放松卖空约束、现金持有水平及其市场价值——基于公司治理角度研究
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摘要
基于放松卖空约束的政策实施,运用双重差分法考量放松卖空约束对现金持有行为影响及其产生的经济后果。结果显示:放松卖空约束增加了公司现金持有量,同时也增加了公司现金持有的边际市场价值;按照公司内部代理成本分组来看,内部代理成本越大的公司,放松卖空约束的治理效果越明显;进一步检验中,通过一系列稳健性检验发现主要结论依然成立;机制性检验表明放松卖空约束通过抑制公司过度投资行为增加了现金持有及其市场价值。结果表明:放松卖空约束作为一项重要的金融创新工具,可以通过外部治理监督作用缓解公司内部代理问题,从而影响上市公司现金持有行为。
In 2010,China's capital market began to relax its short selling constraints,and investors could arbitrage through selling borrowed securities.The authors take the policy of relaxing short selling constraints as a quasi-natural experiment and uses a dual differential method to systematically examine the impact of relaxation of short selling constraints on cash holding and its economic consequences.The results show that:(1)The relaxation of short selling constraints increases the company's cash holdings and also increases the marginal market value of the company's cash holdings;(2)According to the internal agency costs grouping,the greater internal agency costs,the more obvious corporate governance effect by relaxing short selling;(3)Further tests:through a series of robustness tests,we find the main conclusions are still valid;the mechanism test shows that relaxation of short-sale constraints increases cash holdings and their market value by suppressing the company's excessive investor behavior.The above results show that the relaxation of short selling constraints,as an important financial innovation tool,alleviates internal agency problems of the company through external governance supervision,thus affecting cash holding behavior of listed companies.
In 2010,China's capital market began to relax its short selling constraints,and investors could arbitrage through selling borrowed securities.The authors take the policy of relaxing short selling constraints as a quasi-natural experiment and uses a dual differential method to systematically examine the impact of relaxation of short selling constraints on cash holding and its economic consequences.The results show that:(1)The relaxation of short selling constraints increases the company's cash holdings and also increases the marginal market value of the company's cash holdings;(2)According to the internal agency costs grouping,the greater internal agency costs,the more obvious corporate governance effect by relaxing short selling;(3)Further tests:through a series of robustness tests,we find the main conclusions are still valid;the mechanism test shows that relaxation of short-sale constraints increases cash holdings and their market value by suppressing the company's excessive investor behavior.The above results show that the relaxation of short selling constraints,as an important financial innovation tool,alleviates internal agency problems of the company through external governance supervision,thus affecting cash holding behavior of listed companies.
引文
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[28]彭桃英,周伟.中国上市公司高额现金持有动因研究——代理理论抑或权衡理论[J].会计研究,2006(5):42-49+95.
[29]Bai C E,Liu Q,Lu J,et al.Corporate governance and market valuation in China[J].Journal of Comparative Economics,2004,32(4):599-616.
[30]王鹏.投资者保护、代理成本与公司绩效[J].经济研究,2008(2):68-82.
[31]杨兴全,张照南.制度背景、股权性质与公司持有现金价值[J].经济研究,2008(12):111-123.
[32]Opler T,Pinkowitz L,Stulz R,et al.The determinants and implications of corporate cash holdings[J].Social Science Electronic Publishing,1999,52(1):3-46.
[33]罗琦,秦国楼.投资者保护与公司现金持有[J].金融研究,2009(10):162-178.
[34]陈德球,李思飞,王丛.政府质量、终极产权与公司现金持有[J].管理世界,2011(11):127-141.
[35]杨兴全,齐云飞,吴昊旻.行业成长性影响公司现金持有吗?[J].管理世界,2016(01):153-169.
[36]John T A.Accounting measures of corporate liquidity,leverage,and costs of financial distress[J].Financial Management,1993,22(3):91-100.
[37]Ozkan A,Ozkan N.Corporate cash holdings:an empirical investigation of UK companies[J].Journal of Banking&Finance,2004,28(9):2103-2134.
[38]Ang J S,Cole R A,Lin J W.Agency costs and ownership structure[J].Journal of Finance,2000,55(1):81-106.
[39]Fama E F,French K R.Taxes,financing decisions,and firm value[J].The Journal of Finance,1998,53(3):819-843.
[40]Pinkowitz L,Williamson R.What is a dollar worth?The market value of cash holdings[J].Social Science Electronic Publishing,2003.
[41]Pinkowitz L,Stulz R,Williamson R.Does the contribution of corporate cash holdings and dividends to firm value depend on governance?A cross‐country analysis[J].The Journal of Finance,2006,61(6):2725-2751.
[42]褚剑,方军雄.中国式融资融券制度安排与股价崩盘风险的恶化[J].经济研究,2016(5):143-158.
[43]Richardson S.Over-investment of free cash flow[J].Review of accounting studies,2006,11(2-3):159-189.
[44]王彦超.融资约束、现金持有与过度投资[J].金融研究,2009(7):121-133.
[2]韩立岩,刘博研.公司治理、不确定性与现金价值[J].经济学(季刊),2011,10(2):523-550.
[3] Karpoff J M,Lou X.Short sellers and financial misconduct[J].Journal of Finance,2010,65(5):1879-1913.
[4] Diamond D W,Verrecchia R E.Constraints on short-selling and asset price adjustment to private information[J].Journal of Financial Economics,2006,18(2):277-311.
[5] Bris A,Goetzmann W N,Zhu N.Efficiency and the bear:short sales and markets around the world[J].Journal of Finance,2007,62(3):1029-1079.
[6] Chang E C,Cheng J W,Yinghui Y U.Short-sales constraints and price discovery:evidence from the Hong Kong market[J].Journal of Finance,2007,62(5):2097-2121.
