基于学习行为的资本结构同伴效应实证研究
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摘要
资本结构理论通常假设企业最优资本结构是其自身特征的函数,与其他个体无关。但是,已有研究发现同伴企业决策对焦点企业决策产生重要影响,即存在同伴效应。考察中国资本市场上企业资本结构决策是否存在同伴效应以及为何存在同伴效应等重要问题,能够为同伴效应研究提供发展中国家资本市场的经验证据,并拓展国外同伴效应产生机制的相关研究。利用2001年至2014年中国A股沪深两市非金融上市企业面板数据,依据参照组内线性均值模型,以同伴企业股票收益波动作为工具变量解决映射问题,采用个体固定效应和差分变量控制资本结构行业特征对应的关联效应问题,实证检验是否存在同伴效应。为进一步研究同伴效应的学习机制,基于包含同伴信息的决策模型,推导焦点企业的经理人能力、外部环境不确定性、同伴企业信息质量和高管团队信息交流程度4个重要因素如何影响同伴效应的强弱,进行分样本实证数据检验,探索同伴效应是否由学习机制导致。研究结果表明,中国上市企业资本结构决策显著地受同一行业内其他同伴企业资本结构决策影响,存在正向同伴效应;分样本实证检验结果证实,当焦点企业经理人能力较弱、外部环境不确定性较强、同伴信息质量较高和焦点企业高管团队信息交流程度高时,同伴效应较强,这与基于学习行为的资本结构决策模型理论假设吻合,表明对同伴决策的学习行为能够解释中国上市企业资本结构决策的同伴效应。一方面,研究结果从理论上丰富了现有资本结构理论,为企业决策研究提供了一个重要但被忽略的研究角度,深化了同伴效应产生机制的理论和实证研究;另一方面,对监管层具有实践意义,政府机构应恰当运用同伴效应所特有的乘数效应,通过鼓励学习引导有效决策的扩散。
Modern capital structure theory centers on the assumption that optimal capital structure of a firm depends only on its own individualistic characteristics and that others' actions are totally irrelevant. On the contrary,current studies outside China point out that peer firms' decisions exert significant influence on focal firms' decisions. In other words,peer effects do exist. Investigating whether peer effects of capital structure decision exist in the Chinese capital market and which mechanism leads to peer effects not only provides us with empirical evidence from a developing country,but also extends current mechanism study of peer effects.Using peers' stock return shock as a valid instrumental variable,this paper exploits Linear-in-means regression model on panel data of non-financial Chinese listed firms on Shanghai and Shenzhen A-share stock market from 2001 to 2014. In order to exclude correlated effects,i. e.,co-movement of capital structure decision within industries,differencing variables,along with firm-level fixed effects are applied. In this way,whether peer effects exist is empirically examined. In order to further dig into the learning mechanism,our research introduces the capital structure decision model containing peer information from observational learning and derives the hypotheses on how senior managers' capabilities of focal firms,exterior environmental uncertainties,peers' informational disclosure quality and informational exchange level among TMT of focal firms affect the intensity of peer effects. Basing on comparison between sub-samples analysis and theoretical hypotheses,we are able to explore whether learning causes peer effects.Empirical results show that capital structure of focal firms is significantly influenced by that of peer firms within the same industry. In addition,sub-sample analysis demonstrates that peer effects are stronger when senior managers of focal firms are less competent and exterior operational and financial environmental uncertainties are higher. Similarly,peer effects intensity increases in peer firms' informational quality and the degree of information transfer within focal firms' TMT. In short,sub-sample results speak in favor of all theoretical predictions originated from peer learning decision model. It implies that learning from peers' decisions is a non-negligible explanatory factor of peer effects.Our research,on the one hand,enriches current capital structure theory by providing an important but yet neglected research angle and deepens the study on mechanism in both theory and practice. On the other hand,it has practical implication for regulators in the sense that policy makers would take full advantage of"social multiplier effect"and proliferate effective firm decisions through encouraging learning.
