内部控制质量对股权资本成本的影响研究
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摘要
资本市场是企业进行直接融资的基本渠道,是联接企业和投资者的纽带,大量的企业通过资本市场获得经营发展所必须的资金支持,投资者通过资本市场取得资本的投资收益,实现财富的最大化。股权资本成本对资本市场的这种组织资源配置、引导资金的高效率流动起着关键的作用,它是资本市场投融资效率的直接体现。但是,不少企业由于低下的内部控制质量和风险管理水平,导致预定的经营和战略发展目标无法实现,甚至陷入破产的境地,投资者也因虚假的财务信息和企业经营失败蒙受了巨大的损失,严重打击了投资者对资本市场的信心,进而损害了资本市场的投融资效率。因此深入和系统分析内部控制对股权资本成本的作用机理,探求内部控制在资本资产定价过程中所扮演的角色便具有重要的理论意义和现实意义。
在理论意义上,它一方面有助于加深内部控制对股权资本成本作用机制的认识,从而丰富内部控制质量经济后果的研究体系；另一方面它深化和扩展了股权资本成本的影响因素研究,有利于丰富股票的估值理论。在现实意义上,它使上市公司认识到加强内部控制建设有助于降低股权资本成本,促使投资者从内部控制质量的角度分析股权资本成本的影响因素,更准确的估计投资成本和股票价格,保护投资者的利益,维护资本市场的健康发展。
本文是就内部控制质量对股权资本成本的影响及其具体作用路径的理论分析和实证检验,得出的主要研究结论如下：
1.内部控制质量通过影响投资者的信息风险和经营风险作用于股权资本成本。一方面内部控制作为对企业信息生产过程控制的一项制度性安排,有助于增强企业对外发布的财务报告和相关信息的可靠性,随着企业内部控制质量的提高,投资者对企业当前经营状况的判断和未来盈利情况的预测就更为准确,因此投资者对信息风险要求的补偿就相应的减少,造成股权资本成本下降；另一方面,内部控制是企业组织加强风险管理的重要手段,企业是由一系列的科层组成,除了存在传统的投资者与管理层之间的第一种代理关系以及控制股东与中小股东的第二种代理关系外,还存在着各级管理层之间、管理层与员工之间等一系列的委托代理关系,由于各科层的利益目标函数的不一致性,各科层会发生为了自己的私人利益的机会主义行为,企业利益就会受到侵蚀。内部控制通过一系列的制度设计和控制活动加强各科层间的相互监督和制衡关系,将企业组织各科层的目标和行为统一到企业整体利益的目标下,企业利益受侵蚀的可能性和程度降低,实现未来既定经营目标的可能性增大,投资者要求的风险补偿就降低,股权资本成本下降。
2.在投资者持有投资组合的情况下,通过将内部控制内嵌于经典的CAPM模型,我们发现内部控制质量还会通过影响企业的系统性风险而作用于股权资本成本。具体而言,首先内部控制质量影响了投资者对公司现金流与市场现金流的协方差的估计,内部控制质量越高,投资者对现金流与市场现金流的协方差的估计误差就越小,股权资本成本就降低；其次,内部控制质量影响了企业未来现金流的期望和企业未来现金流与市场现金流协方差的比率,内部控制质量越高,这个比率就越高,股权资本成本就越低。
3.实证结果显示内部控制可以通过信息风险、经营风险、系统性风险间接的作用于股权资本成本,忽略这些间接作用路径可能会低估内部控制质量对股权资本成本的影响。本文的实证结果还显示信息风险这一作用路径的股权资本成本效应更大,这说明当前中国上市公司的内部控制主要是财务报告的内部控制,内部控制的非财务报告目标对股权资本成本的影响相对较小。
本文共分为七章,每章的主要内容如下：
第一章是导论。介绍本文的选题背景、研究意义、研究思路、研究方法和主要内容,并指出本文的学术贡献和创新点。
第二章是概念界定和文献回顾。首先对本文的两个核心概念——内部控制质量和股权资本成本进行界定,然后对该领域内有关的国内外研究文献进行了回顾和评述,指出目前研究中存在的问题。
第三章是对内部控制质量对股权资本成本的作用机理和具体作用路径进行理论分析。首先介绍了本章所依据的理论基础,这包括有效市场理论、信息不对称理论和委托代理理论；然后具体分析了内部控制如何通过信息风险、经营风险、系统性风险影响股权资本成本。
第四章是介绍本文所采用的内部控制质量的衡量方法。在对目前对内部控制质量的衡量方法回顾的基础上,本文决定构建内部控制指数对企业的内部控制质量进行全面、系统的衡量,然后具体介绍了内部控制指数的构建原则、构建方法、指标的选取和去量纲方法、权重的计算方法,最后利用中国上市公司的相关数据对本文所构建的内部控制指数进行了可靠性检验。
第五章是股权资本成本的估算方法研究。这一章首先对目前股权资本成本的主要估算方法进行了总结和评述,将股权资本成本的估算方法总结为两大类：基于风险溢价的直接估计法和基于未来收益折现的间接估计法,前者主要是指CAPM模型、APT模型和Fama-French三因素模型,后者包括股利折现模型、剩余收益模型和异常收益增长模型三类。然后利用中国上市公司的相关数据对各种具体的估算模型的可靠性进行了实证分析,实证结果表明OJ模型、MPEG模型、PEG模型是可靠性相对较高的股权资本成本估算方法,因此本文的第六章选择这三种模型来估计股权资本成本。
第六章是在第三章理论分析的指导下就内部控制质量对股权资本成本的影响及其具体作用路径进行实证检验,并比较了各个路径的股权资本成本效应的相对大小。
第七章是总结全文的研究结论,提出相应的政策建议,指出本文研究的局限性,提出未来需进一步研究的问题。
The capital market is the basic direct financial channel of firms and the chain that combines firms with investors. A lot of firms gain the fund supporting for operation and development from the capital market. Investors also obtain investment earnings and maximize their wealth from the capital market. Cost of equity capital plays a key role in organizing the resource allocation and guiding the high efficient flow of fund on the capital market. It is the direct reflection of the capital market's finance and investment efficiency. But because of low quality internal control and low level of risk management, some firms can not realize