廉政建设能否提升公司价值?——来自股票市场的证据
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摘要
文章以"打老虎、拍苍蝇"为自然实验,运用事件研究法从金融市场和投资者的角度考察廉政建设对公司价值的影响。研究发现,在官员被查处的消息公布后,落马官员任职地区上市公司的股价有显著为正的市场反应,意味着投资者认可"打老虎、拍苍蝇"对提升公司价值的正面影响;并且"打老虎、拍苍蝇"对公司股价的积极影响在官员级别较高、政府对企业干预较多地区、国有产权和政治联系较强的公司中更加显著,进一步证明投资者认为"打老虎、拍苍蝇"行动能够有效改善营商环境、提升社会清廉度。文章不仅为廉政建设的积极影响和必要性提供了证据,也为如何进一步提升廉政建设的效果提供了借鉴。
How to create a fair and competitive business environment for enterprises is a major challenge faced by China's deep-seated reform and further development. Since the Eighteenth National Party Congress,the country's top leadership group has taken the rectification of officialdom and market ethos as an important means of comprehensively deepening reforms. Through a series of "cracking down on both tigers and flies" anti-corruption actions,several degenerate officials have been investigated and the campaign wins wide public praise. However,the impact of the "cracking down on both tigers and flies" campaign on microbusiness operations and macro-economic development of enterprises has not yet reached a consensus. In view of this,by taking China's A-share listed companies as a sample,we use the event study method to examine the impact of the anti-corruption campaign on the company's value and attempt to provide evidence for the impact of clean government construction from the perspective of financial markets and investors. We find that during the investigation of degenerate officials,the stock price of listed companies in their jurisdictions has a positive market reaction,indicating that investors believe that the construction of a clean government can effectively curb corruption,purify the regional business environment,and thus reduce the company's operating cost and enhance the company's value. Furthermore,we also find that when degenerate officials are investigated:(1) the share price of enterprises which located in the area with lower institutionalized government administration has more positive market reaction;(2) state-owned enterprises have significantly higher cumulative excess return rate than non-state-owned enterprises;(3) the higher the level of officials is,the higher the cumulative excess return rate of the company's stock price in its jurisdiction is,that is,the "tiger" has a more positive effect on the business environment rectification;(4) when officials take office in their hometown,the market reaction of the company's stock price in its jurisdiction is relatively better:this further indicates that investors believe that the investigation of corrupt officials can effectively curb corruption and purify the regional business environment;(5) in the long run,investors reverse their view of "cracking down on both tigers and flies" and believe that high-pressure anticorruption will also have a negative effect. Overall,the results of this paper indicate that investors believe that the "cracking down on both tigers and flies" campaign can create a fair and competitive market environment,which can improve the company's operation efficiency,thereby enhancing the company's value,but it may also bring disadvantages in the long run,requiring institutional development while carrying out anti-corruption. In terms of theoretical significance,this paper enriches the literature on corruption and economic growth,proving that when the formal institution is valid,corruption serves the role of "hand of plunder" and hinders economic growth;while in the case that the formal institution is invalid,corruption acts as the"hand of support" and can play the role of lubricant. In terms of practical significance,we not only provide evidence for the necessity of anti-corruption,but also provide a reference for how to further improve the effect of building a clean government. What's more,we also provide evidence for the necessity of building state governance capacity and deepening the reform of the administrative system.
