上市公司随意停牌与投资者利益——来自中国资本市场的证据
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摘要
停牌制度的设计初衷是为了保护投资者利益,但近年来在中国股市却频繁发生上市公司的"随意停牌"现象。这些上市公司的随意停牌不但为国内投资者所诟病,而且引发了国际投资者与国际资本市场的负面回应。本文根据沪深交易所2016年5月出台的规范性文件,首次对上市公司的多种随意停牌行为进行了详细界定,并利用2014年6月至2016年5月的国内重大事项停牌数据,实证检验了随意停牌对于投资者利益的影响。研究发现:(1)相较于正常停牌,随意停牌平均造成了约4%的累计异常损失;(2)发生随意停牌的上市公司,更容易在停牌过程中出现内部人的私利行为;(3)随意停牌通过增加内部人的私利行为,引发了累计异常损失。这意味着上市公司的部分停牌行为并没有实现投资者保护的初衷,反而通过有助于公司内部人的私利行为损害了投资者利益。本研究为完善停牌制度和资本市场提供了重要的政策启示。
The trading halt system was originally designed to protect the interests of investors, but it can be highly controversial when exercised in practice. The trading halt system was established in China in 1998 and has been in place for about 20 years. However, in recent years, voluntary trading halts of listed companies have occurred frequently in the Chinese market, attracting close attention from Chinese regulatory institutions and international investors. The new phenomenon of voluntary trading halts differs from that in developed markets in that listed companies apply for trading halts arbitrarily, have overlong halting periods, do not follow relevant standard procedures, and fail to disclose information adequately. Within the range of literature reviewed, studies have not provided a systematic classification or conducted an empirical test of this phenomenon. Therefore, do voluntary trading halts in the Chinese market indeed harm the interests of investors? If so, how serious is the harm, and what is the mechanism behind such behavior?We answer these questions in three ways. First, we analyze the present situation of trading halts in China and theoretically analyze how voluntary trading halts may undermine the interests of investors by facilitating the private benefit behavior of insiders. Second, we define voluntary trading halts in detail from the perspectives of overlong halting periods and inadequate information disclosure in accordance with the regulations enacted by the Shanghai and Shenzhen Stock Exchanges of China in May 2016. Third, we use the event study method to test the impacts of voluntary trading halts on the interests of investors based on data for companies listed in China from June 2014 to May 2016.The empirical results show that voluntary trading halts cause significantly negative excess returns to investors regardless of whether the total sample or a propensity score matched sample is used. During the voluntary halting period, the private benefit behavior of insiders in the company is more likely to emerge. If the private benefit behavior occurs during the halting period, the negative abnormal returns caused by voluntary trading halts are greater. Furthermore, we find that the institutional investors are more likely to sell their shares after the voluntary trading halts. These results mean that the voluntary trading halts in the Chinese market do not achieve the original intention of protecting the interests of investors, but end up causing them harm by facilitating the private benefit behavior for some insiders. Therefore, to promote the effectiveness of the trading halt system, relevant Chinese authorities must strengthen new regulations that emphasize the requirements on trading halt periods and information disclosure, It is also necessary to pay attention to the design of the global market, which may help to regulate both the halting and private benefit behavior.We make three main contributions to the literature. First, based on the experience from the Chinese market, this paper provides empirical evidence of the damage of voluntary halts on investors and provides a new explanation for how trading halts can undermine the interests of investors by facilitating the private benefit behavior of insiders. The current theoretical explanations for trading halts on investors' interests mainly come from the cooling-off hypothesis and learn-by-trading model, which ignore imperfections in the institutional environment. Therefore, the findings of this paper extend the knowledge of the literature on trading halts. Second, studies of trading halts in the Chinese market have mainly focused on the types of halts in the early stages, such as routine halts and halts for abnormal fluctuations, and few studies have considered the problem of voluntary trading halts, which have concerned international investors in recent years. To the best of our knowledge, this paper is the first to provide a systematic classification and an empirical test of voluntary trading halts. Third, although the question of whether trading halts can protect the interests of investors is widely recognized as controversial, relevant evidence has mainly been concentrated in developed capital markets. This paper provides new evidence on trading halts in China from an emerging market perspective.