the scheduled operation objective and strategic development goal, and are even stuck in bankrupt. Investors also suffer enormous losses due to these firms'false financial information and operation failure. This significantly beats the investors'confidence of the capital market, and also seriously damages the finance and investment efficiency of the capital market. Therefore, the deep analysis of the Mechanism of the effect of internal control on cost of equity capital and the exploration of internal control's role in the process of the capital asset pricing has an important theoretical and practical significance.
From the theoretical significance, on the one hand it helps the deep understanding of the action mechanism of the effect of internal control on cost of equity capital and enriches the research literatures on the economic consequences of internal control. On the other hand, it expands the influencing factors of cost of equity capital and enriches the stock pricing theory. From the practical significance, on the one hand the study on this problem helps to enhance the listed companies'awareness of internal control construction for reducing cost of their cost of equity capital. On the other hand it helps investors to analyze the influencing factors of cost of equity capital from internal control perspective and more accurately estimate their investment cost and the prices of stocks. So investors' interest protection is enhanced, and the capital market develops healthily.
This paper is the theoretic analysis and the empirical test of the effect of internal control quality on cost of equity capital and the specific action paths. The main conclusions are as follows:
1. Internal control quality acts on cost of equity capital by affecting investors' information risk and a firm's operating risk. On the one hand, as an institutional arrangement of the control of the information production process, internal control helps to enhance the reliability of the financial reports and the other relative information released to the outside. With the improvement of internal control quality investors can make the more accurate judgment of the firm's current operation and the precise prediction of its future earnings. Therefore, investors ask for the lower information risk compensation, and cost of equity capital declines. On the other hand, internal control is an important tool in which a business organization strengthens risk management. A firm is organized by a series of hierarchies. Besides the first agency relationship between management and investors and the second agency relationship between the control shareholders and small ones, a series of agency relationship exist in different level managers and between management and staff. Because each hierarchy has its own different interest objective function, each hierarchy will have an opportunistic behavior for its own interest which will corrode the firm's benefit.