How to create a fair and competitive business environment for enterprises is a major challenge faced by China's deep-seated reform and further development. Since the Eighteenth National Party Congress,the country's top leadership group has taken the rectification of officialdom and market ethos as an important means of comprehensively deepening reforms. Through a series of "cracking down on both tigers and flies" anti-corruption actions,several degenerate officials have been investigated and the campaign wins wide public praise. However,the impact of the "cracking down on both tigers and flies" campaign on microbusiness operations and macro-economic development of enterprises has not yet reached a consensus. In view of this,by taking China's A-share listed companies as a sample,we use the event study method to examine the impact of the anti-corruption campaign on the company's value and attempt to provide evidence for the impact of clean government construction from the perspective of financial markets and investors. We find that during the investigation of degenerate officials,the stock price of listed companies in their jurisdictions has a positive market reaction,indicating that investors believe that the construction of a clean government can effectively curb corruption,purify the regional business environment,and thus reduce the company's operating cost and enhance the company's value. Furthermore,we also find that when degenerate officials are investigated:(1) the share price of enterprises which located in the area with lower institutionalized government administration has more positive market reaction;(2) state-owned enterprises have significantly higher cumulative excess return rate than non-state-owned enterprises;(3) the higher the level of officials is,the higher the cumulative excess return rate of the company's stock price in its jurisdiction is,that is,the "tiger" has a more positive effect on the business environment rectification;(4) when officials take office in their hometown,the market reaction of the company's stock price in its jurisdiction is relatively better:this further indicates that investors believe that the investigation of corrupt officials can effectively curb corruption and purify the regional business environment;(5) in the long run,investors reverse their view of "cracking down on both tigers and flies" and believe that high-pressure anticorruption will also have a negative effect. Overall,the results of this paper indicate that investors believe that the "cracking down on both tigers and flies" campaign can create a fair and competitive market environment,which can improve the company's operation efficiency,thereby enhancing the company's value,but it may also bring disadvantages in the long run,requiring institutional development while carrying out anti-corruption. In terms of theoretical significance,this paper enriches the literature on corruption and economic growth,proving that when the formal institution is valid,corruption serves the role of "hand of plunder" and hinders economic growth;while in the case that the formal institution is invalid,corruption acts as the"hand of support" and can play the role of lubricant. In terms of practical significance,we not only provide evidence for the necessity of anti-corruption,but also provide a reference for how to further improve the effect of building a clean government. What's more,we also provide evidence for the necessity of building state governance capacity and deepening the reform of the administrative system.
引文
[1]樊纲,王小鲁,朱恒鹏.中国市场化指数:各地区市场化相对进程2006年报告[M].北京:经济科学出版社,2007.
[2]樊纲,王小鲁,朱恒鹏.中国市场化指数:各地区市场化相对进程2011年报告[M].北京:经济科学出版社,2011.
[3]贾凡胜,吴昱,廉柯赟.股利税差别化、现金分红与代理问题--基于财税[2012]85号文件的研究[J].南开管理评论,2016,(1).
[4]李常青,魏志华,吴世农.半强制分红政策的市场反应研究[J].经济研究,2010,(3).
[5]龙小宁,黄小勇.公平竞争与投资增长[J].经济研究,2016,(7).
[6]王茂赟,孔东民.反腐败与中国公司治理优化:一个准自然实验[J].金融研究,2016,(8).
[7]魏下海,董志强,金钊.腐败与企业生命力:寻租和抽租影响开工率的经验研究[J].世界经济,2015,(1).
[8]叶青,赵良玉,刘思辰.独立董事“政商旋转门”之考察:一项基于自然实验的研究[J].经济研究,2016,(6).
[9]张维迎.反腐败的两难选择[EB/OL].http://www.eeo.com.cn/2013/0304/240713.shtml,2013-03-04.
[10]Acemoglu D,Johnson S.Unbundling institutions[R].MIT Department of Economics Working Paper No.03-29,2003.
[11]Cai H B,Fang H M,Xu L C.Eat,drink,firms,government:An investigation of corruption from the entertainment and travel costs of Chinese firms[J].The Journal of Law and Economics,2011,54(1):55-78.
[12]Claessens S,Laeven L.Financial development,property rights,and growth[J].The Journal of Finance,2003,58(6):2401-2436.
[13]Ehrlich I,Lui F T.Bureaucratic corruption and endogenous economic growth[J].Journal of Political Economy,1999,107(S6):S270-S293.
[14]Glaeser E L,Saks R E.Corruption in America[J].Journal of Public Economics,2006,90(6-7):1053-1072.
[15]Hillman A L,Katz E.Hierarchical structure and the social costs of bribes and transfers[J].Journal of Public Economics,1987,34(2):129-142.
[16]Huntington S P.Political order in changing societies[M].New Haven,Connecticut,USA:Yale University Press,1968.
[17]Krueger A O.The political economy of the rent-seeking society[J].The American Economic Review,1974,64(3):291-303.
[18]Leys C.What is the problem about corruption?[J].The Journal of Modern African Studies,1965,3(2):215-230.
[19]Lien D H D.A note on competitive bribery games[J].Economics Letters,1986,22(4):337-341.