Modern capital structure theory centers on the assumption that optimal capital structure of a firm depends only on its own individualistic characteristics and that others' actions are totally irrelevant. On the contrary,current studies outside China point out that peer firms' decisions exert significant influence on focal firms' decisions. In other words,peer effects do exist. Investigating whether peer effects of capital structure decision exist in the Chinese capital market and which mechanism leads to peer effects not only provides us with empirical evidence from a developing country,but also extends current mechanism study of peer effects.Using peers' stock return shock as a valid instrumental variable,this paper exploits Linear-in-means regression model on panel data of non-financial Chinese listed firms on Shanghai and Shenzhen A-share stock market from 2001 to 2014. In order to exclude correlated effects,i. e.,co-movement of capital structure decision within industries,differencing variables,along with firm-level fixed effects are applied. In this way,whether peer effects exist is empirically examined. In order to further dig into the learning mechanism,our research introduces the capital structure decision model containing peer information from observational learning and derives the hypotheses on how senior managers' capabilities of focal firms,exterior environmental uncertainties,peers' informational disclosure quality and informational exchange level among TMT of focal firms affect the intensity of peer effects. Basing on comparison between sub-samples analysis and theoretical hypotheses,we are able to explore whether learning causes peer effects.Empirical results show that capital structure of focal firms is significantly influenced by that of peer firms within the same industry. In addition,sub-sample analysis demonstrates that peer effects are stronger when senior managers of focal firms are less competent and exterior operational and financial environmental uncertainties are higher. Similarly,peer effects intensity increases in peer firms' informational quality and the degree of information transfer within focal firms' TMT. In short,sub-sample results speak in favor of all theoretical predictions originated from peer learning decision model. It implies that learning from peers' decisions is a non-negligible explanatory factor of peer effects.Our research,on the one hand,enriches current capital structure theory by providing an important but yet neglected research angle and deepens the study on mechanism in both theory and practice. On the other hand,it has practical implication for regulators in the sense that policy makers would take full advantage of"social multiplier effect"and proliferate effective firm decisions through encouraging learning.
引文
[1]GRAHAM J R,HARVEY C R.The theory and practice of corporate finance:evidence from the field.Journal of Financial Economics,2001,60(2/3):187-243.
[2]中国企业家调查系统.企业学习:现状、问题及其对创新和竞争优势的影响:2006年中国企业经营者成长与发展专题调查报告.管理世界,2006(6):92-100.Chinese Entrepreneur Survey System.Firm learning:status quo,problem and its effect on innovation and competitive advantages:2006 Chinese entrepreneur development and growth survey.Management World,2006(6):92-100.(in Chinese)
[3]戴璐,支晓强.企业能否“明辨”组织间合作中的学习成效?绩效评价的视角.会计研究,2015(12):45-52.DAI Lu,ZHI Xiaoqiang.Could firms learning process and outcome based on inter-firm cooperation be effectively evaluated?The approach of performance evaluation theory.Accounting Research,2015(12):45-52.(in Chinese)
[4]MORETTI E.Social learning and peer effects in consumption:evidence from movie sales.The Review of Economic Studies,2011,78(1):356-393.
[5]DUPAS P.Short-run subsidies and long-run adoption of new health products:evidence from a field experiment.Econometrica,2014,82(1):197-228.
[6]MANSKI C F.Identification of endogenous social effects:the reflection problem.The Review of Economic Studies,1993,60(3):531-542.
[7]GLAESER E L,SACERDOTE B I,SCHEINKMAN J A.The social multiplier.Journal of the European Economic Association,2003,1(2/3):345-353.
[8]EISENSTADT S N.The process of absorption of new immigrants in Israel.Human Relations,1952,5:223-246.
[9]HOXBY C M.Peer effects in the classroom:learning from gender and race variation.Cambridge,MA:Harvaed University,2000.
[10]SACERDOTE B.Peer effects with random assignment:results for Dartmouth roommates.The Quarterly Journal of Economics,2001,116(2):681-704.
[11]EISENBERG D,GOLBERSTEIN E,WHITLOCK J L.Peer effects on risky behaviors:new evidence from college roommate assignments.Journal of Health Economics,2014,33:126-138.