Internal control enhances the supervision and counterbalance of different hierarchies by a series of system design and control activities. The aims and behaviors of different hierarchies are unified into the aim for the whole firm's interest The probability and degree of corroding the firm's interest declines. The firm will have a higher probability of realizing the future operation target. Therefore the risk compensation the investors require decreases and cost of equity capital declines.
2. In the environment that investors hold portfolios, this paper embeds internal control in the classic CAPM model and finds internal control also affects cost of equity capital by affecting systematic risk. Specifically, internal control quality affects the investors'estimation of the covariance of a firm's flow with the market flow. The higher internal control quality is, the smaller estimation error is. As a result cost of equity capital declines. Secondly, internal control quality affects the ratio of the expectation of a firm's future flow and the covariance of the firm's future flow with the market flow. The higher internal control quality is, the smaller this ratio is. As a result cost of equity capital declines.
3. The empirical test result shows internal control may significantly affect cost of equity capital by information risk, operating risk and systematic risk. Ignoring these indirect action paths may lead to underestimate the effect of internal control on cost of equity capital. The empirical result also shows internal control more largely affects cost of equity capital through information risk. It illustrates the current internal control of Chinese listed companies is mainly related with financial reports. The non-financial-reports objectives have less effect on cost of equity capital.
This paper is divided into seven chapters. The main content of each chapter is as follows:
Chapter1is introduction. It introduces the topic selection backgrounds research significance, research thread, research method, the main content, the academic contribution and innovation.
Chapter2is the definition of the concepts and the review of the literatures. It firstly defines the two core concepts in this paper-internal control quality and c^st of equity capital. And then, it makes a review and comment of the relative literatures in this field, and postulates the problems in the current research.
Chapter3is the theoretical analysis of the action mechanism of internal control on cost of equity capital and the specific action paths. Firstly this chapter introduces the theoretical basis of the analysis which includes efficient market theory,information asymmetry theory and principal-agent theory. Then this chapter specifically analyzes how internal control affects cost of equity capital through information risk, operating risk and systematic risk
Chapter4introduces the measurement method of internal control quality this paper chooses. After reviewing the current measure methods of internal control quality, this paper decides to construct a internal control index to measure firms'internal control quality comprehensively and systematically. Then this chapter specifically introduces the internal control index's construction rules, the construction method, the selection and dimensionless method of the indicators and the calculation method of the weight. The last part of this chapter tests the reliability of the internal control index using the data of Chinese listed companies.
Chapter5is the research on the estimation methods of cost of equity capital. Firstly this chapter has a review and comment of the main estimation methods of cost of equity capital. These estimation methods are categorized into two categories:the direct estimation method based on the risk premium and the indirect estimation method based on the future earning discount. The former includes CAPM model, APT model and Fama-French three factor model. The latter includes there classes:the dividend discount models, the residual income models and the abnormal earnings growth models. The last part of this paper tests the reliability of the various specific estimation models using the data of Chinese listed companies. The empirical result shows OJ model, MPEG model and PEG model have the higher reliability. Therefore chapter6will choose these three models to estimate cost of equity capital.
Chapter6is the empirical test of the effect of internal control quality on cost of equity capital and the specific action paths under the theoretical analysis of chapter3. The relative effect of each action path on cost of equity capital is compared in the empirical test.
Chapter7concludes the research, puts forwards the policy proposals and reveals the limitations of the research as well as the potential direction in the future studies.