[20]Lin J Y,Cai F,Li Z.Competition,policy burdens,and state-owned enterprise reform[J].The AmericanEconomic Review,1998,88(2):422-427.
[21]Lui F T.An equilibrium queuing model of bribery[J].Journal of Political Economy,1985,93(4):760-781.
[22]Malkiel B G,Fama E F.Efficient capital markets:A review of theory and empirical work[J].The Journal of Finance,1970,25(2):383-417.
[23]Mauro P.Corruption and growth[J].The Quarterly Journal of Economics,1995,110(3):681-712.
[24]Mo P H.Corruption and economic growth[J].Journal of Comparative Economics,2001,29(1):66-79.
[25]Murphy K M,Shleifer A,Vishny R W.The allocation of talent:Implications for growth[J].The Quarterly Journal of Economics,1991,106(2):503-530.
[26]Murphy K M,Shleifer A,Vishny R W.Why is rent-seeking so costly to growth?[J].The American Economic Review,1993,83(2):409-414.
[27]Myrdal G.Asian drama:An inquiry into the poverty of nations[M].New York:Twentieth Century Fund,1968.
[28]Shleifer A,Vishny R W.Corruption[J].The Quarterly Journal of Economics,1993,108(3):599-617.
[29]Shleifer A,Vishny R W.The grabbing hand:Government pathologies and their cures[M].Cambridge,Mass:Harvard University Press,1998.
[30]Wang Y Y,You J.Corruption and firm growth:Evidence from China[J].China Economic Review,2012,23(2):415-433.
[31]Wei S J,Shleifer A.Local corruption and global capital flows[J].Brookings Papers on Economic Activity,2000,(2):303-354.
(1)与其他指标度量结果相似,例如参考龙小宁和黄小勇(2016)的研究以“政府对市场的干预指数”进行度量等。
(1)i代表公司,t代表事件发生年份,t-1代表事件发生年份的前一年。
(2)回归中,累计超额收益率取百分数,并在1%和99%水平进行缩尾处理。
(1)根据本文的设定,横坐标中0为事件日,即消息公布日;-1、-2等分别代表消息公布日的前一个、前两个以及前几个交易日;1、2等分别代表消息公布后的第一个、第二个以及第几个交易日。累计平均超额收益率分别代表从-5累加至当前交易日的平均超额收益率,例如事件日的累计平均超额收益率0.17%,为-5至0的平均超额收益率之和。
(2)-2日为-0.02%,-1日为-0.1%,均在1%的水平上显著,版面所限,文中未报告。
(1)窗口(-5,5)、(-3,3)等对称的窗口期内,市场对问题官员被查处的反应都显著为正,并且在(0,5)、(0,3)等消息公布后的窗口内累计超额收益率明显更高,版面所限,文中未报告。
(1)王茂赟和孔东民(2016)强调相对于国有企业,非国有企业的政治关联的价值更大,这方面的投资也会更多,因此反腐新政对非国有企业的冲击会更大。
(2)回归过程中,对窗口(-2,2)的累计超额收益率进行了1%和99%水平的缩尾处理,并取百分比进行回归。
[2]樊纲,王小鲁,朱恒鹏.中国市场化指数:各地区市场化相对进程2011年报告[M].北京:经济科学出版社,2011.
[3]贾凡胜,吴昱,廉柯赟.股利税差别化、现金分红与代理问题--基于财税[2012]85号文件的研究[J].南开管理评论,2016,(1).
[4]李常青,魏志华,吴世农.半强制分红政策的市场反应研究[J].经济研究,2010,(3).
[5]龙小宁,黄小勇.公平竞争与投资增长[J].经济研究,2016,(7).
[6]王茂赟,孔东民.反腐败与中国公司治理优化:一个准自然实验[J].金融研究,2016,(8).
[7]魏下海,董志强,金钊.腐败与企业生命力:寻租和抽租影响开工率的经验研究[J].世界经济,2015,(1).
[8]叶青,赵良玉,刘思辰.独立董事“政商旋转门”之考察:一项基于自然实验的研究[J].经济研究,2016,(6).
[9]张维迎.反腐败的两难选择[EB/OL].http://www.eeo.com.cn/2013/0304/240713.shtml,2013-03-04.
[10]Acemoglu D,Johnson S.Unbundling institutions[R].MIT Department of Economics Working Paper No.03-29,2003.