[7] Saffi P A C,Sigurdsson K.Price efficiency and short selling[J].Social Science Electronic Publishing,2011,24(3):821-852.
[8]李科,徐龙炳,朱伟骅.卖空限制与股票错误定价——融资融券制度的证据[J].经济研究,2014(10):165-178.
[9]李志生,陈晨,林秉旋.卖空机制提高了中国股票市场的定价效率吗?——基于自然实验的证据[J].经济研究,2015(4):165-177.
[10]Massa M,Zhang B,Zhang H.The invisible hand of short selling:does short selling discipline earnings management?[J].Social Science Electronic Publishing,2012(28):1701-1736.
[11]Fang V W,Huang A H,Karpoff J M.Short selling and earnings management:a controlled experiment[J].Journal of Finance,2016,71(3):1251-1293.
[12]Grullon G,Michenaud S,Weston J P.The real effects of short-selling constraints[J].Review of Financial Studies,2011,28(6):1737-1767.
[13]陈晖丽,刘峰.融资融券的治理效应研究——基于公司盈余管理的视角[J].会计研究,2014(9):45-52.
[14]靳庆鲁,侯青川,李刚,等.放松卖空管制、公司投资决策与期权价值[J].经济研究,2015(10):76-88.
[15]侯青川,靳庆鲁,刘阳.放松卖空管制与公司现金价值——基于中国资本市场的准自然实验[J].金融研究,2016(11):112-127.
[16]侯青川,靳庆鲁,苏玲,等.放松卖空管制与大股东“掏空”[J].经济学:季刊,2017(3):1143-1172.
[17]权小锋,尹洪英.中国式卖空机制与公司创新——基于融资融券分步扩容的自然实验[J].管理世界,2017(1):128-144.
[18]Keynes J M.The general theory of employment[J].The quarterly journal of economics,1937,51(2):209-223.
[19]Dittmar A,Mahrt-Smith J.Corporate governance and the value of cash holdings[J].Journal of financial economics,2007,83(3):599-634.
[20]Kalcheva I,Lins K V.International evidence on cash holdings and expected managerial agency problems[J].The Review of Financial Studies,2007,20(4):1087-1112.
[21]Pinkowitz L,Williamson R.What is the market value of a dollar of corporate cash?[J].Journal of Applied Corporate Finance,2007,19(3):74-81.
[22]Frésard L,Salva C.The value of excess cash and corporate governance:evidence from US cross-listings[J].Journal of Financial Economics,2010,98(2):359-384.
[23]Liu Y,Mauer D C.Corporate cash holdings and CEO compensation incentives[J].Journal of Financial Economics,2011,102(1):183-198.
[24]Harford J,Mansi S A,Maxwell W F.Corporate governance and firm cash holdings in the US[J].Social Science Electronic Publishing,2012,87(3):535-555.
[25]Jensen M C,Meckling W H.Theory of the firm:managerial behavior,agency costs and ownership structure[J].Journal of financial economics,1976,3(4):305-360.
[26]Dittmar A,Mahrt-Smith J,Servaes H.International corporate governance and corporate cash holdings[J].Journal of Financial&Quantitative Analysis,2003,38(1):111-133.
[27]辛宇,徐莉萍.公司治理机制与超额现金持有水平[J].管理世界,2006(5):136-141.
[28]彭桃英,周伟.中国上市公司高额现金持有动因研究——代理理论抑或权衡理论[J].会计研究,2006(5):42-49+95.
[29]Bai C E,Liu Q,Lu J,et al.Corporate governance and market valuation in China[J].Journal of Comparative Economics,2004,32(4):599-616.
[30]王鹏.投资者保护、代理成本与公司绩效[J].经济研究,2008(2):68-82.
[31]杨兴全,张照南.制度背景、股权性质与公司持有现金价值[J].经济研究,2008(12):111-123.
[32]Opler T,Pinkowitz L,Stulz R,et al.The determinants and implications of corporate cash holdings[J].Social Science Electronic Publishing,1999,52(1):3-46.
[33]罗琦,秦国楼.投资者保护与公司现金持有[J].金融研究,2009(10):162-178.
[34]陈德球,李思飞,王丛.政府质量、终极产权与公司现金持有[J].管理世界,2011(11):127-141.
[35]杨兴全,齐云飞,吴昊旻.行业成长性影响公司现金持有吗?[J].管理世界,2016(01):153-169.
[36]John T A.Accounting measures of corporate liquidity,leverage,and costs of financial distress[J].Financial Management,1993,22(3):91-100.
[37]Ozkan A,Ozkan N.Corporate cash holdings:an empirical investigation of UK companies[J].Journal of Banking&Finance,2004,28(9):2103-2134.
[38]Ang J S,Cole R A,Lin J W.Agency costs and ownership structure[J].Journal of Finance,2000,55(1):81-106.
[39]Fama E F,French K R.Taxes,financing decisions,and firm value[J].The Journal of Finance,1998,53(3):819-843.
[40]Pinkowitz L,Williamson R.What is a dollar worth?The market value of cash holdings[J].Social Science Electronic Publishing,2003.
[41]Pinkowitz L,Stulz R,Williamson R.Does the contribution of corporate cash holdings and dividends to firm value depend on governance?A cross‐country analysis[J].The Journal of Finance,2006,61(6):2725-2751.
[42]褚剑,方军雄.中国式融资融券制度安排与股价崩盘风险的恶化[J].经济研究,2016(5):143-158.
[43]Richardson S.Over-investment of free cash flow[J].Review of accounting studies,2006,11(2-3):159-189.
[44]王彦超.融资约束、现金持有与过度投资[J].金融研究,2009(7):121-133.