在理论意义上,它一方面有助于加深内部控制对股权资本成本作用机制的认识,从而丰富内部控制质量经济后果的研究体系；另一方面它深化和扩展了股权资本成本的影响因素研究,有利于丰富股票的估值理论。在现实意义上,它使上市公司认识到加强内部控制建设有助于降低股权资本成本,促使投资者从内部控制质量的角度分析股权资本成本的影响因素,更准确的估计投资成本和股票价格,保护投资者的利益,维护资本市场的健康发展。
本文是就内部控制质量对股权资本成本的影响及其具体作用路径的理论分析和实证检验,得出的主要研究结论如下：
1.内部控制质量通过影响投资者的信息风险和经营风险作用于股权资本成本。一方面内部控制作为对企业信息生产过程控制的一项制度性安排,有助于增强企业对外发布的财务报告和相关信息的可靠性,随着企业内部控制质量的提高,投资者对企业当前经营状况的判断和未来盈利情况的预测就更为准确,因此投资者对信息风险要求的补偿就相应的减少,造成股权资本成本下降；另一方面,内部控制是企业组织加强风险管理的重要手段,企业是由一系列的科层组成,除了存在传统的投资者与管理层之间的第一种代理关系以及控制股东与中小股东的第二种代理关系外,还存在着各级管理层之间、管理层与员工之间等一系列的委托代理关系,由于各科层的利益目标函数的不一致性,各科层会发生为了自己的私人利益的机会主义行为,企业利益就会受到侵蚀。内部控制通过一系列的制度设计和控制活动加强各科层间的相互监督和制衡关系,将企业组织各科层的目标和行为统一到企业整体利益的目标下,企业利益受侵蚀的可能性和程度降低,实现未来既定经营目标的可能性增大,投资者要求的风险补偿就降低,股权资本成本下降。
2.在投资者持有投资组合的情况下,通过将内部控制内嵌于经典的CAPM模型,我们发现内部控制质量还会通过影响企业的系统性风险而作用于股权资本成本。具体而言,首先内部控制质量影响了投资者对公司现金流与市场现金流的协方差的估计,内部控制质量越高,投资者对现金流与市场现金流的协方差的估计误差就越小,股权资本成本就降低；其次,内部控制质量影响了企业未来现金流的期望和企业未来现金流与市场现金流协方差的比率,内部控制质量越高,这个比率就越高,股权资本成本就越低。
3.实证结果显示内部控制可以通过信息风险、经营风险、系统性风险间接的作用于股权资本成本,忽略这些间接作用路径可能会低估内部控制质量对股权资本成本的影响。本文的实证结果还显示信息风险这一作用路径的股权资本成本效应更大,这说明当前中国上市公司的内部控制主要是财务报告的内部控制,内部控制的非财务报告目标对股权资本成本的影响相对较小。
本文共分为七章,每章的主要内容如下：
第一章是导论。介绍本文的选题背景、研究意义、研究思路、研究方法和主要内容,并指出本文的学术贡献和创新点。
第二章是概念界定和文献回顾。首先对本文的两个核心概念——内部控制质量和股权资本成本进行界定,然后对该领域内有关的国内外研究文献进行了回顾和评述,指出目前研究中存在的问题。
第三章是对内部控制质量对股权资本成本的作用机理和具体作用路径进行理论分析。首先介绍了本章所依据的理论基础,这包括有效市场理论、信息不对称理论和委托代理理论；然后具体分析了内部控制如何通过信息风险、经营风险、系统性风险影响股权资本成本。
第四章是介绍本文所采用的内部控制质量的衡量方法。在对目前对内部控制质量的衡量方法回顾的基础上,本文决定构建内部控制指数对企业的内部控制质量进行全面、系统的衡量,然后具体介绍了内部控制指数的构建原则、构建方法、指标的选取和去量纲方法、权重的计算方法,最后利用中国上市公司的相关数据对本文所构建的内部控制指数进行了可靠性检验。
第五章是股权资本成本的估算方法研究。这一章首先对目前股权资本成本的主要估算方法进行了总结和评述,将股权资本成本的估算方法总结为两大类：基于风险溢价的直接估计法和基于未来收益折现的间接估计法,前者主要是指CAPM模型、APT模型和Fama-French三因素模型,后者包括股利折现模型、剩余收益模型和异常收益增长模型三类。然后利用中国上市公司的相关数据对各种具体的估算模型的可靠性进行了实证分析,实证结果表明OJ模型、MPEG模型、PEG模型是可靠性相对较高的股权资本成本估算方法,因此本文的第六章选择这三种模型来估计股权资本成本。
第六章是在第三章理论分析的指导下就内部控制质量对股权资本成本的影响及其具体作用路径进行实证检验,并比较了各个路径的股权资本成本效应的相对大小。
第七章是总结全文的研究结论,提出相应的政策建议,指出本文研究的局限性,提出未来需进一步研究的问题。
The capital market is the basic direct financial channel of firms and the chain that combines firms with investors. A lot of firms gain the fund supporting for operation and development from the capital market. Investors also obtain investment earnings and maximize their wealth from the capital market. Cost of equity capital plays a key role in organizing the resource allocation and guiding the high efficient flow of fund on the capital market. It is the direct reflection of the capital market's finance and investment efficiency. But because of low quality internal control and low level of risk management, some firms can not realize the scheduled operation objective and strategic development goal, and are even stuck in bankrupt. Investors also suffer enormous losses due to these firms'false financial information and operation failure. This significantly beats the investors'confidence of the capital market, and also seriously damages the finance and investment efficiency of the capital market. Therefore, the deep analysis of the Mechanism of the effect of internal control on cost of equity capital and the exploration of internal control's role in the process of the capital asset pricing has an important theoretical and practical significance.
From the theoretical significance, on the one hand it helps the deep understanding of the action mechanism of the effect of internal control on cost of equity capital and enriches the research literatures on the economic consequences of internal control. On the other hand, it expands the influencing factors of cost of equity capital and enriches the stock pricing theory. From the practical significance, on the one hand the study on this problem helps to enhance the listed companies'awareness of internal control construction for reducing cost of their cost of equity capital. On the other hand it helps investors to analyze the influencing factors of cost of equity capital from internal control perspective and more accurately estimate their investment cost and the prices of stocks. So investors' interest protection is enhanced, and the capital market develops healthily.