The trading halt system was originally designed to protect the interests of investors, but it can be highly controversial when exercised in practice. The trading halt system was established in China in 1998 and has been in place for about 20 years. However, in recent years, voluntary trading halts of listed companies have occurred frequently in the Chinese market, attracting close attention from Chinese regulatory institutions and international investors. The new phenomenon of voluntary trading halts differs from that in developed markets in that listed companies apply for trading halts arbitrarily, have overlong halting periods, do not follow relevant standard procedures, and fail to disclose information adequately. Within the range of literature reviewed, studies have not provided a systematic classification or conducted an empirical test of this phenomenon. Therefore, do voluntary trading halts in the Chinese market indeed harm the interests of investors? If so, how serious is the harm, and what is the mechanism behind such behavior?We answer these questions in three ways. First, we analyze the present situation of trading halts in China and theoretically analyze how voluntary trading halts may undermine the interests of investors by facilitating the private benefit behavior of insiders. Second, we define voluntary trading halts in detail from the perspectives of overlong halting periods and inadequate information disclosure in accordance with the regulations enacted by the Shanghai and Shenzhen Stock Exchanges of China in May 2016. Third, we use the event study method to test the impacts of voluntary trading halts on the interests of investors based on data for companies listed in China from June 2014 to May 2016.The empirical results show that voluntary trading halts cause significantly negative excess returns to investors regardless of whether the total sample or a propensity score matched sample is used. During the voluntary halting period, the private benefit behavior of insiders in the company is more likely to emerge. If the private benefit behavior occurs during the halting period, the negative abnormal returns caused by voluntary trading halts are greater. Furthermore, we find that the institutional investors are more likely to sell their shares after the voluntary trading halts. These results mean that the voluntary trading halts in the Chinese market do not achieve the original intention of protecting the interests of investors, but end up causing them harm by facilitating the private benefit behavior for some insiders. Therefore, to promote the effectiveness of the trading halt system, relevant Chinese authorities must strengthen new regulations that emphasize the requirements on trading halt periods and information disclosure, It is also necessary to pay attention to the design of the global market, which may help to regulate both the halting and private benefit behavior.We make three main contributions to the literature. First, based on the experience from the Chinese market, this paper provides empirical evidence of the damage of voluntary halts on investors and provides a new explanation for how trading halts can undermine the interests of investors by facilitating the private benefit behavior of insiders. The current theoretical explanations for trading halts on investors' interests mainly come from the cooling-off hypothesis and learn-by-trading model, which ignore imperfections in the institutional environment. Therefore, the findings of this paper extend the knowledge of the literature on trading halts. Second, studies of trading halts in the Chinese market have mainly focused on the types of halts in the early stages, such as routine halts and halts for abnormal fluctuations, and few studies have considered the problem of voluntary trading halts, which have concerned international investors in recent years. To the best of our knowledge, this paper is the first to provide a systematic classification and an empirical test of voluntary trading halts. Third, although the question of whether trading halts can protect the interests of investors is widely recognized as controversial, relevant evidence has mainly been concentrated in developed capital markets. This paper provides new evidence on trading halts in China from an emerging market perspective.
