证券投资基金参与上市公司治理的理论和实证研究

发布时间：2018-12-31 13:57

【摘要】：我国第一家基金公司自1998年诞生至今已经十四个年头。数据显示，基金净值与A股流通市值的比重从1998年的1.81%上升至2011年末的7.7%，证券投资基金成为我国最重要的机构投资者之一，研究机构投资者特别是证券投资基金对上市公司治理以及上市公司绩效的影响成为一个重要的课题。由于机构投资者之间存在异质性，为结果更加可靠，本文分析不同类型机构投资者后选取证券投资基金为研究对象，丰富了机构投资者对公司治理和业绩影响的研究，为我国制定规范机构投资者行为的相关政策提供依据。利用2009-2011年三年数据，以连续三年有证券投资基金位于前十大流通股股东列表的上市公司为对象，建立多元回归模型对其进行实证分析，考察其证券投资基金对上市公司治理和业绩的影响。得到以下三点结论：以代理成本作为上市公司治理水平的替代变量，发现证券投资基金持股比例越高，上市公司代理成本越低，公司治理越好，，证券投资基金持股对公司治理有正面作用,而且统计上显著。运用最新的社会网络分析（SNA）法，对由证券投资基金投资形成的上市公司网络进行了分析，发现上市公司网络的度数中心度与公司的代理成本负相关且统计上显著，因此研究表明处于网络核心的公司代理成本低，公司治理情况更好。以托宾Q作为衡量公司价值的指标，实证结果显示滞后一期的证券投资基金持股比例和公司价值显著正相关。加入网络指标，度数中心度系数显著为正，同时模型的拟合优度得到提高，肯定了由证券投资基金连接形成网络对公司价值的提高作用，说明考虑网络因素对已有模型是一个有益的补充。证券投资基金持股对公司的业绩也会产生显著影响。选取主营业务总资产收益率作为因变量，发现滞后一期的基金持股能够显著改善上市公司的业绩水平，基金的参与有助于上市公司取得较高的利润。为消除内生性，建立联立方程模型。联立方程的求解结果再次证实基金作为大股东的介入对公司绩效的正面作用。同时也发现证券投资基金会根据公司价值和业绩选择进行判断，选择优秀的公司进行投资。
[Abstract]:The first fund company in our country has been 14 years since its birth in 1998. The data show that the proportion of net fund value to A-share market value has risen from 1.81% in 1998 to 7.7% at the end of 2011. Securities investment funds have become one of the most important institutional investors in China. It has become an important topic to study the influence of institutional investors, especially securities investment funds, on the governance of listed companies and the performance of listed companies. Because of the heterogeneity among institutional investors, the results are more reliable. After analyzing different types of institutional investors, this paper selects securities investment funds as the research object, which enriches the research of institutional investors' influence on corporate governance and performance. It provides the basis for our country to establish the relevant policy of standardizing the behavior of institutional investors. Based on the data of three years from 2009-2011 to the listed companies with the list of the top 10 outstanding shareholders of the securities investment funds for three consecutive years, a multivariate regression model is established to analyze them empirically. To investigate the impact of its securities investment funds on the governance and performance of listed companies. The following three conclusions are obtained: taking agency cost as an alternative variable of corporate governance level, it is found that the higher the shareholding ratio of securities investment funds is, the lower the agency cost of listed companies is, and the better corporate governance is. Securities investment fund shares have a positive effect on corporate governance, and statistically significant. By using the latest social network analysis of (SNA) method, this paper analyzes the network of listed companies formed by the investment of securities investment funds. It is found that the degree of centrality of the network of listed companies is negatively correlated with the agency cost of the company and statistically significant. Therefore, the research shows that the agency cost is low and the corporate governance is better. Taking Tobin Q as the index to measure the value of the company, the empirical results show that there is a significant positive correlation between the holding ratio of the securities investment fund and the company value. With the addition of the network index, the degree center coefficient is significantly positive, and the goodness of fit of the model is improved, which confirms the role of the network formed by the securities investment fund to improve the value of the company. It shows that considering the network factor is a useful supplement to the existing model. Securities investment fund shareholding will also have a significant impact on the company's performance. By selecting the total return on assets of the main business as dependent variable, it is found that the outstanding fund holding can significantly improve the performance level of listed companies, and the participation of funds can help the listed companies to obtain higher profits. In order to eliminate endogenicity, a simultaneous equation model was established. The results of simultaneous equation again confirm the positive effect of fund intervention as a major shareholder on corporate performance. At the same time, it is found that the securities investment fund chooses the excellent company to invest according to the company value and the performance choice.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F272.3;F832.51;F224

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