This paper is the theoretic analysis and the empirical test of the effect of internal control quality on cost of equity capital and the specific action paths. The main conclusions are as follows:
1. Internal control quality acts on cost of equity capital by affecting investors' information risk and a firm's operating risk. On the one hand, as an institutional arrangement of the control of the information production process, internal control helps to enhance the reliability of the financial reports and the other relative information released to the outside. With the improvement of internal control quality investors can make the more accurate judgment of the firm's current operation and the precise prediction of its future earnings. Therefore, investors ask for the lower information risk compensation, and cost of equity capital declines. On the other hand, internal control is an important tool in which a business organization strengthens risk management. A firm is organized by a series of hierarchies. Besides the first agency relationship between management and investors and the second agency relationship between the control shareholders and small ones, a series of agency relationship exist in different level managers and between management and staff. Because each hierarchy has its own different interest objective function, each hierarchy will have an opportunistic behavior for its own interest which will corrode the firm's benefit.
Internal control enhances the supervision and counterbalance of different hierarchies by a series of system design and control activities. The aims and behaviors of different hierarchies are unified into the aim for the whole firm's interest The probability and degree of corroding the firm's interest declines. The firm will have a higher probability of realizing the future operation target. Therefore the risk compensation the investors require decreases and cost of equity capital declines.
2. In the environment that investors hold portfolios, this paper embeds internal control in the classic CAPM model and finds internal control also affects cost of equity capital by affecting systematic risk. Specifically, internal control quality affects the investors'estimation of the covariance of a firm's flow with the market flow. The higher internal control quality is, the smaller estimation error is. As a result cost of equity capital declines. Secondly, internal control quality affects the ratio of the expectation of a firm's future flow and the covariance of the firm's future flow with the market flow. The higher internal control quality is, the smaller this ratio is. As a result cost of equity capital declines.
3. The empirical test result shows internal control may significantly affect cost of equity capital by information risk, operating risk and systematic risk. Ignoring these indirect action paths may lead to underestimate the effect of internal control on cost of equity capital. The empirical result also shows internal control more largely affects cost of equity capital through information risk. It illustrates the current internal control of Chinese listed companies is mainly related with financial reports. The non-financial-reports objectives have less effect on cost of equity capital.
