资本市场中公司治理的信号机制研究
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摘要
全球经济一体化、国内经济转轨和新兴市场并存背景下,中国资本市场在我国市场经济体制改革中具有重要的战略地位和意义。但近几年资本市场的大幅波动和持续低迷严重挫伤了广大投资者的信心和投资积极性。究其原因,业界分析多数归咎于国内、国际的宏观经济环境和政策,而作为资本市场微观基础的公司治理却经常被忽视。基于我国资本市场资源配置效率低、上市公司与外部投资者信息严重不对称和我国上市公司整体治理水平不高的现状,本文旨在从独立第三方和监管者的视角,探讨和验证资本市场中是否存在一种公司治理信息的传导机制,在验证这种机制存在性与稳定性的基础上,从机制设计的角度提出对资本市场中现有公司治理信息第三方显示机制的设计和优化思路。理论分析发现,该机制可实现公司治理信息在上市公司与投资者之间的有效传递,在降低信息不对称程度和促进上市公司整体治理水平提高的同时,有助于提高资本市场的有效性。为此,本文主要进行了以下五方面的研究：
首先,假设资本市场中存在公司治理信号机制,并将其界定为公司治理自发传导机制和第三方显示机制两种。分析发现,公司治理的自发传导机制是资本市场中自然存在的信息传导机制,它主要通过投资者异质信念这一中介变量实现对股票超额收益和投资风险的影响,但在抗干扰性、可控性和自我实施性等方面存在明显不足。为解决这一机制存在的不足,我们提出构建公司治理股价指数这一公司治理信息第三方显示机制的设想,即运用公司治理专业评价机构对上市公司治理水平的评价结果作为主要选股依据,根据国际惯例和指数设计规则,编制和公开发布公司治理股价指数,以实现公司治理信息的在资本市场中的有效传递。
其次,基于上市公司与广大投资者之间的信息不对称特征,我们对两种公司治理信号机制构建了动态博弈模型,通过模型求解和机制有效性分析发现：公司治理自发传导机制不满足博弈主体的参与约束和激励相容,不具有信息传递的有效性,无助于促进上市公司整体治理水平和资本市场有效性的提高；公司治理第三方显示机制能够满足有效机制的条件,能激励和约束上市公司主动提高治理水平和真实披露信息,有助于降低市场中信息的不对称程度和促进市场中上市公司整体治理水平的提高,从而有利于促进资本市场有效性的提高。
第三,实证检验了资本市场中公司治理自发传导机制的存在性与稳定性。借鉴投资者异质信念理论,我们将其界定为公司治理信息通过投资者异质信念这一中介变量影响股票超额收益和投资风险的传导机制。运用中国沪深两市A股上市公司7年(2004-2010)的数据,实证分析发现：我国资本市场中存在公司治理的自发传导机制,但这种传导机制是非常不稳定和不可控的,更不具有自我实施功能。
第四,分析验证了资本市场中现有公司治理第三方信息显示机制的不足。通过对国内现有的5种公司治理股价指数分析,发现它们在公司治理信息传递方面存在诸多不足,在此基础上,采用上证公司治理股价指数3年的成分股数据,实证检验了这一第三方显示机制对公司治理信息传递的有效性,结果显示,现有公司治理股价指数无法在资本市场中形成有效的公司治理传导机制。
第五,公司治理第三方显示机制的设计优化。基于公司治理自发传导机制和现有第三方显示机制的不足,我国资本市场迫切需要一个有效的公司治理第三方显示机制,即重新编制和发布一个公司治理股价指数。为此,我们根据国际惯例和一般股价指数设计原则,通过选用国内独立第三方、权威公司治理评价机构的评价结果作为主要选股依据,对公司治理股价指数的设计框架和方案进行了优化。分析发现,通过对公司治理治理评价指标的动态调整和指数间特征值的比较分析,可对选股依据和成分股数量进行控制,从而实现对这一机制的控制。从优化后指数历史数据的市场表现来看,优于大盘指数和现有公司治理股价指数,非常适合在我国资本市场中形成有效的公司治理信息传导机制。
根据本文的研究结论,我们提出和设计优化的公司治理第三方显示机制,在丰富公司治理应用研究的同时,有助于引导广大投资者树立理性投资和价值投资理念,相对于加强政府监管和惩处违法、违规行为力度等措施,它是资本市场中信息传递缺陷的有益补充,有利于创造一个有效、稳定的资本市场,让投资者把资金投向具有更高效率的企业,这对促进实体经济的增长具有重要意义。同时,本文的研究结论可为管理层、市场组织者提供理论借鉴和决策启示。
The Chinese capital market is in a historical stage which coexisted with integration of the global economy, economic transformation and emerging markets, and it has an important strategic position and significance for the reform of Chinese market economic system. But in recent years, the sharp fluctuations and the continued downturn in capital markets injury the confidence and enthusiasm of most investors seriously. Investigate its reason, industry analysis majority blame on the domestic and international macro-economic environment and policy, and as the micro-foundation of capital market, the corporate governance are often been ignored. Based on the low allocation efficiency of resource, serious asymmetry of information between listed companies and external investors, and quo of overall low governance level of listed companies in Chinese capital market, and from a perspective of independent third-party and regulators, we aims to analysis and verify the existence of a information transmission mechanisms of corporate governance, and propose the idea of design a third-party information display mechanism of corporate governance from the perspective of mechanism design. Theoretical analysis found that the mechanism could transfer corporate governance information effectively between listed companies and investors, it also help to reduce the degree of information asymmetry, promote the improvement of the overall governance level of the listed companies, and improve the effectiveness of the capital market. To this end, our study mainly includes five aspects as following:
First, we assumed that the signaling mechanisms of corporate governance has existed in the capital markets, and defined as spontaneous transmission mechanisms and third-party display mechanism of corporate governance. After analysis, we found that the spontaneous transfer mechanism of corporate governance is an information transmission mechanism which naturally existed in the capital markets. It is influence the abnormal return and investment risk of stock mainly through the investors' heterogeneous beliefs which as a mediating variables, but it is obviously insufficient in the anti-interference, controllable and self-enforcing. In order to solve the shortcomings of this mechanism, we propose the idea of conduct a stock price index of corporate governance as a third-party display mechanism. That is to say, in order to achieve effective information transfer of corporate governance in the capital market, we could conduct and public release a stock price index of corporate governance according to international practice and index design rules, and using the evaluation results of corporate governance by professional agency to select the sample stocks.