[12]MCVICAR D,POLANSKI A.Peer effects in UK adolescent substance use:never mind the classmates?.Oxford Bulletin of E-conomics and Statistics,2014,76(4):589-604.
[13]FLETCHER J M,YAKUSHEVA O.Peer effects on teenage fertility:social transmission mechanisms and policy recommendations.American Journal of Health Economics,2016,2(3):300-317.
[14]杨钋.同伴特征与初中学生成绩的多水平分析.北京大学教育评论,2009,7(4):50-64.YANG Po.Peer characteristics and student achievement:a multilevel analysis.Peking University Education Review,2009,7(4):50-64.(in Chinese)
[15]焦璨,吴换杰,黄玥娜,等.网络自相关模型在心理学研究中的应用:以同群效应、学习动机对青少年学业表现的影响为例.心理学报,2014,46(12):1933-1945.JIAO Can,WU Huanjie,HUANG Yuena,et al.Application of network autocorrelation models in psychological studies:taking the impact of peer effect,learning motivation on adolescents'academic performance as examples.Acta Psychologica Sinica,2014,46(12):1933-1945.(in Chinese)
[16]李强.同伴效应对中国农村青少年体重的影响.中国农村经济,2014(3):73-84.LI Qiang.An empirical analysis of the peer effect of body weight among Chinese rural adolescents.Chinese Rural E-conomy,2014(3):73-84.(in Chinese)
[17]郭士祺,梁平汉.社会互动、信息渠道与家庭股市参与:基于2011年中国家庭金融调查的实证研究.经济研究,2014(S1):116-131.GUO Shiqi,LIANG Pinghan.Social interactions,information channel and household stock market participation:an empirical study based on 2011 Chinese household finance survey.Economic Research Journal,2014(S1):116-131.(in Chinese)
[18]KAUSTIA M,RANTALA V.Social learning and corporate peer effects.Journal of Financial Economics,2015,117(3):653-669.
[19]FAULKENDER M,YANG J.Is disclosure an effective cleansing mechanism?The dynamics of compensation peer benchmarking.The Review of Financial Studies,2013,26(3):806-839.
[20]AMORE M D.Peer effects in family firm governance.Milano:Bocconi University,2015.
[21]赵颖.中国上市公司高管薪酬的同群效应分析.中国工业经济,2016(2):114-129.ZHAO Ying.Analysis of CEOs'compensations'peer effects from China listed companies.China Industrial Economics,2016(2):114-129.(in Chinese)
[22]傅超,杨曾,傅代国.“同伴效应”影响了企业的并购商誉吗?基于我国创业板高溢价并购的经验证据.中国软科学,2015(11):94-108.FU Chao,YANG Zeng,FU Daiguo.Does peer effect affect the goodwill:empirical evidence from high-premium M&A on the GEM.China Soft Science,2015(11):94-108.(in Chinese)
[23]石桂峰.地方政府干预与企业投资的同伴效应.财经研究,2015,41(12):84-94,106.SHI Guifeng.Local government intervention and peer effect of firm investment.Journal of Finance and Economics,2015,41(12):84-94,106.(in Chinese)
[24]LEARY M T,ROBERTS M R.Do peer firms affect corporate financial policy?.The Journal of Finance,2014,69(1):139-178.
[25]BURSZTYN L,EDERER F,FERMAN B,et al.Understanding mechanisms underlying peer effects:evidence from a field experiment on financial decisions.Econometrica,2014,82(4):1273-1301.
[26]BROWN J R,IVKOVIC'Z,SMITH P A,et al.Neighbors matter:causal community effects and stock market participation.The Journal of Finance,2008,63(3):1509-1531.
[27]FOUCAULT T,FRESARD L.Learning from peers'stock prices and corporate investment.Journal of Financial Economics,2014,111(3):554-577.
[28]DAHL G B,LKEN K V,MOGSTAD M.Peer effects in program participation.The American Economic Review,2014,104(7):2049-2074.
[29]BIKHCHANDANI S,HIRSHLEIFER D,WELCH I.Learning from the behavior of others:conformity,fads,and informational cascades.Journal of Economic Perspectives,1998,12(3):151-170.