引文
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陈舒宁、张维、何枫、熊熊、金曦,2016:《中小板交易异动停牌制度有效性研究》,《系统工程学报》第6期。
丁慧、吕长江、黄海杰,2018:《社交媒体、投资者信息获取和解读能力与盈余预期——来自“上证e互动”平台的证据》,《经济研究》第1期。
郝云宏、朱炎娟、金杨华,2013:《大股东控制权私利行为模式研究:伦理决策的视角》,《中国工业经济》第6期。
侯青川、靳庆鲁、陈明端,2015:《经济发展、政府偏袒与公司发展——基于政府代理问题与公司代理问题的分析》,《经济研究》第1期。
胡婷、惠凯、彭红枫,2017:《异常波动停牌对股价波动性和流动性的影响研究——来自我国取消异常波动停牌的自然实验》,《金融研究》第9期。
黄本尧,2003:《中外停牌制度比较研究》,深圳证券交易所研究报告。
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姜付秀、马云飙、王运通,2015:《退出威胁能抑制控股股东私利行为吗?》,《管理世界》第5期。
孔东民、刘莎莎、应千伟,2013:《公司行为中的媒体角色:激浊扬清还是推波助澜?》,《管理世界》第7期。
李科、陆蓉,2011:《投资者有限理性与基金营销策略——基金大比例分红的证据》,《管理世界》第11期。
郦金梁、何诚颖、廖旦、何牧原,2018:《舆论影响力、有限关注与过度反应》,《经济研究》第3期。
李姗姗,2016:《中国上市公司股票停、复牌制度研究》,《上海经济研究》第6期。
梁上坤、陈冬华,2015:《大股东会侵犯管理层利益吗?——来自资金占用与管理层人员变更的经验证据》,《金融研究》第3期。
廖静池、李平、曾勇,2009:《中国股票市场停牌制度实施效果的实证研究》,《管理世界》第2期。
罗进辉,2013:《“国进民退”:好消息还是坏消息》,《金融研究》第5期。
苏冬蔚、倪博,2018:《转融券制度、卖空约束与股价变动》,《经济研究》第3期。
苏冬蔚、曾海舰,2009:《宏观经济因素与公司资本结构变动》,《经济研究》第12期。
谭洪涛、蔡利、蔡春,2011:《公允价值与股市过度反应——来自中国证券市场的经验证据》,《经济研究》第7期。
王朝阳、王振霞,2017:《涨跌停、融资融券与股价波动率——基于AH股的比较研究》,《经济研究》第4期。
王永钦、刘思远、杜巨澜,2014:《信任品市场的竞争效应与传染效应:理论和基于中国食品行业的事件研究》,《经济研究》第2期。
魏明海、黄琼宇、程敏英,2013:《家族企业关联大股东的治理角色——基于关联交易的视角》,《管理世界》第3期。
魏志华、李常青、吴育辉、黄佳佳,2017:《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》第7期。
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Abad, D., and R. Pascual, 2013, “Holding Back Volatility: Circuit Breakers, Price Limits, and Trading Halts”, in Baker, H. K., and H. Kiymaz (eds), Market Microstructure in Emerging and Developed Markets, John Wiley & Sons, Inc, 303—324.
Ahern, K. R., 2009, “Sample Selection and Event Study Estimation”, Journal of Empirical Finance, 16(3), 466—482.
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Corwin, S. A., and M. L. Lipson, 2000, “Order Flow and Liquidity around NYSE Trading Halts”, Journal of Finance, 55(4), 1771—1801.
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Frino, A., S. Lecce, and R. Segara, 2011, “The Impact of Trading Halts on Liquidity and Price Volatility: Evidence from the Australian Stock Exchange”, Pacific-Basin Finance Journal, 19(3), 298—307.