Secondly, based on the information asymmetries between listed company and the majority of investors, we constructed the dynamic game models for the two signal mechanisms of corporate governance. Through results of the model solution and analysis of effectiveness to the mechanisms, we found that spontaneous transmission mechanism of corporate governance does not meet the participation constraint and incentive compatibility constraint of game partners, and inefficiency for a information transmission, does not contribute to the promotion of overall governance level of listed companies, can't help to the improve the efficiency of the capital market; We also found that third-party display mechanism of corporate governance is an effective mechanism which able to meet the conditions of mechanism, it could incentive and constraints the listed companies have taken the initiative to improve governance level and disclose information truly, and it help to reduce the degree of information asymmetry, and promote the overall governance level of listed companies in the market. Therefore, this mechanism could help to promote the improvement of the efficiency of the capital market.
Third, empirical test the existence and stability of spontaneous transmission mechanism of corporate governance. Based on the theory of investors'heterogeneous beliefs, we defined investors'heterogeneous beliefs as an intermediary variable which influence the abnormal return and invest risk of stock. Use the data of China's A-share listed companies in stock exchange of Shanghai and Shenzhen among seven years (2004-2010), the results suggests that the spontaneous transmission mechanisms of corporate governance has existed in Chinese capital market, but it is very unstable and uncontrollable, even though it does not have a self-enforcing function.
Fourth, analysis and test the shortage of existing third-party display mechanism of corporate governance. Through analysis the five existing stock price indexes of corporate governance, we found they had many deficiencies in corporate governance information transfer, based on this, we empirical test the effectiveness of this third-party display mechanism by using three years date of SSE stock price index of corporate governance, the results shows that the transmission mechanism of corporate governance can't be formed by the existing stock price index of corporate governance in capital markets.
Fifth, the design optimization of third-party display mechanism of corporate governance. Based on the lack of both spontaneous transmission mechanisms and existing third-party display mechanism of Corporate Governance, Chinese capital market is need an effective third-party display mechanism of corporate governance urgently, that is re-conduct and public released an stock price index of corporate governance. To this end, in accordance with the international practice and the design principles of the general stock index, by using the evaluation results of corporate governance which evaluated by the domestic independent, authority and third-party agency as the main basis of the sample stock selection, we optimized the design frame and program of stock price index of Corporate Governance. Through dynamic adjustment of the Evaluation System and comparative analysis of index eigenvalue, we achieve the controllability of the third-party display mechanism. Comparative analysis the market performance of the optimized indexes by using historical data, we found it is better than general market index and existing stock price index, this indicates the optimized index is very suitable to form an effective information transmission mechanism of corporate governance in Chinese capital market.