[30]MANSKI C F.Economic analysis of social interactions.Journal of Economic Perspectives,2000,14(3):115-136.
[31]BAUM J A C,KORN H J.Competitive dynamics of interfirm rivalry.Academy of Management Journal,1996,39(2):255-291.
[32]LYANDRES E.Capital structure and interaction among firms in output markets:theory and evidence.The Journal of Business,2006,79(5):2381-2421.
[33]SCHARFSTEIN D S,STEIN J C.Herd behavior and investment.The American Economic Review,1990,80(3):465-479.
[34]林毅夫.潮涌现象与发展中国家宏观经济理论的重新构建.经济研究,2007,42(1):126-131.Justin Yifu Lin.Wave phenomenon and the reconstruction of macroeconomic theories for developing countries.Economic Research Journal,2007,42(1):126-131.(in Chinese)
[35]郭鹏飞,孙培源.资本结构的行业特征:基于中国上市公司的实证研究.经济研究,2003,38(5):66-73.GUO Pengfei,SUN Peiyuan.The industrial characteristic of capital structure:an empirical study on Chinese listed companies.Economic Research Journal,2003,38(5):66-73.(in Chinese)
[36]BANDURA A.Self-efficacy:toward a unifying theory of behavioral change.Psychological Review,1977,84(2):191-215.
[37]MORRIS S,SHIN H S.Social value of public information.The American Economic Review,2002,92(5):1521-1534.
[38]卫旭华,刘咏梅,岳柳青.高管团队权力不平等对企业创新强度的影响:有调节的中介效应.南开管理评论,2015,18(3):24-33.WEI Xuhua,LIU Yongmei,YUE Liuqing.The impact of top management team power disparity on firm innovation intensity:moderated mediating effect.Nankai Business Review,2015,18(3):24-33.(in Chinese)
[39]王贞洁,王竹泉.经济危机、信用风险传染与营运资金融资结构:基于外向型电子信息产业上市公司的实证研究.中国工业经济,2013(11):122-134.WANG Zhenjie,WANG Zhuquan.The economic crisis,credit risk contagion and working capital structure:an empirical analysis of electronic information industry listed company.China Industrial Economics,2013(11):122-134.(in Chinese)
[40]SHROPSHIRE C.The role of the interlocking director and board receptivity in the diffusion of practices.Academy of Management Review,2010,35(2):246-264.
[41]韩洁,田高良,李留闯.连锁董事与社会责任报告披露:基于组织间模仿视角.管理科学,2015,28(1):18-31.HAN Jie,TIAN Gaoliang,LI Liuchuang.Interlocking directors and social responsibility disclosure:from the perspective of inter-organizational imitation.Journal of Management Science,2015,28(1):18-31.(in Chinese)
[42]李维安,刘振杰,顾亮.董事会异质性、断裂带与跨国并购.管理科学,2014,27(4):1-11.LI Weian,LIU Zhenjie,GU Liang.Heterogeneity,faultlines of the board and cross-border M&A.Journal of Management Science,2014,27(4):1-11.(in Chinese)
[43]ANGRIST J D.The perils of peer effects.Labour Economics,2014,30:98-108.
[2]中国企业家调查系统.企业学习:现状、问题及其对创新和竞争优势的影响:2006年中国企业经营者成长与发展专题调查报告.管理世界,2006(6):92-100.Chinese Entrepreneur Survey System.Firm learning:status quo,problem and its effect on innovation and competitive advantages:2006 Chinese entrepreneur development and growth survey.Management World,2006(6):92-100.(in Chinese)
[3]戴璐,支晓强.企业能否“明辨”组织间合作中的学习成效?绩效评价的视角.会计研究,2015(12):45-52.DAI Lu,ZHI Xiaoqiang.Could firms learning process and outcome based on inter-firm cooperation be effectively evaluated?The approach of performance evaluation theory.Accounting Research,2015(12):45-52.(in Chinese)
[4]MORETTI E.Social learning and peer effects in consumption:evidence from movie sales.The Review of Economic Studies,2011,78(1):356-393.
[5]DUPAS P.Short-run subsidies and long-run adoption of new health products:evidence from a field experiment.Econometrica,2014,82(1):197-228.
