机构投资者选股能力及其持股行为的经济效果研究
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摘要
1998年基金金泰和基金开元发行上市,正式拉开了中国机构投资者发展的序幕。我国监管机构对机构投资者的支持是大力度的。经过近十年的发展,总的来说,机构投资者的作用表现出两面性:在胜利股份之争、中兴通讯“H股”计划的夭折和股权分置改革中表现出的作用,说明机构投资者已经发挥积极作用。但也时常有不和谐的事件发生,如2000年的“基金黑幕”;大量学者证实的“羊群行为”的存在;2006年的“老鼠仓”等事件。正反面作用的共存使得人们对我国机构投资者在证券市场中的作用,以及大力发展机构投资者方针政策产生了质疑。本文对比了中美机构投资者发展的不同轨迹和制度背景,在对机构投资者持股情况进行恰当的分类,采用规范和实证相结合的研究方法,从理论和经验两个方面分析和检验了不同类型的机构投资者的选股能力及机构投资者不同情况的持股所带来的经济后果,经济后果主要从两方面考察:盈余管理和公司业绩。
在博弈模型和机构投资者持股比例效应的分析的基础上,利用中国非金融类上市公司2004-2007年间16个季度中机构投资者持股数据,对机构投资者持股不同情况进行划分:其一是对机构投资者持股的公司划分。根据机构持股比例的三分位点把公司分为机构持股高比例公司、机构持股中比例公司和机构持股低比例公司;根据持股机构总数目的三分位点把公司分为持股机构多数目公司、持股机构中数目公司和持股机构少数目公司。其二根据持股时间是否大于两个季度把机构投资者分为短线型机构投资者和长线型机构投资者。
采用深交所披露的诚信档案中的评级结果作为公司信息透明度的衡量指标,利用上市公司2004-2007年间的数据分别从静态和动态角度检验机构投资者和各类机构投资者是否可以在选股表现出对信息的解读优势。我们发现只要是机构投资者持股的上市公司,不管机构投资者持股比例的高低或持股机构数目的多少,这些公司都会选择信息透明度评级较好的公司持股。这种结果无论是采用滞后一期还是工具变量的回归检验都同样存在。而且在动态检验中,机构投资者也会基于信息透明度评级变化做出积极的加仓或减仓反应。
在修正Jones模型的基础上,根据公司是否存在以行业业绩为动机和避亏为动机的盈余管理,把研究样本划分为四组。采用2004-2007年间的非平衡面板随机效应回归发现:机构投资者持股可以抑制盈余管理,只存在管理层不存在为达行业目标业绩和报告盈余避亏压力的时候;当管理层存在以行业业绩为目标的压力时,机构投资者不仅不可抑制,还会加大公司盈余管理程度;短线型机构投资者会加大公司盈余管理,仅当管理层存在以行业业绩为目标压力时。在管理层不存在为达行业目标业绩和报告盈余避亏压力的时候,短线型机构投资者对盈余管理的抑制作用;长线型机构投资者可以抑制公司盈余管理,仅仅在管理层不存在以行业业绩为目标的压力时。
选用以行业调整后的息税前利润和主营业务资产收益率为公司业绩的代理指标,来检验机构投资者在公司治理中是扮演有效监督者还是利益攫取者角色。结果发现在机构持股比例较高或持股机构数目较多的公司中,机构投资者会对管理层实施有效的监督,提升公司业绩,表现出有效监督者角色;在机构持股比例较低或持股机构数目较少的公司中,机构投资者可能会和管理层合谋,对公司业绩产生负面作用,表现的是利益攫取者角色。而且机构投资者表现出监督角色还是利益攫取者角色,仅仅与机构投资者在公司中持股比例高中低和持股机构数目的多中少有关,而与由何种类型的机构投资者持股无关,这个结果无论是采用滞后一年的数据还是采用工具变量的两阶段回归中都是存在的。
可见,我们的研究至少有以下发现:我国机构投资者基于信息优势的选股能力已经呈现;机构投资者并一定会抑制盈余管理,取决管理层盈余管理的动机;在持股比例较高或机构持股数目较多公司中,机构投资者表现出监督者角色,可以提升公司业绩。同时,这些结果在股权分置改革前后表现出一致性。
本文的创新之处有:(1)以信息透明度为视角,对机构投资者的选股能力从静态和动态角度同时进行检验。针对目前国内研究中,对机构投资者选股能力的研究仅仅局限于对有无机构投资者持股的样本间的T检验或公司特征的对比分析。本文从信息传递机理,对机构投资者的信息解读优势进行理论分析的同时,实证检验发现短线型机构投资者和长线型机构投资者都具有信息解读优势,会选择信息透明度评级较高的公司持股,这种优势不仅在机构投资者决定是否持股时存在,而且在持股公司的信息透明度发生变化时,机构投资者也会做出积极的加仓或减仓反映。(2)从管理层动机角度研究机构投资者持股与盈余管理的关系。发现机构投资者是否可以抑制盈余管理取决于与管理层的“较量”。区别于以往研究盈余管理仅仅局限Jones模型或对其简单的修正,本文结合最有可能出现盈余管理的两种情况:是否存在以行业业绩为目标的盈余管理和以避亏为目标的盈余管理,把研究样本划分为四组。发现在不存在以行业业绩为目标的公司,不管被何种类型的机构投资者持股,都可以抑制管理层的盈余管理。反之,机构投资者会加大盈余管理的程度。(3)基于成本与收益理论框架分析的同时,实证发现我国机构投资者在公司治理中同时表现出监督者角色和利益攫取者角色,何时表现出何种角色取决于公司中机构持股比例的高低和持股机构数目的多少。这个发现对以前的研究中关于机构投资者对公司业绩的作用一直存在正反两方面的声音有了一个比较清晰的回答。这就说,只有机构投资者在该公司中拥有的足够的话语权,其才有动力和能力表现出监督者的角色。
In 1998, Jintai Fund and Kaiyuan Fund issued in public. That is to say, institutional investors had opened officially in China. China's regulatory authorities support institutional investors’development in many ways,After nearly a decade of development, generally speaking,the role of institutional investors show two sides: in one side, Institutional investors’victory in“Shengli”event; Zhongxin Company "H-Share" program aborted and the institutional investors play their important role in share structure reform. Those cases evidence that institutional