This paper is divided into seven chapters. The main content of each chapter is as follows:
Chapter1is introduction. It introduces the topic selection backgrounds research significance, research thread, research method, the main content, the academic contribution and innovation.
Chapter2is the definition of the concepts and the review of the literatures. It firstly defines the two core concepts in this paper-internal control quality and c^st of equity capital. And then, it makes a review and comment of the relative literatures in this field, and postulates the problems in the current research.
Chapter3is the theoretical analysis of the action mechanism of internal control on cost of equity capital and the specific action paths. Firstly this chapter introduces the theoretical basis of the analysis which includes efficient market theory,information asymmetry theory and principal-agent theory. Then this chapter specifically analyzes how internal control affects cost of equity capital through information risk, operating risk and systematic risk
Chapter4introduces the measurement method of internal control quality this paper chooses. After reviewing the current measure methods of internal control quality, this paper decides to construct a internal control index to measure firms'internal control quality comprehensively and systematically. Then this chapter specifically introduces the internal control index's construction rules, the construction method, the selection and dimensionless method of the indicators and the calculation method of the weight. The last part of this chapter tests the reliability of the internal control index using the data of Chinese listed companies.
Chapter5is the research on the estimation methods of cost of equity capital. Firstly this chapter has a review and comment of the main estimation methods of cost of equity capital. These estimation methods are categorized into two categories:the direct estimation method based on the risk premium and the indirect estimation method based on the future earning discount. The former includes CAPM model, APT model and Fama-French three factor model. The latter includes there classes:the dividend discount models, the residual income models and the abnormal earnings growth models. The last part of this paper tests the reliability of the various specific estimation models using the data of Chinese listed companies. The empirical result shows OJ model, MPEG model and PEG model have the higher reliability. Therefore chapter6will choose these three models to estimate cost of equity capital.
Chapter6is the empirical test of the effect of internal control quality on cost of equity capital and the specific action paths under the theoretical analysis of chapter3. The relative effect of each action path on cost of equity capital is compared in the empirical test.
Chapter7concludes the research, puts forwards the policy proposals and reveals the limitations of the research as well as the potential direction in the future studies.
引文
① 见《新帕尔格雷夫货币金融大辞典》第一卷第470页,经济科学出版社2000年7月翻译出版。该辞典是由英国经济学家伊特韦尔约请美国经济学家米尔盖特和纽曼为合作者,于1983年开始编纂,1987年9月正式出版,共4卷。撰写者来自于世界上34个国家的900多名相关领域的知名学者,其中包括当时在世的13位诺贝尔经济学奖获得者中的12个,是一部公认的权威经济学著作。
① 19世纪法国经济学家瓦尔拉斯(Leon Walras)提出了一般均衡学说,但他的数学证明有误,阿罗与德布鲁在其著名的论文《Existence of Equilibrium for a Competitive Economy》 (1954)中给出了一般均衡存在性的完整正确的数学证明。
① 我国《企业内部控制评价指引》第17条规定：“重大缺陷、重要缺陷和一般缺陷的具体认定标准,由企业根据上述要求自行确定。”
① Ohlson和Juettner-Nauroth (2005)已于2000年发表关于该模型的工作论文,该工作论文构成了下文Gode和Mohanram (2003)和Easton (2004)研究成果的基础。
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① 19世纪法国经济学家瓦尔拉斯(Leon Walras)提出了一般均衡学说,但他的数学证明有误,阿罗与德布鲁在其著名的论文《Existence of Equilibrium for a Competitive Economy》 (1954)中给出了一般均衡存在性的完整正确的数学证明。
① 我国《企业内部控制评价指引》第17条规定：“重大缺陷、重要缺陷和一般缺陷的具体认定标准,由企业根据上述要求自行确定。”
① Ohlson和Juettner-Nauroth (2005)已于2000年发表关于该模型的工作论文,该工作论文构成了下文Gode和Mohanram (2003)和Easton (2004)研究成果的基础。
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