[6]MANSKI C F.Identification of endogenous social effects:the reflection problem.The Review of Economic Studies,1993,60(3):531-542.
[7]GLAESER E L,SACERDOTE B I,SCHEINKMAN J A.The social multiplier.Journal of the European Economic Association,2003,1(2/3):345-353.
[8]EISENSTADT S N.The process of absorption of new immigrants in Israel.Human Relations,1952,5:223-246.
[9]HOXBY C M.Peer effects in the classroom:learning from gender and race variation.Cambridge,MA:Harvaed University,2000.
[10]SACERDOTE B.Peer effects with random assignment:results for Dartmouth roommates.The Quarterly Journal of Economics,2001,116(2):681-704.
[11]EISENBERG D,GOLBERSTEIN E,WHITLOCK J L.Peer effects on risky behaviors:new evidence from college roommate assignments.Journal of Health Economics,2014,33:126-138.
[12]MCVICAR D,POLANSKI A.Peer effects in UK adolescent substance use:never mind the classmates?.Oxford Bulletin of E-conomics and Statistics,2014,76(4):589-604.
[13]FLETCHER J M,YAKUSHEVA O.Peer effects on teenage fertility:social transmission mechanisms and policy recommendations.American Journal of Health Economics,2016,2(3):300-317.
[14]杨钋.同伴特征与初中学生成绩的多水平分析.北京大学教育评论,2009,7(4):50-64.YANG Po.Peer characteristics and student achievement:a multilevel analysis.Peking University Education Review,2009,7(4):50-64.(in Chinese)
[15]焦璨,吴换杰,黄玥娜,等.网络自相关模型在心理学研究中的应用:以同群效应、学习动机对青少年学业表现的影响为例.心理学报,2014,46(12):1933-1945.JIAO Can,WU Huanjie,HUANG Yuena,et al.Application of network autocorrelation models in psychological studies:taking the impact of peer effect,learning motivation on adolescents'academic performance as examples.Acta Psychologica Sinica,2014,46(12):1933-1945.(in Chinese)
[16]李强.同伴效应对中国农村青少年体重的影响.中国农村经济,2014(3):73-84.LI Qiang.An empirical analysis of the peer effect of body weight among Chinese rural adolescents.Chinese Rural E-conomy,2014(3):73-84.(in Chinese)
[17]郭士祺,梁平汉.社会互动、信息渠道与家庭股市参与:基于2011年中国家庭金融调查的实证研究.经济研究,2014(S1):116-131.GUO Shiqi,LIANG Pinghan.Social interactions,information channel and household stock market participation:an empirical study based on 2011 Chinese household finance survey.Economic Research Journal,2014(S1):116-131.(in Chinese)
[18]KAUSTIA M,RANTALA V.Social learning and corporate peer effects.Journal of Financial Economics,2015,117(3):653-669.
[19]FAULKENDER M,YANG J.Is disclosure an effective cleansing mechanism?The dynamics of compensation peer benchmarking.The Review of Financial Studies,2013,26(3):806-839.
[20]AMORE M D.Peer effects in family firm governance.Milano:Bocconi University,2015.
[21]赵颖.中国上市公司高管薪酬的同群效应分析.中国工业经济,2016(2):114-129.ZHAO Ying.Analysis of CEOs'compensations'peer effects from China listed companies.China Industrial Economics,2016(2):114-129.(in Chinese)
[22]傅超,杨曾,傅代国.“同伴效应”影响了企业的并购商誉吗?基于我国创业板高溢价并购的经验证据.中国软科学,2015(11):94-108.FU Chao,YANG Zeng,FU Daiguo.Does peer effect affect the goodwill:empirical evidence from high-premium M&A on the GEM.China Soft Science,2015(11):94-108.(in Chinese)
[23]石桂峰.地方政府干预与企业投资的同伴效应.财经研究,2015,41(12):84-94,106.SHI Guifeng.Local government intervention and peer effect of firm investment.Journal of Finance and Economics,2015,41(12):84-94,106.(in Chinese)
[24]LEARY M T,ROBERTS M R.Do peer firms affect corporate financial policy?.The Journal of Finance,2014,69(1):139-178.
