股利折价之谜——基于大股东掏空与监管迎合的探索
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摘要
本文以2008-2015年我国沪深两市A股上市公司为研究样本,构建"股利支付动机—股利价值效应—股利折价"的分析路径,从大股东掏空与监管迎合视角分析中国"股利折价之谜"。研究发现,当大股东利用现金股利掏空公司时,中小投资者倾向退出投资,股利支付公司的价值受损,形成股利折价;但监管迎合动机下的现金股利反而对公司价值存在正向效应,表明投资者认同上市公司迎合监管行为,监管迎合不是股利折价根源。进一步分析发现,大股东还可能将监管迎合作为掩饰其掏空的"面具"。本文首次对"股利折价之谜"进行分析并对其根源精准定位,揭示监管政策的积极作用,反对以往"监管悖论"观点;同时提出未来监管政策应重点关注大股东掏空,提高股利支付公司的价值。
"Dividend Discount", the concept was firstly introduced by Baker and Wurgler in 2004. It indicates that the corporate value of dividend is lower than the value of non-dividend. Cash dividends are always been premium in the United States in the past decades. But in China the dividend discount is common phenomenon. After a short review, we find that the motivations of signaling, alleviating two types of agency conflicts and catering to investors are benefit to the dividend corporates. However, the motivations of tunneling by major shareholders and catering to regulations may do harm to the value of dividend corporates. Using the data of A-share listed companies from 2008 to 2015, we explore Chinese "Dividend Discount Puzzle" through the path of "Dividend Motivation-Dividend Value Effect-Dividend Discount". We establish two different ways, one is based on tunneling, and the other is based on catering to regulation. The basic conclusions are:(1) The more major shareholders tunnel, the more other investors withdraw from investment and the cash payout cuts the company's value in the view of shareholding ratio of major shareholders and abnormal high dividends.(2) Cash dividends which cater to the policies of China Securities Regulatory Commission(CSRC) cannot reduce the value of the company using threshold earnings and dividends, potential refinancing needs and low dividends to characterize the motivation of catering to the regulation. It is tunneling, not regulation catering, which leads to dividend discount. Furthermore, the value of dividend corporates is also increased even if the two motivations of tunneling and catering to the regulation work together, which means that major shareholders may take catering as mask of tunneling. We analyze the "Dividend Discount Puzzle" initially, and define its essence precisely. As opposed to the "Regulatory paradox", we also find that the effect of the current regulation policy is positive. Finally, we suggest that the regulator should focus on tunneling of major shareholders in order to increasing the company's value in the future.
"Dividend Discount", the concept was firstly introduced by Baker and Wurgler in 2004. It indicates that the corporate value of dividend is lower than the value of non-dividend. Cash dividends are always been premium in the United States in the past decades. But in China the dividend discount is common phenomenon. After a short review, we find that the motivations of signaling, alleviating two types of agency conflicts and catering to investors are benefit to the dividend corporates. However, the motivations of tunneling by major shareholders and catering to regulations may do harm to the value of dividend corporates. Using the data of A-share listed companies from 2008 to 2015, we explore Chinese "Dividend Discount Puzzle" through the path of "Dividend Motivation-Dividend Value Effect-Dividend Discount". We establish two different ways, one is based on tunneling, and the other is based on catering to regulation. The basic conclusions are:(1) The more major shareholders tunnel, the more other investors withdraw from investment and the cash payout cuts the company's value in the view of shareholding ratio of major shareholders and abnormal high dividends.(2) Cash dividends which cater to the policies of China Securities Regulatory Commission(CSRC) cannot reduce the value of the company using threshold earnings and dividends, potential refinancing needs and low dividends to characterize the motivation of catering to the regulation. It is tunneling, not regulation catering, which leads to dividend discount. Furthermore, the value of dividend corporates is also increased even if the two motivations of tunneling and catering to the regulation work together, which means that major shareholders may take catering as mask of tunneling. We analyze the "Dividend Discount Puzzle" initially, and define its essence precisely. As opposed to the "Regulatory paradox", we also find that the effect of the current regulation policy is positive. Finally, we suggest that the regulator should focus on tunneling of major shareholders in order to increasing the company's value in the future.
引文
[1] Black, F.. The Dividend Puzzel. Journal of Portfolio Management, 1976, 2(2):5-8.
