境外投资者引入会影响公司业绩波动性吗?——基于沪港通的双重差分检验
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摘要
本文以2014～2016年沪港通标的上市公司为研究对象,利用双重差分法研究境外投资者引入对公司业绩波动性的影响。研究发现,沪港通政策实施后,相比于非标的上市公司,标的上市公司的业绩波动性显著降低,且该现象在股权集中度较高的公司更为明显。研究表明沪港通实施能够有效加强公司治理,减弱大小股东之间的利益冲突问题。本文以沪港通政策为切入点,考察标的公司业绩波动性的变化,对研究公司治理的监督机制、推进资本市场对外开放和相应的政策实施路径具有参考价值。
This paper takes the companies listed in the Shanghai-Hong Kong Stock Connect during 2014-2016 as the research sample, using the difference-in-difference method(DID) to study the influence of foreign investors' participation on company's performance volatility. The study finds that after the implementation of Shanghai-Hong Kong Stock Connect, the performance volatility of target companies is significantly lower than non-target companies; Moreover, this phenomenon is more obvious in companies with higher CEO power and equity concentration.The results indicate that Shanghai-Hong Kong Stock Connect can effectively strengthen corporate governance and weaken agent problem and conflicts of interest between large and small shareholders. This paper has reference value for studying the supervision mechanism of corporate governance and promoting the opening of the capital market.
This paper takes the companies listed in the Shanghai-Hong Kong Stock Connect during 2014-2016 as the research sample, using the difference-in-difference method(DID) to study the influence of foreign investors' participation on company's performance volatility. The study finds that after the implementation of Shanghai-Hong Kong Stock Connect, the performance volatility of target companies is significantly lower than non-target companies; Moreover, this phenomenon is more obvious in companies with higher CEO power and equity concentration.The results indicate that Shanghai-Hong Kong Stock Connect can effectively strengthen corporate governance and weaken agent problem and conflicts of interest between large and small shareholders. This paper has reference value for studying the supervision mechanism of corporate governance and promoting the opening of the capital market.
引文
[1]郭阳生,沈烈,汪平平.沪港通降低了股价崩盘风险吗--基于双重差分模型的实证研究[J].山西财经大学学报,2018,40(6):30-44.
[2]李海霞,王振山.CEO权力与公司风险承担--基于投资者保护的调节效应研究[J].经济管理,2015,(8):76-87.
[3]李琳,刘凤委,卢文彬.基于公司业绩波动性的股权制衡治理效应研究[J].管理世界,2009,(5):145-151.
[4]芦婷婷.股权集中度与公司绩效波动性关系研究[J].现代经济信息,2012,(2):233-236.
[5]牛建波.董事会规模的治理效应研究--基于业绩波动的新解释[J].中南财经政法大学学报,2009,(1):112-118.
[6]权小锋,吴世农.CEO权力强度、信息披露质量与公司业绩的波动性--基于深交所上市公司的实证研究[J].南开管理评论,2010,(4):142-153.
[7]师倩,姚秋歌.沪港通与公司融资约束--基于双重差分模型的实证研究[J].财务研究,2018,(2):62-72.
[8]孙健,文雯,袁蓉丽,石玉凝.上市公司委托理财与盈余波动性[J].中国软科学,2016,(6):98-109.
[9]唐松莲,袁春生.监督或攫取:机构投资者治理角色的识别研究--来自中国资本市场的经验证据[J].管理评论,2010,22(8):19-29.
[10]徐建,李维安.交叉上市约束效应研究述评与未来展望--基于法律约束和声誉约束视角[J].外国经济与管理,2014,36(4):3-14.
[11]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[J].管理世界,2013,(5):157-168.
[12]邹飞.董事会特征与企业绩效波动关系的实证研究[D].西南交通大学,2010.
[13]张兵,范致镇,潘军昌.信息透明度与公司绩效--基于内生性视角的研究[J].金融研究,2009,(2):169-184.
