CEO能力认知与股票波动率相关性的实证研究

发布时间：2018-03-31 05:24

本文选题：CEO能力认知　切入点：CEO任期　出处：《复旦大学》2014年硕士论文

【摘要】：市场中的企业面临系统风险及特质风险,上市公司股票波动率由多种因素决定,这些因素可能源自企业基本面,也可能源自市场投资者对企业高管的认知程度。当投资者对上市企业CEO能力认知不足时,有关上市企业CEO的新闻报道会从两个层面引起其股价波动：其一,新闻报道本身将直接引起股价波动；其二,新闻报道将影响公众对CEO能力的评估以及对其未来绩效的预测,从而间接引起股价的波动。公众对CEO能力的认知随着时间的推移即CEO任期的延长而加深,因而股价波动随着CEO任期的延长而降低。本文依据以上假设,使用中国沪深两市二十年数据,运用计量经济学研究方法,对上市公司股票收益波动率及公众对CEO能力认知的相关性进行了实证研究。本文在基于假设而设定的模型上,采取具有代表性的控制变量以及我国证券市场成立以来直至最新可获得的经济数据,研究沪深两市企业上市以来每个企业每次CEO更替后随时间推移波动率的变化情况,整理使用了七万多条样本,得到的结论是：随着CEO更替后时间的推移(三年内),企业股票收益波动率降低。CEO能力的认知程度与上市企业股票收益波动率在经济学及统计意义上显著线性负相关。该结论与新任CEO的任职来源以及前任CEO的离职原因相关,即当CEO来自内部提拔(内源CEO),公司股票收益波动率上升。另外,在弱统计显著性下,当CEO离职由被动原因导致时,也将对公司股票收益波动率产生正向影响。综上,对上市企业CEO能力的认知程度是影响股票收益波动率的重要因素。
[Abstract]:Enterprises in the market are faced with systemic risks and special risks. The volatility of listed companies is determined by a variety of factors, which may come from the fundamentals of enterprises. It may also stem from market investors' awareness of corporate executives. When investors do not know enough about the CEO capabilities of listed companies, news reports about listed companies' CEO can cause their share prices to fluctuate on two levels: first, News coverage itself will directly cause stock price volatility; second, news coverage will affect the public's assessment of CEO capabilities and its future performance forecasts. As a result, the public's understanding of the ability of CEO deepens with the passage of time, that is, the extension of the tenure of CEO, so the volatility of the stock price decreases with the extension of the term of CEO. Using 20 years data from Shanghai and Shenzhen stock markets in China and using econometric research methods, this paper makes an empirical study on the correlation between the volatility of stock returns of listed companies and the public perception of CEO capability. By using the representative control variables and the latest economic data since the establishment of the stock market in China, this paper studies the change of the volatility rate with time after each CEO turnover of each enterprise in Shanghai and Shenzhen stock markets. More than 70,000 samples were collected and used. The conclusion is: with the passage of time after the turnover of CEO (within three years), the cognitive degree of the ability of the CEO to reduce the volatility of stock returns and the volatility of stock returns of listed enterprises are significantly linear and negative in the economic and statistical sense. This conclusion is related to the source of the new CEO and the reasons for the departure of his predecessor, CEO. That is, when CEO comes from internal promotion (endogenous CEO), the volatility of stock returns increases. In addition, under the weak statistical significance, when CEO turnover is caused by passive causes, it will also have a positive impact on the volatility of stock returns. The cognition of CEO ability of listed enterprises is an important factor to affect the volatility of stock returns.
【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】：F832.51

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