investors have begun to "wake up" and play an active role in capital market. However,there are often discordant incidents,Such as 2000's "Inside Story of the Fund”,“herd behavior”and so on. The institutional investors have brought good and bad effect in meanwhile. The people doubt that institutional investors’role in exchange market of China,as well as questioned the principles and policies of institutional investors’development.
Through the play game and the proportion of institutional investors holding affect analysis, we use the institutional investors’sixteen quarter holding data from 2004 to 2007 of non-financial listed companies in China. Holdings of institutional investors divided into different situation: One situation is divided by institutional investors’holding company. According to one-third site of institutional investors’holding proportion,we grouped the sample into three groups,which is high proportion institutional ownership companies, median proportion institutional ownership companies and low proportion institutional ownership companies. According to one-third site of institutional investors’holding number,we grouped the sample into three groups,which is high number institutional ownership companies,median number institutional ownership companies and low number institutional ownership companies. The other situation,according to the investment horizon,which is greater than two quarters or not, institutional investors can divided into short-term and long-term type.
We use the integrity files’the disclosure rating results as the measure of the information transparency. Use static and dynamic model to test whether institutional investors can show information interpretation in the selective behavior,the data is from 2004 to 2007 of non-financial listed companies in China. We found that the company as long as holding by institutional investors,Regardless of the proportion of institutional investors shareholding or the number of institutional investors in the company,all institutional investors will choose a better information transparency company to hold, This result existed equally regardless of lag one year or instrumental variables regression test. Such preferences exist not only in static test,but also in dynamic test,Institutional investors would change position according to the transparency of information. Difference is that in a dynamic regression,the long-term institutional investors’shareholding will not change according to the rating transparency of information upward or downward change. These results indicate that the selective behavior of institutional investors are already exist,regardless of short-term institutional investors or long-term institutional investors, they would choose a relatively high rating company to position,the different is the long-term institutional investors’behavior is more stable .