[2] Baker, M., Wurgler, J.. A Catering Theory of Dividends. The Journal of Finance, 2004, 59(3):1125-1165.
[3]饶育蕾,贺曦,李湘平.股利折价与迎合:来自我国上市公司现金股利分配的证据.管理工程学报, 2008,(1):133-136.
[4]陈云玲.半强制分红政策的实施效果研究.金融研究, 2014,(8):162-177.
[5] De Angelo, H., De Angelo, L., Stulz, R. M.. Dividend Policy and the Earned/Contributed Capital Mix:A Test of the Life-cycle Theory. Journal of Financial Economics, 2006, 81(2):227-254.
[6] Chay, J. B., Suh, J.. Payout Policy and Cash-flow Uncertainty.Journal of Financial Economics, 2009, 93(1):88-107.
[7] Adhikari, B., Agrawal, A.. Peer Influence on Payout Policies.Journal of Corporate Finance, 2017,(48):615-637.
[8] Lintner, J.. Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes. American Economic Review, 1956, 46(2):97-113.
[9] Rozeff, M. S.. Growth, Beta and Agency Costs as Determinants of Dividend Payout Ratios. Journal of Financial Research, 1982,5(3):249-259.
[10] Easterbrook, F. H.. Two Agency-cost Explanations of Dividends.American Economic Review, 1984, 74(4):650-659.
[11] La Porta, R., Lopez-De-Silanes, F., Shleifer, A., Vishny, R. W..Agency Problems and Dividend Policies around the World. The Journal of Finance, 2000, 55(1):1-33.
[12]陈信元,陈冬华,时旭.公司治理与现金股利:基于佛山照明的案例研究.管理世界, 2003,(8):118-126.
[13]李常青,魏志华,吴世农.半强制分红政策的市场反应研究.经济研究, 2010,(3):144-155.
[14]郑国坚,林东杰,张飞达.大股东财务困境、掏空与公司治理的有效性——来自大股东财务数据的证据.管理世界, 2013,(5):157-168.
[15]张春龙,张国梁.高管权力,现金股利政策及其价值效应.管理评论, 2017, 29(3):168-175.
[16] Fama, E. F., French, K. R.. Disappearing Dividends:Changing Firm Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 2001, 60(1):3-43.
[17] Baker, M., Wurgler, J.. Appearing and Disappearing Dividends:The Link to Catering Incentives. Journal of Financial Economics, 2004, 73(2):271-288.
[18] Denis, D. J., Osobov, I.. Why Do Firms Pay Dividends? International Evidence on the Determinants of Dividend Policy. Journal of Financial Economics, 2008, 89(1):62-82.
[19]黄娟娟,沈艺峰.上市公司的股利政策究竟迎合了谁的需要——来自中国上市公司的经验数据.会计研究, 2007,(8):36-43.
[20]支晓强,胡聪慧,童盼,马俊杰.股权分置改革与上市公司股利政策——基于迎合理论的证据.管理世界, 2014,(3):139-147.
[21] Johnson, S., La Porta, R., Lopez-De-Silanes, F., Shleifer, A..Tunneling. American Economic Review, 2000, 90(2):22-27.
[22]冯根福.双重委托代理理论:上市公司治理的另一种分析框架——兼论进一步完善中国上市公司治理的新思路.经济研究,2004,(12):16-25.
[23]吕长江,周县华.公司治理结构与股利分配动机——基于代理成本和利益侵占的分析.南开管理评论, 2005, 8(3):9-17.
[24]唐跃军,谢仍明.大股东制衡机制与现金股利的隧道效应——来自1999-2003年中国上市公司的证据.南开经济研究, 2006,(1):60-78.
[25]邓建平,曾勇.控股股东利益导向和非理性分红.系统工程理论方法应用, 2005,(5):400-406.
[26]谢军.股利政策、第一大股东和公司成长性:自由现金流理论还是掏空理论.会计研究, 2006,(4):51-57.
[27]任力,项露菁.公司治理结构对现金股利分配的影响.经济学家, 2015,(5):43-51.
[28]魏志华,李茂良,李常青.半强制分红政策与中国上市公司分红行为.经济研究, 2014,(6):100-114.
[29]周冬华,赵玉洁.半强制性分红政策与经营活动现金流操控.会计研究, 2014,(9):37-44.