[25]BURSZTYN L,EDERER F,FERMAN B,et al.Understanding mechanisms underlying peer effects:evidence from a field experiment on financial decisions.Econometrica,2014,82(4):1273-1301.
[26]BROWN J R,IVKOVIC'Z,SMITH P A,et al.Neighbors matter:causal community effects and stock market participation.The Journal of Finance,2008,63(3):1509-1531.
[27]FOUCAULT T,FRESARD L.Learning from peers'stock prices and corporate investment.Journal of Financial Economics,2014,111(3):554-577.
[28]DAHL G B,LKEN K V,MOGSTAD M.Peer effects in program participation.The American Economic Review,2014,104(7):2049-2074.
[29]BIKHCHANDANI S,HIRSHLEIFER D,WELCH I.Learning from the behavior of others:conformity,fads,and informational cascades.Journal of Economic Perspectives,1998,12(3):151-170.
[30]MANSKI C F.Economic analysis of social interactions.Journal of Economic Perspectives,2000,14(3):115-136.
[31]BAUM J A C,KORN H J.Competitive dynamics of interfirm rivalry.Academy of Management Journal,1996,39(2):255-291.
[32]LYANDRES E.Capital structure and interaction among firms in output markets:theory and evidence.The Journal of Business,2006,79(5):2381-2421.
[33]SCHARFSTEIN D S,STEIN J C.Herd behavior and investment.The American Economic Review,1990,80(3):465-479.
[34]林毅夫.潮涌现象与发展中国家宏观经济理论的重新构建.经济研究,2007,42(1):126-131.Justin Yifu Lin.Wave phenomenon and the reconstruction of macroeconomic theories for developing countries.Economic Research Journal,2007,42(1):126-131.(in Chinese)
[35]郭鹏飞,孙培源.资本结构的行业特征:基于中国上市公司的实证研究.经济研究,2003,38(5):66-73.GUO Pengfei,SUN Peiyuan.The industrial characteristic of capital structure:an empirical study on Chinese listed companies.Economic Research Journal,2003,38(5):66-73.(in Chinese)
[36]BANDURA A.Self-efficacy:toward a unifying theory of behavioral change.Psychological Review,1977,84(2):191-215.
[37]MORRIS S,SHIN H S.Social value of public information.The American Economic Review,2002,92(5):1521-1534.
[38]卫旭华,刘咏梅,岳柳青.高管团队权力不平等对企业创新强度的影响:有调节的中介效应.南开管理评论,2015,18(3):24-33.WEI Xuhua,LIU Yongmei,YUE Liuqing.The impact of top management team power disparity on firm innovation intensity:moderated mediating effect.Nankai Business Review,2015,18(3):24-33.(in Chinese)
[39]王贞洁,王竹泉.经济危机、信用风险传染与营运资金融资结构:基于外向型电子信息产业上市公司的实证研究.中国工业经济,2013(11):122-134.WANG Zhenjie,WANG Zhuquan.The economic crisis,credit risk contagion and working capital structure:an empirical analysis of electronic information industry listed company.China Industrial Economics,2013(11):122-134.(in Chinese)
[40]SHROPSHIRE C.The role of the interlocking director and board receptivity in the diffusion of practices.Academy of Management Review,2010,35(2):246-264.
[41]韩洁,田高良,李留闯.连锁董事与社会责任报告披露:基于组织间模仿视角.管理科学,2015,28(1):18-31.HAN Jie,TIAN Gaoliang,LI Liuchuang.Interlocking directors and social responsibility disclosure:from the perspective of inter-organizational imitation.Journal of Management Science,2015,28(1):18-31.(in Chinese)
[42]李维安,刘振杰,顾亮.董事会异质性、断裂带与跨国并购.管理科学,2014,27(4):1-11.LI Weian,LIU Zhenjie,GU Liang.Heterogeneity,faultlines of the board and cross-border M&A.Journal of Management Science,2014,27(4):1-11.(in Chinese)
[43]ANGRIST J D.The perils of peer effects.Labour Economics,2014,30:98-108.