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(1)市场冷却假说,认为停牌向投资者提供了处理信息的额外时间,能够缓解市场情绪,降低交易成本,并减少内幕交易的发生(Corwin & Lipson,2000;Madura et al.,2006;Xu et al.,2014)。交易中学习模型,关注停牌的负面作用,认为持续的交易过程是促进信息融入价格的必要条件,而停牌制度破坏了交易的连续性,提高了市场机会成本,加剧了停牌后的股价波动(Lee et al.,1994;Christie et al.,2002;Frino et al.,2011)。
(2)例如,对于梅花生物(证券代码600873)在2015年12月16日至2016年5月25日的停牌,就有投资者在复牌前的“投资者说明会”上,公开质疑公司的长期停牌或为“假重组”、“故伎重演”等。详见2016年5月24日的《梅花生物科技集团股份有限公司关于终止筹划发行股份购买资产事项投资者说明会召开情况的公告》。
(3)其他重大事项包括签订重大合同或战略性协议、筹划购买或出售资产、员工持股计划或股权激励政策、对外投资、筹划控制权变更等。
(4)非公开发行类别,参考上交所《指引》第七条和第二十三条以及深交所《备忘录》第八条和第十九条;重大资产重组类别,参考上交所《指引》第七、第十和第十一条以及深交所《备忘录》第七条和第十九条;其他重大事项类别,参考上交所《指引》第七条、第二十九至三十一条以及深交所《备忘录》第九至十一、十九条。
(5)个股停复牌时间等信息均使用CSMAR数据库进行了再次核对。
(6)例如,假设股票A的平均变动趋势与市场整体保持一致(即β_i=1)。如果股票A在复牌前有5个交易日停牌,但同期市场整体仍在正常交易并且上涨3%,则该股票在复牌当日应当存在一个潜在的3%的正常补涨。
(7)上市公司被惩处与监管质询的事项,包括违规担保、挪用资产、会计舞弊、重大遗漏、误导性陈述和延迟披露等,而相关部门的处罚形式,则由出具警示函、公开处罚、公开批评、公开谴责以及要求其公开致歉等构成。
(8)Kothari & Warner(2007)指出,在检验股票价格对于事件的短期反应方面,实证结果一般具有较高的稳健性,受窗口期、实证模型等不同选择的影响较小。
(9)限于篇幅,本文部分表格未予罗列,感兴趣者可与作者联系。
陈舒宁、张维、何枫、熊熊、金曦,2016:《中小板交易异动停牌制度有效性研究》,《系统工程学报》第6期。
丁慧、吕长江、黄海杰,2018:《社交媒体、投资者信息获取和解读能力与盈余预期——来自“上证e互动”平台的证据》,《经济研究》第1期。
郝云宏、朱炎娟、金杨华,2013:《大股东控制权私利行为模式研究:伦理决策的视角》,《中国工业经济》第6期。
侯青川、靳庆鲁、陈明端,2015:《经济发展、政府偏袒与公司发展——基于政府代理问题与公司代理问题的分析》,《经济研究》第1期。
胡婷、惠凯、彭红枫,2017:《异常波动停牌对股价波动性和流动性的影响研究——来自我国取消异常波动停牌的自然实验》,《金融研究》第9期。
黄本尧,2003:《中外停牌制度比较研究》,深圳证券交易所研究报告。
姜付秀、黄继承、李丰也、任梦杰,2012:《谁选择了财务经历的CEO?》,《管理世界》第2期。
姜付秀、马云飙、王运通,2015:《退出威胁能抑制控股股东私利行为吗?》,《管理世界》第5期。
孔东民、刘莎莎、应千伟,2013:《公司行为中的媒体角色:激浊扬清还是推波助澜?》,《管理世界》第7期。
李科、陆蓉,2011:《投资者有限理性与基金营销策略——基金大比例分红的证据》,《管理世界》第11期。
郦金梁、何诚颖、廖旦、何牧原,2018:《舆论影响力、有限关注与过度反应》,《经济研究》第3期。
李姗姗,2016:《中国上市公司股票停、复牌制度研究》,《上海经济研究》第6期。
梁上坤、陈冬华,2015:《大股东会侵犯管理层利益吗?——来自资金占用与管理层人员变更的经验证据》,《金融研究》第3期。
廖静池、李平、曾勇,2009:《中国股票市场停牌制度实施效果的实证研究》,《管理世界》第2期。
罗进辉,2013:《“国进民退”:好消息还是坏消息》,《金融研究》第5期。
苏冬蔚、倪博,2018:《转融券制度、卖空约束与股价变动》,《经济研究》第3期。
苏冬蔚、曾海舰,2009:《宏观经济因素与公司资本结构变动》,《经济研究》第12期。
谭洪涛、蔡利、蔡春,2011:《公允价值与股市过度反应——来自中国证券市场的经验证据》,《经济研究》第7期。
王朝阳、王振霞,2017:《涨跌停、融资融券与股价波动率——基于AH股的比较研究》,《经济研究》第4期。
王永钦、刘思远、杜巨澜,2014:《信任品市场的竞争效应与传染效应:理论和基于中国食品行业的事件研究》,《经济研究》第2期。
魏明海、黄琼宇、程敏英,2013:《家族企业关联大股东的治理角色——基于关联交易的视角》,《管理世界》第3期。
魏志华、李常青、吴育辉、黄佳佳,2017:《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》第7期。
徐寿福、徐龙炳,2015:《信息披露质量与资本市场估值偏误》,《会计研究》第1期。
Abad, D., and R. Pascual, 2013, “Holding Back Volatility: Circuit Breakers, Price Limits, and Trading Halts”, in Baker, H. K., and H. Kiymaz (eds), Market Microstructure in Emerging and Developed Markets, John Wiley & Sons, Inc, 303—324.