[30]陈艳,李鑫,李孟顺.现金股利迎合、再融资需求与企业投资——投资效率视角下的半强制分红政策有效性研究.会计研究, 2015,(11):69-75.
[31] Friedman, E., Johnson, S., Mitton, T.. Propping and Tunneling.Journal of Comparative Economics, 2003, 31(4):732-750.
[32]罗琦,吴哲栋.控股股东代理问题与公司现金股利.管理科学,2016, 29(3):112-122.
[33]李增泉,孙铮,王志伟.“掏空”与所有权安排——来自我国上市公司大股东资金占用的经验证据.会计研究, 2004,(12):3-13.
[34]顾小龙,李天钰,辛宇.现金股利、控制权结构与股价崩溃风险.金融研究, 2015,(7):152-169.
[35]袁天荣,苏红亮.上市公司超能力派现的实证研究.会计研究,2004,(10):63-70.
[36]黄果,陈收.上市公司非理性股利政策的行为金融分析.管理评论, 2004,(11):40-45.
[37]张荐华,李鲜.加强对上市公司与控股股东集团内部市场交易行为监管研究.财贸经济, 2008,(3):28-33.
[38]罗琦,李辉.企业生命周期、股利决策与投资效率.经济评论,2015,(2):115-125.
[39]刘孟晖,高友才.现金股利的异常派现、代理成本与公司价值——来自中国上市公司的经验证据.南开管理评论, 2015,18(1):152-160.
[40]陈小悦,肖星,过晓艳.配股权与上市公司利润操纵.经济研究,2000,(1):30-36.
[41]王志强,张玮婷.上市公司财务灵活性、再融资期权与股利迎合策略研究.管理世界, 2012,(7):151-163.
[42]杨熠,沈艺峰.现金股利:传递盈利信号还是起监督治理作用.中国会计评论, 2004,(1):61-76.
[43]郑蓉,干胜道,段华友.半强制分红政策下的股权再融资与分红决策研究——来自A股民营上市公司的经验证据.证券市场导报, 2014,(1):48-52.
[44]李小荣,罗进辉.媒体关注与公司现金股利支付.经济理论与经济管理, 2015,(9):68-85.
[45]刘星,谭伟荣,李宁.半强制分红政策、公司治理与现金股利政策.南开管理评论, 2016, 19(5):104-114.
[46]王化成,李春玲,卢闯.控股股东对上市公司现金股利政策影响的实证研究.管理世界, 2007,(1):122-136.
[47]魏志华,李常青,吴育辉,黄佳佳.半强制分红政策、再融资动机与经典股利理论——基于股利代理理论与信号理论视角的实证研究.会计研究, 2017,(7):55-61.
[48]王国俊,王跃堂.现金股利承诺制度与资源配置.经济研究,2014,(9):91-104.
(1)详见饶育蕾等[3]的研究与文中表3的统计结果。
(2)《上市公司新股发行管理办法》(2001)、《关于加强社会公众股股东权益保护的若干规定》(2004)、《上市公司证券发行管理办法》(2006)、《关于修改上市公司现金分红若干规定的决定》(2008)、《中国证券监督管理委员会关于进一步落实上市公司现金分红有关事项的通知》(2012)、《上市公司监管指引第3号——上市公司现金分红》(2013)。
(3)如企业生命周期、现金流不确定性、行业同群等因素均会对现金股利的支付产生影响,[5-7]但难以作为股利支付动因。
(4)从投资者的视角,将公司的某项财务决策所引起的公司市场价值的变化作为某项财务决策的价值效应。[15]
(5)其他还包括直接占用资金和以关联交易套用资金、违规提供担保、产品购销关联交易和资产购买关联交易、内幕交易和操纵股价。
(6)扣除非经常性损益后的净利润与扣除前的净利润相比,以低者作为加权平均净资产报酬率的计算依据。
(7)对应的财务报表数据为2008-2016年。
(8)其中,控股股东持股比例与前十大股东赫芬达尔指数数据来自CSMAR数据库,其他均来自WIND数据库。
(9)数据异常情况包括财务杠杆为负值、所有者权益为负值、股利支付率为负值等。
(10)李常青等[13]利用市值账面比衡量成长性,为避免在本文模型中可能出现内生性问题,修改为利用营业收入增长率刻画公司的成长性。
(11)未进行缩尾处理的控股股东持股比例最小值为0.011,最大值为0.900。
[2] Baker, M., Wurgler, J.. A Catering Theory of Dividends. The Journal of Finance, 2004, 59(3):1125-1165.