[11]Cai H B,Fang H M,Xu L C.Eat,drink,firms,government:An investigation of corruption from the entertainment and travel costs of Chinese firms[J].The Journal of Law and Economics,2011,54(1):55-78.
[12]Claessens S,Laeven L.Financial development,property rights,and growth[J].The Journal of Finance,2003,58(6):2401-2436.
[13]Ehrlich I,Lui F T.Bureaucratic corruption and endogenous economic growth[J].Journal of Political Economy,1999,107(S6):S270-S293.
[14]Glaeser E L,Saks R E.Corruption in America[J].Journal of Public Economics,2006,90(6-7):1053-1072.
[15]Hillman A L,Katz E.Hierarchical structure and the social costs of bribes and transfers[J].Journal of Public Economics,1987,34(2):129-142.
[16]Huntington S P.Political order in changing societies[M].New Haven,Connecticut,USA:Yale University Press,1968.
[17]Krueger A O.The political economy of the rent-seeking society[J].The American Economic Review,1974,64(3):291-303.
[18]Leys C.What is the problem about corruption?[J].The Journal of Modern African Studies,1965,3(2):215-230.
[19]Lien D H D.A note on competitive bribery games[J].Economics Letters,1986,22(4):337-341.
[20]Lin J Y,Cai F,Li Z.Competition,policy burdens,and state-owned enterprise reform[J].The AmericanEconomic Review,1998,88(2):422-427.
[21]Lui F T.An equilibrium queuing model of bribery[J].Journal of Political Economy,1985,93(4):760-781.
[22]Malkiel B G,Fama E F.Efficient capital markets:A review of theory and empirical work[J].The Journal of Finance,1970,25(2):383-417.
[23]Mauro P.Corruption and growth[J].The Quarterly Journal of Economics,1995,110(3):681-712.
[24]Mo P H.Corruption and economic growth[J].Journal of Comparative Economics,2001,29(1):66-79.
[25]Murphy K M,Shleifer A,Vishny R W.The allocation of talent:Implications for growth[J].The Quarterly Journal of Economics,1991,106(2):503-530.
[26]Murphy K M,Shleifer A,Vishny R W.Why is rent-seeking so costly to growth?[J].The American Economic Review,1993,83(2):409-414.
[27]Myrdal G.Asian drama:An inquiry into the poverty of nations[M].New York:Twentieth Century Fund,1968.
[28]Shleifer A,Vishny R W.Corruption[J].The Quarterly Journal of Economics,1993,108(3):599-617.
[29]Shleifer A,Vishny R W.The grabbing hand:Government pathologies and their cures[M].Cambridge,Mass:Harvard University Press,1998.
[30]Wang Y Y,You J.Corruption and firm growth:Evidence from China[J].China Economic Review,2012,23(2):415-433.
[31]Wei S J,Shleifer A.Local corruption and global capital flows[J].Brookings Papers on Economic Activity,2000,(2):303-354.
(1)与其他指标度量结果相似,例如参考龙小宁和黄小勇(2016)的研究以“政府对市场的干预指数”进行度量等。
(1)i代表公司,t代表事件发生年份,t-1代表事件发生年份的前一年。
(2)回归中,累计超额收益率取百分数,并在1%和99%水平进行缩尾处理。
(1)根据本文的设定,横坐标中0为事件日,即消息公布日;-1、-2等分别代表消息公布日的前一个、前两个以及前几个交易日;1、2等分别代表消息公布后的第一个、第二个以及第几个交易日。累计平均超额收益率分别代表从-5累加至当前交易日的平均超额收益率,例如事件日的累计平均超额收益率0.17%,为-5至0的平均超额收益率之和。
(2)-2日为-0.02%,-1日为-0.1%,均在1%的水平上显著,版面所限,文中未报告。
(1)窗口(-5,5)、(-3,3)等对称的窗口期内,市场对问题官员被查处的反应都显著为正,并且在(0,5)、(0,3)等消息公布后的窗口内累计超额收益率明显更高,版面所限,文中未报告。
(1)王茂赟和孔东民(2016)强调相对于国有企业,非国有企业的政治关联的价值更大,这方面的投资也会更多,因此反腐新政对非国有企业的冲击会更大。
(2)回归过程中,对窗口(-2,2)的累计超额收益率进行了1%和99%水平的缩尾处理,并取百分比进行回归。