Based on the modified Jones(1991)model,according to whether exist industry performance’s target and avoid loss objectives of earnings management,we divided the study sample into four groups,we use non-equilibrium random effects panel data regression from 2004 to 2007, the result is that, institutional investors can inhibit earning management which the company does not exist industry performance target’s and avoid loss objectives. In contrast,institutional investors will increase the extent of earnings management. In the no profit-target earnings management’s company, only short-term institutional investors can inhibit earnings management; In the presence of profit target earnings management’company,short-term and long-term institutional investors have shown the role of earnings management suppression. This result shows that:Institutional investors could curb earnings management, largely depends on its play game result between the management and institutional investors.
We selected the industry-adjusted earning before interest and tax and industry-adjusted the income from principal operations return on equity to evaluation the company's performance, to examine institutional investors in corporate governance is to play an effective watchdog role or to grab the interest. The results showed that: A higher proportion of institutional shareholding or more number of shareholding institutional investors in company, Institutional investors can effective monitor on the management and enhance earnings performance; Lower percentage of institutional investors or a small number of institutions holding companies,institutional investors can collusion management and may damage the interests of other shareholders,have a negative role in the company performance. We further test also found that:whether Institutional investors have a positive or negative impact on the company performance,Only relevant to institutional investors shareholding in the company' is high or low and the number of institutions is more or less.
In this dissertation,the innovations are: First,for persecution of information transparency,we test institutional investors’selection ability from static and dynamic model at the same time. For the current study, Institutional investors’selection ability on stock limited T-test between sample of institutional investors holding and non-institutional investors’holdings. In this thesis,from the perspective of information transmission channels,on theoretical analysis, we think that institutional investors have the advantages of interpretation information,at the same time; Empirical research found that the institutional investors, both short-term institutional investors and long-term institutional investor,have the advantage of interpretation information. The advantages of interpretation information not only existed institutional investors’selection behavior,but also existed institutional investors will make a positive or negative reflection according to the changes information transparency.
Second,we view the relationship between institutional investors holding and earnings management from the management motivation point. We found that whether institutional investors could curb earnings management depends on the "strength”between management and institutional and management. Make a distinction from previous studies; earning management only confined to Jones model or its simple amendments,in this thesis,we divided the sample into four sub-samples according to the two situations that may bring earning management. The study found that institutional investors can inhibit the management of earnings management,no matter what type of institutions investors,if there is no motivation to industry performance target for the company In contrast, institutional investors will increase the extent of earnings management.