Ahern, K. R., 2009, “Sample Selection and Event Study Estimation”, Journal of Empirical Finance, 16(3), 466—482.
Christie, W. G., S. A. Corwin, and J. H. Harris, 2002, “Nasdaq Trading Halts: The Impact of Market Mechanisms on Prices, Trading Activity, and Execution Costs”, Journal of Finance, 57(3), 1443—1478.
Corwin, S. A., and M. L. Lipson, 2000, “Order Flow and Liquidity around NYSE Trading Halts”, Journal of Finance, 55(4), 1771—1801.
Deng, X., J. Kang, and B. S. Low, 2013, “Corporate Social Responsibility and Stakeholder Value Maximization: Evidence from Mergers”, Journal of Financial Economics, 110(1), 87—109.
Frino, A., S. Lecce, and R. Segara, 2011, “The Impact of Trading Halts on Liquidity and Price Volatility: Evidence from the Australian Stock Exchange”, Pacific-Basin Finance Journal, 19(3), 298—307.
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(1)市场冷却假说,认为停牌向投资者提供了处理信息的额外时间,能够缓解市场情绪,降低交易成本,并减少内幕交易的发生(Corwin & Lipson,2000;Madura et al.,2006;Xu et al.,2014)。交易中学习模型,关注停牌的负面作用,认为持续的交易过程是促进信息融入价格的必要条件,而停牌制度破坏了交易的连续性,提高了市场机会成本,加剧了停牌后的股价波动(Lee et al.,1994;Christie et al.,2002;Frino et al.,2011)。
(2)例如,对于梅花生物(证券代码600873)在2015年12月16日至2016年5月25日的停牌,就有投资者在复牌前的“投资者说明会”上,公开质疑公司的长期停牌或为“假重组”、“故伎重演”等。详见2016年5月24日的《梅花生物科技集团股份有限公司关于终止筹划发行股份购买资产事项投资者说明会召开情况的公告》。
(3)其他重大事项包括签订重大合同或战略性协议、筹划购买或出售资产、员工持股计划或股权激励政策、对外投资、筹划控制权变更等。
(4)非公开发行类别,参考上交所《指引》第七条和第二十三条以及深交所《备忘录》第八条和第十九条;重大资产重组类别,参考上交所《指引》第七、第十和第十一条以及深交所《备忘录》第七条和第十九条;其他重大事项类别,参考上交所《指引》第七条、第二十九至三十一条以及深交所《备忘录》第九至十一、十九条。
(5)个股停复牌时间等信息均使用CSMAR数据库进行了再次核对。
(6)例如,假设股票A的平均变动趋势与市场整体保持一致(即β_i=1)。如果股票A在复牌前有5个交易日停牌,但同期市场整体仍在正常交易并且上涨3%,则该股票在复牌当日应当存在一个潜在的3%的正常补涨。
(7)上市公司被惩处与监管质询的事项,包括违规担保、挪用资产、会计舞弊、重大遗漏、误导性陈述和延迟披露等,而相关部门的处罚形式,则由出具警示函、公开处罚、公开批评、公开谴责以及要求其公开致歉等构成。
(8)Kothari & Warner(2007)指出,在检验股票价格对于事件的短期反应方面,实证结果一般具有较高的稳健性,受窗口期、实证模型等不同选择的影响较小。
(9)限于篇幅,本文部分表格未予罗列,感兴趣者可与作者联系。