[14]Adams,R.B.,Almeida,H.,Ferreira,D.Powerful CEOs and eir Impact on Corporate Performance[J].e Review of Financial Studies,2005,18(4):1403-1432.
[15]Aggarwal,R.,Erel,I.,Ferreira,M.,Matos,P.Does Governance Travel around the World?Evidence from Institutional Investors[J].Journal of Financial Economics,2011,100(1):154-181.
[16]Chan,K.,Covrig,V.,Ng,L.Does Home Bias Affect Firm Value?Evidence from Holdings of Mutual Funds Worldwide[J].Journal of International Economics,2009,78:230-241.
[17]Cheng,S.Board Size and the Variability of Corporate Performance[J].Journal of Financial Economics,2008,87(1):157-176.
[18]Faccio,M.,Marchica,M.T.,Mura,R.CEO Gender,Corporate Risk-Taking and the Efficiency of Capital Allocation[J].Journal of Corporate Finance,2016,39:193-209.
[19]Ferreira,M.A.,Matos,P.e Colors of Investors’Money:The Role of Institutional Investors around the World[J].Journal of Financial Economics,2008,88(3):499-533.
[20]Gillan,S.L.,Starks,L.T.Corporate Governance Proposals and Shareholder Activism:The Role of Institutional Investors[J].Journal of financial Economics,2000,57(2):275-305.
[21]Jensen,M.C.,Meckling,W.H.Theory of the Firm:Managerial Behavior,Agency Cost and Ownership Structure[J].Journal of Financial Economics,1976,3(4):305-360.
[22]Jiang,G.,Lee,C.,Ye,H.Tunneling through Interoperate Loans:The China Experience[J].Journal of Financial Economics,2010,98:1-20.
[23]Johnson,S.,La Porta,R.,Lopez-de-Silanes,F.,Shleifer,A.Tunneling[J].American Economic Review,2000,(9):22-27.
[24]Kim,I.,Miller,S.,Wan,H.,Wang,B.Drivers behind the Monitoring E ectiveness of Global Institutional Investors:Evidence from Earnings Management[J].Journal of Corporate Finance,2016,40:24-46.
[25]Leuz,C.,Lins,K.V.,Warnock,F.E.Do Foreigners Invest Less in Poorly Governed Firms?[J].Review of Financial Studies,2009,22(8):3245-3285.
[26]Sah,R.K.,Stiglitz,J.E.The Quality of Managers in Centralized Versus Decentralized Organizations[J].The Quarterly Journal of Economics,1991,106(1):289-295.
[27]Shleifer,A.,Vishny,R.W.The Limits of Arbitrage[J].Journal of Finance,1997,52:35-55.
(1)本文在数据搜集阶段能获取的最新财务报表数据年份为2017年,由于企业业绩波动性的变量计算需要未来一年的数据,因此研究样本截至2016年。
(2)参考Faccio(2016)的研究,将上述两个变量乘以100,使系数更好地显示且不影响整体显著性水平。
(3)根据2011年证监会公布的《上市公司行业分类指引》,将上市公司划分为21个行业,其中除制造业划分到次类外,其他行业划分到门类。
[2]李海霞,王振山.CEO权力与公司风险承担--基于投资者保护的调节效应研究[J].经济管理,2015,(8):76-87.
[3]李琳,刘凤委,卢文彬.基于公司业绩波动性的股权制衡治理效应研究[J].管理世界,2009,(5):145-151.
[4]芦婷婷.股权集中度与公司绩效波动性关系研究[J].现代经济信息,2012,(2):233-236.
[5]牛建波.董事会规模的治理效应研究--基于业绩波动的新解释[J].中南财经政法大学学报,2009,(1):112-118.
[6]权小锋,吴世农.CEO权力强度、信息披露质量与公司业绩的波动性--基于深交所上市公司的实证研究[J].南开管理评论,2010,(4):142-153.
[7]师倩,姚秋歌.沪港通与公司融资约束--基于双重差分模型的实证研究[J].财务研究,2018,(2):62-72.
