquisitions the wealth effect of shareholders, and pay more attention to the influence factors of reality in the study, make the research results more credible. From the short-term perspective, taking into account the China capital market is semi strong and effective capital market system is not perfect and other factors, overseas mergers and acquisitions information there are likely to be leaked in advance, this paper will study the window period increased to 41 days, in addition to the regular window period, increased [-20, -1], [2,20] and [-20 20], the three window period. The results showed that the overseas mergers and acquisitions do exist stock transaction phenomenon in overseas mergers and acquisitions announcement date before and after that, China enterprises overseas mergers and acquisitions short-term shareholder wealth, and this effect will increase with the window becomes weak. From a long-term perspective, further modifying the BHAR model, the scale of the enterprise right, the book to market (BE/ME) as the basis of classification, divided into two dimensions, a total of 25 groups, the effect of these two factors removed, which makes the results more accurate. The results showed that China did not bring enterprises overseas mergers and acquisitions, the wealth effect of shareholders. This paper introduces the theory of behavior finance, relax the original some rational economic man hypothesis, trading behavior limited rational institutional investors into consideration system, fully reveals the micro dynamic behavior of institutional investors, institutional investors holding Study on the effect of corporate shares and trading system of overseas mergers and acquisitions short-term shareholder wealth, select the proportion of institutional investors and institutional investors' investment as a proxy, comprehensively study the behavior of institutional investors on corporate mergers and acquisitions overseas short-term shareholder wealth effect. The results of the study showed that the proportion of institutional investors holding more overseas mergers and acquisitions short-term shareholders the wealth effect is better; institutional investors in overseas mergers and acquisitions event declared before and after the change in ownership percentage increases, overseas mergers and acquisitions short-term wealth effect is worse, indicating the presence of "risk compensation effect" Chinese in the stock market. This paper from the Brickly study, institutional investors will be divided into pressure sensitive type and pressure resistant. The heterogeneity of institutional investors in overseas mergers and acquisitions of shareholder wealth effect in the framework of the research, the existing research does not make up Foot. The results show that the pressure against the shareholding ratio of institutional investors increased, the short-term wealth effect of shareholders overseas mergers and acquisitions is poor, and the types of institutional investors shareholding changes weakened overseas mergers and acquisitions short-term wealth effect of shareholders; but the sensitive institutional investors shareholding enterprises and overseas mergers and acquisitions between short-term shareholder wealth is positive influence of the shareholding ratio change significantly increased the overseas mergers and acquisitions short-term wealth effect of shareholders, that different types of institutional investors on the impact of overseas mergers and acquisitions in the short-term wealth effect of shareholders heterogeneity. This paper will study the system of institutional investors active shareholders into overseas mergers and acquisitions long-term shareholder wealth effect, to avoid the endogeneity problem OLS and 2SLS, to construct econometric model. The research result shows that institutional investors and enterprises overseas mergers and acquisitions long No significant correlation between the period of shareholder wealth effect, pressure resistant and pressure sensitive institutional investors did not have a significant impact on long-term shareholder wealth effect of overseas mergers and acquisitions, that institutional investors generally did not achieve the effect of corporate governance. At the same time, considering the proportion of institutional investors holding different types will also have an impact on overseas mergers and acquisitions long-term shareholder wealth, the paper further studied, results show that the brokerage, and non bank financial institutions holding enterprises overseas M & a long-term shareholder wealth effect has a negative correlation; on the contrary, trust, financial institutions, QFII shares have positive effects on overseas mergers and acquisitions long-term shareholder wealth effect, it indicates that there are some differences the effects of different types of institutional investors on corporate mergers and acquisitions overseas long-term shareholder wealth effect. Then, based on the The theoretical and empirical results of institutional investors, this paper puts forward policy suggestions on the healthy and orderly development of Chinese institutional investors.

【学位授予单位】：哈尔滨工业大学
【学位级别】：博士
【学位授予年份】：2017
【分类号】：F279.2;F271

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