According to the conclusions of this study, the third-party display mechanism which we propose and conduct is help to guide investors to establish the philosophy of rational and value investment, relative to the measures of strengthen government regulation and punishment of illegal and violations, it is an useful supplement for the applied research of corporate governance, and it is a useful complement to information transmission defects of capital market. This mechanism could contribute to creating an effective, stable capital markets, and help investors put money into a more efficient enterprise, it also has a great significance to promoting the growth of the real economy. Meanwhile, the conclusions of this study provide a theoretical reference and revelation of decision-making for the management and market organizers.
首先,假设资本市场中存在公司治理信号机制,并将其界定为公司治理自发传导机制和第三方显示机制两种。分析发现,公司治理的自发传导机制是资本市场中自然存在的信息传导机制,它主要通过投资者异质信念这一中介变量实现对股票超额收益和投资风险的影响,但在抗干扰性、可控性和自我实施性等方面存在明显不足。为解决这一机制存在的不足,我们提出构建公司治理股价指数这一公司治理信息第三方显示机制的设想,即运用公司治理专业评价机构对上市公司治理水平的评价结果作为主要选股依据,根据国际惯例和指数设计规则,编制和公开发布公司治理股价指数,以实现公司治理信息的在资本市场中的有效传递。
其次,基于上市公司与广大投资者之间的信息不对称特征,我们对两种公司治理信号机制构建了动态博弈模型,通过模型求解和机制有效性分析发现：公司治理自发传导机制不满足博弈主体的参与约束和激励相容,不具有信息传递的有效性,无助于促进上市公司整体治理水平和资本市场有效性的提高；公司治理第三方显示机制能够满足有效机制的条件,能激励和约束上市公司主动提高治理水平和真实披露信息,有助于降低市场中信息的不对称程度和促进市场中上市公司整体治理水平的提高,从而有利于促进资本市场有效性的提高。
第三,实证检验了资本市场中公司治理自发传导机制的存在性与稳定性。借鉴投资者异质信念理论,我们将其界定为公司治理信息通过投资者异质信念这一中介变量影响股票超额收益和投资风险的传导机制。运用中国沪深两市A股上市公司7年(2004-2010)的数据,实证分析发现：我国资本市场中存在公司治理的自发传导机制,但这种传导机制是非常不稳定和不可控的,更不具有自我实施功能。
第四,分析验证了资本市场中现有公司治理第三方信息显示机制的不足。通过对国内现有的5种公司治理股价指数分析,发现它们在公司治理信息传递方面存在诸多不足,在此基础上,采用上证公司治理股价指数3年的成分股数据,实证检验了这一第三方显示机制对公司治理信息传递的有效性,结果显示,现有公司治理股价指数无法在资本市场中形成有效的公司治理传导机制。
第五,公司治理第三方显示机制的设计优化。基于公司治理自发传导机制和现有第三方显示机制的不足,我国资本市场迫切需要一个有效的公司治理第三方显示机制,即重新编制和发布一个公司治理股价指数。为此,我们根据国际惯例和一般股价指数设计原则,通过选用国内独立第三方、权威公司治理评价机构的评价结果作为主要选股依据,对公司治理股价指数的设计框架和方案进行了优化。分析发现,通过对公司治理治理评价指标的动态调整和指数间特征值的比较分析,可对选股依据和成分股数量进行控制,从而实现对这一机制的控制。从优化后指数历史数据的市场表现来看,优于大盘指数和现有公司治理股价指数,非常适合在我国资本市场中形成有效的公司治理信息传导机制。
根据本文的研究结论,我们提出和设计优化的公司治理第三方显示机制,在丰富公司治理应用研究的同时,有助于引导广大投资者树立理性投资和价值投资理念,相对于加强政府监管和惩处违法、违规行为力度等措施,它是资本市场中信息传递缺陷的有益补充,有利于创造一个有效、稳定的资本市场,让投资者把资金投向具有更高效率的企业,这对促进实体经济的增长具有重要意义。同时,本文的研究结论可为管理层、市场组织者提供理论借鉴和决策启示。
The Chinese capital market is in a historical stage which coexisted with integration of the global economy, economic transformation and emerging markets, and it has an important strategic position and significance for the reform of Chinese market economic system. But in recent years, the sharp fluctuations and the continued downturn in capital markets injury the confidence and enthusiasm of most investors seriously. Investigate its reason, industry analysis majority blame on the domestic and international macro-economic environment and policy, and as the micro-foundation of capital market, the corporate governance are often been ignored. Based on the low allocation efficiency of resource, serious asymmetry of information between listed companies and external investors, and quo of overall low governance level of listed companies in Chinese capital market, and from a perspective of independent third-party and regulators, we aims to analysis and verify the existence of a information transmission mechanisms of corporate governance, and propose the idea of design a third-party information display mechanism of corporate governance from the perspective of mechanism design. Theoretical analysis found that the mechanism could transfer corporate governance information effectively between listed companies and investors, it also help to reduce the degree of information asymmetry, promote the improvement of the overall governance level of the listed companies, and improve the effectiveness of the capital market. To this end, our study mainly includes five aspects as following:
First, we assumed that the signaling mechanisms of corporate governance has existed in the capital markets, and defined as spontaneous transmission mechanisms and third-party display mechanism of corporate governance. After analysis, we found that the spontaneous transfer mechanism of corporate governance is an information transmission mechanism which naturally existed in the capital markets. It is influence the abnormal return and investment risk of stock mainly through the investors' heterogeneous beliefs which as a mediating variables, but it is obviously insufficient in the anti-interference, controllable and self-enforcing. In order to solve the shortcomings of this mechanism, we propose the idea of conduct a stock price index of corporate governance as a third-party display mechanism. That is to say, in order to achieve effective information transfer of corporate governance in the capital market, we could conduct and public release a stock price index of corporate governance according to international practice and index design rules, and using the evaluation results of corporate governance by professional agency to select the sample stocks.