[3]饶育蕾,贺曦,李湘平.股利折价与迎合:来自我国上市公司现金股利分配的证据.管理工程学报, 2008,(1):133-136.
[4]陈云玲.半强制分红政策的实施效果研究.金融研究, 2014,(8):162-177.
[5] De Angelo, H., De Angelo, L., Stulz, R. M.. Dividend Policy and the Earned/Contributed Capital Mix:A Test of the Life-cycle Theory. Journal of Financial Economics, 2006, 81(2):227-254.
[6] Chay, J. B., Suh, J.. Payout Policy and Cash-flow Uncertainty.Journal of Financial Economics, 2009, 93(1):88-107.
[7] Adhikari, B., Agrawal, A.. Peer Influence on Payout Policies.Journal of Corporate Finance, 2017,(48):615-637.
[8] Lintner, J.. Distribution of Incomes of Corporations among Dividends, Retained Earnings, and Taxes. American Economic Review, 1956, 46(2):97-113.
[9] Rozeff, M. S.. Growth, Beta and Agency Costs as Determinants of Dividend Payout Ratios. Journal of Financial Research, 1982,5(3):249-259.
[10] Easterbrook, F. H.. Two Agency-cost Explanations of Dividends.American Economic Review, 1984, 74(4):650-659.
[11] La Porta, R., Lopez-De-Silanes, F., Shleifer, A., Vishny, R. W..Agency Problems and Dividend Policies around the World. The Journal of Finance, 2000, 55(1):1-33.
[12]陈信元,陈冬华,时旭.公司治理与现金股利:基于佛山照明的案例研究.管理世界, 2003,(8):118-126.
[13]李常青,魏志华,吴世农.半强制分红政策的市场反应研究.经济研究, 2010,(3):144-155.
[14]郑国坚,林东杰,张飞达.大股东财务困境、掏空与公司治理的有效性——来自大股东财务数据的证据.管理世界, 2013,(5):157-168.
[15]张春龙,张国梁.高管权力,现金股利政策及其价值效应.管理评论, 2017, 29(3):168-175.
[16] Fama, E. F., French, K. R.. Disappearing Dividends:Changing Firm Characteristics or Lower Propensity to Pay? Journal of Financial Economics, 2001, 60(1):3-43.
[17] Baker, M., Wurgler, J.. Appearing and Disappearing Dividends:The Link to Catering Incentives. Journal of Financial Economics, 2004, 73(2):271-288.
[18] Denis, D. J., Osobov, I.. Why Do Firms Pay Dividends? International Evidence on the Determinants of Dividend Policy. Journal of Financial Economics, 2008, 89(1):62-82.
[19]黄娟娟,沈艺峰.上市公司的股利政策究竟迎合了谁的需要——来自中国上市公司的经验数据.会计研究, 2007,(8):36-43.
[20]支晓强,胡聪慧,童盼,马俊杰.股权分置改革与上市公司股利政策——基于迎合理论的证据.管理世界, 2014,(3):139-147.
[21] Johnson, S., La Porta, R., Lopez-De-Silanes, F., Shleifer, A..Tunneling. American Economic Review, 2000, 90(2):22-27.
[22]冯根福.双重委托代理理论:上市公司治理的另一种分析框架——兼论进一步完善中国上市公司治理的新思路.经济研究,2004,(12):16-25.
[23]吕长江,周县华.公司治理结构与股利分配动机——基于代理成本和利益侵占的分析.南开管理评论, 2005, 8(3):9-17.
[24]唐跃军,谢仍明.大股东制衡机制与现金股利的隧道效应——来自1999-2003年中国上市公司的证据.南开经济研究, 2006,(1):60-78.
[25]邓建平,曾勇.控股股东利益导向和非理性分红.系统工程理论方法应用, 2005,(5):400-406.
[26]谢军.股利政策、第一大股东和公司成长性:自由现金流理论还是掏空理论.会计研究, 2006,(4):51-57.
[27]任力,项露菁.公司治理结构对现金股利分配的影响.经济学家, 2015,(5):43-51.
[28]魏志华,李茂良,李常青.半强制分红政策与中国上市公司分红行为.经济研究, 2014,(6):100-114.
[29]周冬华,赵玉洁.半强制性分红政策与经营活动现金流操控.会计研究, 2014,(9):37-44.