Finally,based on the framework of costs and benefits analysis,empirical research found that institutional investors demonstrate supervisor role and grabber role at the same time in China. When shown what role in the company depends on the level of ownership and the number of institutional investors. In the previous study,the role of institutional investors in the company's performance had been both positive and negative voices,in this thesis,the conclusion is clear. That is to say,only institutional investors in the company have sufficient right to speak,their have the incentive and ability to demonstrate supervisors’role.
在博弈模型和机构投资者持股比例效应的分析的基础上,利用中国非金融类上市公司2004-2007年间16个季度中机构投资者持股数据,对机构投资者持股不同情况进行划分:其一是对机构投资者持股的公司划分。根据机构持股比例的三分位点把公司分为机构持股高比例公司、机构持股中比例公司和机构持股低比例公司;根据持股机构总数目的三分位点把公司分为持股机构多数目公司、持股机构中数目公司和持股机构少数目公司。其二根据持股时间是否大于两个季度把机构投资者分为短线型机构投资者和长线型机构投资者。
采用深交所披露的诚信档案中的评级结果作为公司信息透明度的衡量指标,利用上市公司2004-2007年间的数据分别从静态和动态角度检验机构投资者和各类机构投资者是否可以在选股表现出对信息的解读优势。我们发现只要是机构投资者持股的上市公司,不管机构投资者持股比例的高低或持股机构数目的多少,这些公司都会选择信息透明度评级较好的公司持股。这种结果无论是采用滞后一期还是工具变量的回归检验都同样存在。而且在动态检验中,机构投资者也会基于信息透明度评级变化做出积极的加仓或减仓反应。
在修正Jones模型的基础上,根据公司是否存在以行业业绩为动机和避亏为动机的盈余管理,把研究样本划分为四组。采用2004-2007年间的非平衡面板随机效应回归发现:机构投资者持股可以抑制盈余管理,只存在管理层不存在为达行业目标业绩和报告盈余避亏压力的时候;当管理层存在以行业业绩为目标的压力时,机构投资者不仅不可抑制,还会加大公司盈余管理程度;短线型机构投资者会加大公司盈余管理,仅当管理层存在以行业业绩为目标压力时。在管理层不存在为达行业目标业绩和报告盈余避亏压力的时候,短线型机构投资者对盈余管理的抑制作用;长线型机构投资者可以抑制公司盈余管理,仅仅在管理层不存在以行业业绩为目标的压力时。
选用以行业调整后的息税前利润和主营业务资产收益率为公司业绩的代理指标,来检验机构投资者在公司治理中是扮演有效监督者还是利益攫取者角色。结果发现在机构持股比例较高或持股机构数目较多的公司中,机构投资者会对管理层实施有效的监督,提升公司业绩,表现出有效监督者角色;在机构持股比例较低或持股机构数目较少的公司中,机构投资者可能会和管理层合谋,对公司业绩产生负面作用,表现的是利益攫取者角色。而且机构投资者表现出监督角色还是利益攫取者角色,仅仅与机构投资者在公司中持股比例高中低和持股机构数目的多中少有关,而与由何种类型的机构投资者持股无关,这个结果无论是采用滞后一年的数据还是采用工具变量的两阶段回归中都是存在的。
可见,我们的研究至少有以下发现:我国机构投资者基于信息优势的选股能力已经呈现;机构投资者并一定会抑制盈余管理,取决管理层盈余管理的动机;在持股比例较高或机构持股数目较多公司中,机构投资者表现出监督者角色,可以提升公司业绩。同时,这些结果在股权分置改革前后表现出一致性。
本文的创新之处有:(1)以信息透明度为视角,对机构投资者的选股能力从静态和动态角度同时进行检验。针对目前国内研究中,对机构投资者选股能力的研究仅仅局限于对有无机构投资者持股的样本间的T检验或公司特征的对比分析。本文从信息传递机理,对机构投资者的信息解读优势进行理论分析的同时,实证检验发现短线型机构投资者和长线型机构投资者都具有信息解读优势,会选择信息透明度评级较高的公司持股,这种优势不仅在机构投资者决定是否持股时存在,而且在持股公司的信息透明度发生变化时,机构投资者也会做出积极的加仓或减仓反映。(2)从管理层动机角度研究机构投资者持股与盈余管理的关系。发现机构投资者是否可以抑制盈余管理取决于与管理层的“较量”。区别于以往研究盈余管理仅仅局限Jones模型或对其简单的修正,本文结合最有可能出现盈余管理的两种情况:是否存在以行业业绩为目标的盈余管理和以避亏为目标的盈余管理,把研究样本划分为四组。发现在不存在以行业业绩为目标的公司,不管被何种类型的机构投资者持股,都可以抑制管理层的盈余管理。反之,机构投资者会加大盈余管理的程度。(3)基于成本与收益理论框架分析的同时,实证发现我国机构投资者在公司治理中同时表现出监督者角色和利益攫取者角色,何时表现出何种角色取决于公司中机构持股比例的高低和持股机构数目的多少。这个发现对以前的研究中关于机构投资者对公司业绩的作用一直存在正反两方面的声音有了一个比较清晰的回答。这就说,只有机构投资者在该公司中拥有的足够的话语权,其才有动力和能力表现出监督者的角色。
In 1998, Jintai Fund and Kaiyuan Fund issued in public. That is to say, institutional investors had opened officially in China. China's regulatory authorities support institutional investors’development in many ways,After nearly a decade of development, generally speaking,the role of institutional investors show two sides: in one side, Institutional investors’victory in“Shengli”event; Zhongxin Company "H-Share" program aborted and the institutional investors play their important role in share structure reform. Those cases evidence that institutional investors have begun to "wake up" and play an active role in capital market. However,there are often discordant incidents,Such as 2000's "Inside Story of the Fund”,“herd behavior”and so on. The institutional investors have brought good and bad effect in meanwhile. The people doubt that institutional investors’role in exchange market of China,as well as questioned the principles and policies of institutional investors’development.