[8]孙健,文雯,袁蓉丽,石玉凝.上市公司委托理财与盈余波动性[J].中国软科学,2016,(6):98-109.
[9]唐松莲,袁春生.监督或攫取:机构投资者治理角色的识别研究--来自中国资本市场的经验证据[J].管理评论,2010,22(8):19-29.
[10]徐建,李维安.交叉上市约束效应研究述评与未来展望--基于法律约束和声誉约束视角[J].外国经济与管理,2014,36(4):3-14.
[11]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[J].管理世界,2013,(5):157-168.
[12]邹飞.董事会特征与企业绩效波动关系的实证研究[D].西南交通大学,2010.
[13]张兵,范致镇,潘军昌.信息透明度与公司绩效--基于内生性视角的研究[J].金融研究,2009,(2):169-184.
[14]Adams,R.B.,Almeida,H.,Ferreira,D.Powerful CEOs and eir Impact on Corporate Performance[J].e Review of Financial Studies,2005,18(4):1403-1432.
[15]Aggarwal,R.,Erel,I.,Ferreira,M.,Matos,P.Does Governance Travel around the World?Evidence from Institutional Investors[J].Journal of Financial Economics,2011,100(1):154-181.
[16]Chan,K.,Covrig,V.,Ng,L.Does Home Bias Affect Firm Value?Evidence from Holdings of Mutual Funds Worldwide[J].Journal of International Economics,2009,78:230-241.
[17]Cheng,S.Board Size and the Variability of Corporate Performance[J].Journal of Financial Economics,2008,87(1):157-176.
[18]Faccio,M.,Marchica,M.T.,Mura,R.CEO Gender,Corporate Risk-Taking and the Efficiency of Capital Allocation[J].Journal of Corporate Finance,2016,39:193-209.
[19]Ferreira,M.A.,Matos,P.e Colors of Investors’Money:The Role of Institutional Investors around the World[J].Journal of Financial Economics,2008,88(3):499-533.
[20]Gillan,S.L.,Starks,L.T.Corporate Governance Proposals and Shareholder Activism:The Role of Institutional Investors[J].Journal of financial Economics,2000,57(2):275-305.
[21]Jensen,M.C.,Meckling,W.H.Theory of the Firm:Managerial Behavior,Agency Cost and Ownership Structure[J].Journal of Financial Economics,1976,3(4):305-360.
[22]Jiang,G.,Lee,C.,Ye,H.Tunneling through Interoperate Loans:The China Experience[J].Journal of Financial Economics,2010,98:1-20.
[23]Johnson,S.,La Porta,R.,Lopez-de-Silanes,F.,Shleifer,A.Tunneling[J].American Economic Review,2000,(9):22-27.
[24]Kim,I.,Miller,S.,Wan,H.,Wang,B.Drivers behind the Monitoring E ectiveness of Global Institutional Investors:Evidence from Earnings Management[J].Journal of Corporate Finance,2016,40:24-46.
[25]Leuz,C.,Lins,K.V.,Warnock,F.E.Do Foreigners Invest Less in Poorly Governed Firms?[J].Review of Financial Studies,2009,22(8):3245-3285.
[26]Sah,R.K.,Stiglitz,J.E.The Quality of Managers in Centralized Versus Decentralized Organizations[J].The Quarterly Journal of Economics,1991,106(1):289-295.
[27]Shleifer,A.,Vishny,R.W.The Limits of Arbitrage[J].Journal of Finance,1997,52:35-55.
(1)本文在数据搜集阶段能获取的最新财务报表数据年份为2017年,由于企业业绩波动性的变量计算需要未来一年的数据,因此研究样本截至2016年。
(2)参考Faccio(2016)的研究,将上述两个变量乘以100,使系数更好地显示且不影响整体显著性水平。
(3)根据2011年证监会公布的《上市公司行业分类指引》,将上市公司划分为21个行业,其中除制造业划分到次类外,其他行业划分到门类。