[30]陈艳,李鑫,李孟顺.现金股利迎合、再融资需求与企业投资——投资效率视角下的半强制分红政策有效性研究.会计研究, 2015,(11):69-75.
[31] Friedman, E., Johnson, S., Mitton, T.. Propping and Tunneling.Journal of Comparative Economics, 2003, 31(4):732-750.
[32]罗琦,吴哲栋.控股股东代理问题与公司现金股利.管理科学,2016, 29(3):112-122.
[33]李增泉,孙铮,王志伟.“掏空”与所有权安排——来自我国上市公司大股东资金占用的经验证据.会计研究, 2004,(12):3-13.
[34]顾小龙,李天钰,辛宇.现金股利、控制权结构与股价崩溃风险.金融研究, 2015,(7):152-169.
[35]袁天荣,苏红亮.上市公司超能力派现的实证研究.会计研究,2004,(10):63-70.
[36]黄果,陈收.上市公司非理性股利政策的行为金融分析.管理评论, 2004,(11):40-45.
[37]张荐华,李鲜.加强对上市公司与控股股东集团内部市场交易行为监管研究.财贸经济, 2008,(3):28-33.
[38]罗琦,李辉.企业生命周期、股利决策与投资效率.经济评论,2015,(2):115-125.
[39]刘孟晖,高友才.现金股利的异常派现、代理成本与公司价值——来自中国上市公司的经验证据.南开管理评论, 2015,18(1):152-160.
[40]陈小悦,肖星,过晓艳.配股权与上市公司利润操纵.经济研究,2000,(1):30-36.
[41]王志强,张玮婷.上市公司财务灵活性、再融资期权与股利迎合策略研究.管理世界, 2012,(7):151-163.
[42]杨熠,沈艺峰.现金股利:传递盈利信号还是起监督治理作用.中国会计评论, 2004,(1):61-76.
[43]郑蓉,干胜道,段华友.半强制分红政策下的股权再融资与分红决策研究——来自A股民营上市公司的经验证据.证券市场导报, 2014,(1):48-52.
[44]李小荣,罗进辉.媒体关注与公司现金股利支付.经济理论与经济管理, 2015,(9):68-85.
[45]刘星,谭伟荣,李宁.半强制分红政策、公司治理与现金股利政策.南开管理评论, 2016, 19(5):104-114.
[46]王化成,李春玲,卢闯.控股股东对上市公司现金股利政策影响的实证研究.管理世界, 2007,(1):122-136.
[47]魏志华,李常青,吴育辉,黄佳佳.半强制分红政策、再融资动机与经典股利理论——基于股利代理理论与信号理论视角的实证研究.会计研究, 2017,(7):55-61.
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(1)详见饶育蕾等[3]的研究与文中表3的统计结果。
(2)《上市公司新股发行管理办法》(2001)、《关于加强社会公众股股东权益保护的若干规定》(2004)、《上市公司证券发行管理办法》(2006)、《关于修改上市公司现金分红若干规定的决定》(2008)、《中国证券监督管理委员会关于进一步落实上市公司现金分红有关事项的通知》(2012)、《上市公司监管指引第3号——上市公司现金分红》(2013)。
(3)如企业生命周期、现金流不确定性、行业同群等因素均会对现金股利的支付产生影响,[5-7]但难以作为股利支付动因。
(4)从投资者的视角,将公司的某项财务决策所引起的公司市场价值的变化作为某项财务决策的价值效应。[15]
(5)其他还包括直接占用资金和以关联交易套用资金、违规提供担保、产品购销关联交易和资产购买关联交易、内幕交易和操纵股价。
(6)扣除非经常性损益后的净利润与扣除前的净利润相比,以低者作为加权平均净资产报酬率的计算依据。
(7)对应的财务报表数据为2008-2016年。
(8)其中,控股股东持股比例与前十大股东赫芬达尔指数数据来自CSMAR数据库,其他均来自WIND数据库。
(9)数据异常情况包括财务杠杆为负值、所有者权益为负值、股利支付率为负值等。
(10)李常青等[13]利用市值账面比衡量成长性,为避免在本文模型中可能出现内生性问题,修改为利用营业收入增长率刻画公司的成长性。
(11)未进行缩尾处理的控股股东持股比例最小值为0.011,最大值为0.900。