Through the play game and the proportion of institutional investors holding affect analysis, we use the institutional investors’sixteen quarter holding data from 2004 to 2007 of non-financial listed companies in China. Holdings of institutional investors divided into different situation: One situation is divided by institutional investors’holding company. According to one-third site of institutional investors’holding proportion,we grouped the sample into three groups,which is high proportion institutional ownership companies, median proportion institutional ownership companies and low proportion institutional ownership companies. According to one-third site of institutional investors’holding number,we grouped the sample into three groups,which is high number institutional ownership companies,median number institutional ownership companies and low number institutional ownership companies. The other situation,according to the investment horizon,which is greater than two quarters or not, institutional investors can divided into short-term and long-term type.
We use the integrity files’the disclosure rating results as the measure of the information transparency. Use static and dynamic model to test whether institutional investors can show information interpretation in the selective behavior,the data is from 2004 to 2007 of non-financial listed companies in China. We found that the company as long as holding by institutional investors,Regardless of the proportion of institutional investors shareholding or the number of institutional investors in the company,all institutional investors will choose a better information transparency company to hold, This result existed equally regardless of lag one year or instrumental variables regression test. Such preferences exist not only in static test,but also in dynamic test,Institutional investors would change position according to the transparency of information. Difference is that in a dynamic regression,the long-term institutional investors’shareholding will not change according to the rating transparency of information upward or downward change. These results indicate that the selective behavior of institutional investors are already exist,regardless of short-term institutional investors or long-term institutional investors, they would choose a relatively high rating company to position,the different is the long-term institutional investors’behavior is more stable .
Based on the modified Jones(1991)model,according to whether exist industry performance’s target and avoid loss objectives of earnings management,we divided the study sample into four groups,we use non-equilibrium random effects panel data regression from 2004 to 2007, the result is that, institutional investors can inhibit earning management which the company does not exist industry performance target’s and avoid loss objectives. In contrast,institutional investors will increase the extent of earnings management. In the no profit-target earnings management’s company, only short-term institutional investors can inhibit earnings management; In the presence of profit target earnings management’company,short-term and long-term institutional investors have shown the role of earnings management suppression. This result shows that:Institutional investors could curb earnings management, largely depends on its play game result between the management and institutional investors.
We selected the industry-adjusted earning before interest and tax and industry-adjusted the income from principal operations return on equity to evaluation the company's performance, to examine institutional investors in corporate governance is to play an effective watchdog role or to grab the interest. The results showed that: A higher proportion of institutional shareholding or more number of shareholding institutional investors in company, Institutional investors can effective monitor on the management and enhance earnings performance; Lower percentage of institutional investors or a small number of institutions holding companies,institutional investors can collusion management and may damage the interests of other shareholders,have a negative role in the company performance. We further test also found that:whether Institutional investors have a positive or negative impact on the company performance,Only relevant to institutional investors shareholding in the company' is high or low and the number of institutions is more or less.
In this dissertation,the innovations are: First,for persecution of information transparency,we test institutional investors’selection ability from static and dynamic model at the same time. For the current study, Institutional investors’selection ability on stock limited T-test between sample of institutional investors holding and non-institutional investors’holdings. In this thesis,from the perspective of information transmission channels,on theoretical analysis, we think that institutional investors have the advantages of interpretation information,at the same time; Empirical research found that the institutional investors, both short-term institutional investors and long-term institutional investor,have the advantage of interpretation information. The advantages of interpretation information not only existed institutional investors’selection behavior,but also existed institutional investors will make a positive or negative reflection according to the changes information transparency.
Second,we view the relationship between institutional investors holding and earnings management from the management motivation point. We found that whether institutional investors could curb earnings management depends on the "strength”between management and institutional and management. Make a distinction from previous studies; earning management only confined to Jones model or its simple amendments,in this thesis,we divided the sample into four sub-samples according to the two situations that may bring earning management. The study found that institutional investors can inhibit the management of earnings management,no matter what type of institutions investors,if there is no motivation to industry performance target for the company In contrast, institutional investors will increase the extent of earnings management.
Finally,based on the framework of costs and benefits analysis,empirical research found that institutional investors demonstrate supervisor role and grabber role at the same time in China. When shown what role in the company depends on the level of ownership and the number of institutional investors. In the previous study,the role of institutional investors in the company's performance had been both positive and negative voices,in this thesis,the conclusion is clear. That is to say,only institutional investors in the company have sufficient right to speak,their have the incentive and ability to demonstrate supervisors’role.
引文
5详见Levitt在1998年9月28日在纽约大学发表的题为《数字游戏》的演讲。
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