Secondly, based on the information asymmetries between listed company and the majority of investors, we constructed the dynamic game models for the two signal mechanisms of corporate governance. Through results of the model solution and analysis of effectiveness to the mechanisms, we found that spontaneous transmission mechanism of corporate governance does not meet the participation constraint and incentive compatibility constraint of game partners, and inefficiency for a information transmission, does not contribute to the promotion of overall governance level of listed companies, can't help to the improve the efficiency of the capital market; We also found that third-party display mechanism of corporate governance is an effective mechanism which able to meet the conditions of mechanism, it could incentive and constraints the listed companies have taken the initiative to improve governance level and disclose information truly, and it help to reduce the degree of information asymmetry, and promote the overall governance level of listed companies in the market. Therefore, this mechanism could help to promote the improvement of the efficiency of the capital market.
Third, empirical test the existence and stability of spontaneous transmission mechanism of corporate governance. Based on the theory of investors'heterogeneous beliefs, we defined investors'heterogeneous beliefs as an intermediary variable which influence the abnormal return and invest risk of stock. Use the data of China's A-share listed companies in stock exchange of Shanghai and Shenzhen among seven years (2004-2010), the results suggests that the spontaneous transmission mechanisms of corporate governance has existed in Chinese capital market, but it is very unstable and uncontrollable, even though it does not have a self-enforcing function.
Fourth, analysis and test the shortage of existing third-party display mechanism of corporate governance. Through analysis the five existing stock price indexes of corporate governance, we found they had many deficiencies in corporate governance information transfer, based on this, we empirical test the effectiveness of this third-party display mechanism by using three years date of SSE stock price index of corporate governance, the results shows that the transmission mechanism of corporate governance can't be formed by the existing stock price index of corporate governance in capital markets.
Fifth, the design optimization of third-party display mechanism of corporate governance. Based on the lack of both spontaneous transmission mechanisms and existing third-party display mechanism of Corporate Governance, Chinese capital market is need an effective third-party display mechanism of corporate governance urgently, that is re-conduct and public released an stock price index of corporate governance. To this end, in accordance with the international practice and the design principles of the general stock index, by using the evaluation results of corporate governance which evaluated by the domestic independent, authority and third-party agency as the main basis of the sample stock selection, we optimized the design frame and program of stock price index of Corporate Governance. Through dynamic adjustment of the Evaluation System and comparative analysis of index eigenvalue, we achieve the controllability of the third-party display mechanism. Comparative analysis the market performance of the optimized indexes by using historical data, we found it is better than general market index and existing stock price index, this indicates the optimized index is very suitable to form an effective information transmission mechanism of corporate governance in Chinese capital market.
According to the conclusions of this study, the third-party display mechanism which we propose and conduct is help to guide investors to establish the philosophy of rational and value investment, relative to the measures of strengthen government regulation and punishment of illegal and violations, it is an useful supplement for the applied research of corporate governance, and it is a useful complement to information transmission defects of capital market. This mechanism could contribute to creating an effective, stable capital markets, and help investors put money into a more efficient enterprise, it also has a great significance to promoting the growth of the real economy. Meanwhile, the conclusions of this study provide a theoretical reference and revelation of decision-making for the management and market organizers.
引文
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