产品市场势力与持股者交易行为
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摘要
股票市场一直是中国学术界关注的焦点之一,行为金融理论的兴起使得众多研究尝试从行为偏差的角度对持股者的交易行为及其影响进行研究,从而解释中国股票市场的效率问题。本文沿着Campbell et al.(2001)、Pastor and Veronesi (2003)、Gasper and Massa (2006)、Tookes (2008). Peress (2010)的研究思路从产品市场势力的角度进行了探讨,分析产品市场势力对于持股者交易行为的影响。
本文第一部分首先分析了产品市场势力对于持股者交易行为影响的基础机制,并证实产品市场势力的提高能显著降低股票收益率的公司特质波动,从而降低交易时面对的不确定性。同时产品市场势力还导致了异质信念水平的提高,原因可能在于产品市场势力降低了不确定性的同时也增强了持股者的信心,因而更加相信自己的判断。
在第一部分研究的基础上,本文继续分析了产品市场势力对持股者交易的积极性、交易中的羊群行为、处置效应的影响。基于投资者是风险厌恶的和异质信念促进交易的假设以及前面的研究结论,本文推断并证实产品市场势力能够显著地促进交易,这种促进不仅表现在交易量的扩大上,还表现在每笔交易量的提高上。而对于羊群行为的分析是建立在信息不对称导致羊群行为的假设下,当产品市场势力减轻股票收益率的公司特质波动时信息不对称程度下降,而交易水平的提高也意味着市场交易对信息传递的作用增强,这些都使得交易的信息环境改善,从而减少羊群行为。同时异质信念水平的提高意味着交易时会更多根据自己的判断进行决策,而不是从众。因此本文认为产品市场势力的提高能够降低交易中的羊群行为,第三部分的实证研究也提供了相应的证据。而对处置效应的研究则是基于由前景理论所得到的不确定性与处置效应之间的联系,即交易时面对的不确定性程度越高越可能发生处置效应等行为偏差,而产品市场势力能够降低交易时面对的不确定性,因而可以减轻处置效应。对此第四部分的研究给出了相关证据。
最后,本文分析了产品市场势力通过持股者的交易行为而对股票价格信息含量以及股票市场流动性产生的影响,结果发现产品市场势力因为促进交易、信息传递等降低了市场的信息不对称水平,最终提高股票价格的信息含量和市场流动性。产品市场势力的影响在控制公司治理水平的情况下依然显著,并与公司治理之间存在交互关系。
Stock market is one of the focal points of Chinese academy. The rise of behavior finance has encouraged studies of trading behavior in the view of behavior bias to explain the efficiency of Chinese stock market. Following studies of Campbell et al.(2001), Pastor and Veronesi (2003), Gasper and Massa (2006), Tookes (2008) and Peress (2010), this paper focuses on the impact of product market power on shareholders'trading behavior.
Section one investigates the mechanism that product market power influences sharholders'trading behavior. It is found that product market power could reduce firm-specific return volatility, and then uncertainty in trade. And product market power increases heterogeneous beliefs, because shareholders will be more self-confident and insist on their own judgment when uncertainty is reduced.
On the basis of section one this paper explores the impact of product market power on shareholders'trading motivation, herd behavior and disposition in trade. Based on the hypothesis of risk-aversion investor, disagreement encourage trade and conclusion of the first section, I believe that product market power can encourage trade. Proofs are given in section two, and I find that product market power improves both turnover and turnover per trade. The analysis of herd behavior is based on the assumption that information asymmetry induces herding. When product market power reduces firm-specific return volatility, information asymmetry alleviated. And improved trading volume implies that trading will convey more information. These all improve the trading environment for shareholders, and reduce herd behavior. Also, the increase of heterogeneous beliefs suggests that shareholders will be less likely to follow others, but behave as they believe. Section three gives empirical proofs. Research on disposition effect is base on the relation between uncertainty and disposition deduced from prospect theory. That is to say, uncertainty induces behavior bias such as disposition effect. Given product market power could reduces uncertainty, it will mitigate disposition. And proofs are given in section four.
Next I analysis the impact of product market power on stock market liquidity and the information content of stock price through shareholders'trading behavior. It's found that the increase of product market power will improve the information content of stock price and stock market liquidity by encouraging trading, information diffusion, and reducing information asymmetry. This impact is significant even when variables of corporate governance are controlled, and the product market power will interact with corporate governance.
本文第一部分首先分析了产品市场势力对于持股者交易行为影响的基础机制,并证实产品市场势力的提高能显著降低股票收益率的公司特质波动,从而降低交易时面对的不确定性。同时产品市场势力还导致了异质信念水平的提高,原因可能在于产品市场势力降低了不确定性的同时也增强了持股者的信心,因而更加相信自己的判断。
在第一部分研究的基础上,本文继续分析了产品市场势力对持股者交易的积极性、交易中的羊群行为、处置效应的影响。基于投资者是风险厌恶的和异质信念促进交易的假设以及前面的研究结论,本文推断并证实产品市场势力能够显著地促进交易,这种促进不仅表现在交易量的扩大上,还表现在每笔交易量的提高上。而对于羊群行为的分析是建立在信息不对称导致羊群行为的假设下,当产品市场势力减轻股票收益率的公司特质波动时信息不对称程度下降,而交易水平的提高也意味着市场交易对信息传递的作用增强,这些都使得交易的信息环境改善,从而减少羊群行为。同时异质信念水平的提高意味着交易时会更多根据自己的判断进行决策,而不是从众。因此本文认为产品市场势力的提高能够降低交易中的羊群行为,第三部分的实证研究也提供了相应的证据。而对处置效应的研究则是基于由前景理论所得到的不确定性与处置效应之间的联系,即交易时面对的不确定性程度越高越可能发生处置效应等行为偏差,而产品市场势力能够降低交易时面对的不确定性,因而可以减轻处置效应。对此第四部分的研究给出了相关证据。
最后,本文分析了产品市场势力通过持股者的交易行为而对股票价格信息含量以及股票市场流动性产生的影响,结果发现产品市场势力因为促进交易、信息传递等降低了市场的信息不对称水平,最终提高股票价格的信息含量和市场流动性。产品市场势力的影响在控制公司治理水平的情况下依然显著,并与公司治理之间存在交互关系。
Stock market is one of the focal points of Chinese academy. The rise of behavior finance has encouraged studies of trading behavior in the view of behavior bias to explain the efficiency of Chinese stock market. Following studies of Campbell et al.(2001), Pastor and Veronesi (2003), Gasper and Massa (2006), Tookes (2008) and Peress (2010), this paper focuses on the impact of product market power on shareholders'trading behavior.
Section one investigates the mechanism that product market power influences sharholders'trading behavior. It is found that product market power could reduce firm-specific return volatility, and then uncertainty in trade. And product market power increases heterogeneous beliefs, because shareholders will be more self-confident and insist on their own judgment when uncertainty is reduced.
On the basis of section one this paper explores the impact of product market power on shareholders'trading motivation, herd behavior and disposition in trade. Based on the hypothesis of risk-aversion investor, disagreement encourage trade and conclusion of the first section, I believe that product market power can encourage trade. Proofs are given in section two, and I find that product market power improves both turnover and turnover per trade. The analysis of herd behavior is based on the assumption that information asymmetry induces herding. When product market power reduces firm-specific return volatility, information asymmetry alleviated. And improved trading volume implies that trading will convey more information. These all improve the trading environment for shareholders, and reduce herd behavior. Also, the increase of heterogeneous beliefs suggests that shareholders will be less likely to follow others, but behave as they believe. Section three gives empirical proofs. Research on disposition effect is base on the relation between uncertainty and disposition deduced from prospect theory. That is to say, uncertainty induces behavior bias such as disposition effect. Given product market power could reduces uncertainty, it will mitigate disposition. And proofs are given in section four.
Next I analysis the impact of product market power on stock market liquidity and the information content of stock price through shareholders'trading behavior. It's found that the increase of product market power will improve the information content of stock price and stock market liquidity by encouraging trading, information diffusion, and reducing information asymmetry. This impact is significant even when variables of corporate governance are controlled, and the product market power will interact with corporate governance.
引文
①需要指出的是,国内外一些文献(如Li et al.,2004)引用的是Bris et al. (2002)工作论文的观点,这些观点在2007年论文正式发表时有了较多的修改。为避免误解,这里引述的2007年论文中的观点。
②国内王亚平等(2009)以盈余的可操控程度作为信息透明度的代理变量进行了研究,认为信息透明度与股价波动同步性、股票市场信息效率正相关；同样金智(2010)以盈余的可操控程度反映会计信息质量,认为会计信息质量提高能降低投资者信息收集的动力,加上投资者对会计信息解读能力的差异,最终使得会计信息质量与股价同步性正相关。
③如在国内较近的研究中,伊志宏等(2010)认为董事会治理、高管激励对于信息披露有着显著影响,两职合一的作用不显著。而谭兴民等(2009)认为两职合一对于国内上市公司信息披露有着显著影响,董事会治理、高管激励的作用不显著。
④大量国内研究在计算股价波动非同步性时并没有严格按照Durnev et al. (2003)的方法,只是去除了市场因素的影响,因而最后的非同步性指标不仅包含了公司层面的因素,也包含了行业层面的因素。实际上王亚平等(2009)将行业因素去除后发现股价波动同步性并没有降低,他们的解释是中国股票市场上股价波动同步性与股票价格信息含量是正相关的,而不是Durnev et al. (2003)及其它国内外文献所认为的负相关。
⑤本文进一步采用动态面板数据模型控制年度效应后再度检验了独立董事比例的系数,发现依然在1%水平上显著为正,限于篇幅这里没有列出详细结果。
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②国内王亚平等(2009)以盈余的可操控程度作为信息透明度的代理变量进行了研究,认为信息透明度与股价波动同步性、股票市场信息效率正相关；同样金智(2010)以盈余的可操控程度反映会计信息质量,认为会计信息质量提高能降低投资者信息收集的动力,加上投资者对会计信息解读能力的差异,最终使得会计信息质量与股价同步性正相关。
③如在国内较近的研究中,伊志宏等(2010)认为董事会治理、高管激励对于信息披露有着显著影响,两职合一的作用不显著。而谭兴民等(2009)认为两职合一对于国内上市公司信息披露有着显著影响,董事会治理、高管激励的作用不显著。
④大量国内研究在计算股价波动非同步性时并没有严格按照Durnev et al. (2003)的方法,只是去除了市场因素的影响,因而最后的非同步性指标不仅包含了公司层面的因素,也包含了行业层面的因素。实际上王亚平等(2009)将行业因素去除后发现股价波动同步性并没有降低,他们的解释是中国股票市场上股价波动同步性与股票价格信息含量是正相关的,而不是Durnev et al. (2003)及其它国内外文献所认为的负相关。
⑤本文进一步采用动态面板数据模型控制年度效应后再度检验了独立董事比例的系数,发现依然在1%水平上显著为正,限于篇幅这里没有列出详细结果。
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