本文關(guān)鍵詞：私募股權(quán)基金特征對(duì)上市公司違規(guī)行為溢出效應(yīng)的影響　出處：《北京大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：本文通過(guò)線(xiàn)性和非線(xiàn)性回歸兩種方式，驗(yàn)證了溢出效應(yīng)的存在性。當(dāng)一家上市公司的違規(guī)行為被披露時(shí)，在一個(gè)兩天的窗口期內(nèi)，該上市公司的私募基金股東投資的其他上市公司的市值也會(huì)受到損失，這種溢出效應(yīng)并不會(huì)受到傳導(dǎo)機(jī)制的影響。 然后本文使用一般線(xiàn)性回歸的方式，對(duì)私募基金的特征在溢出效應(yīng)作用過(guò)程中的影響進(jìn)行了檢驗(yàn)。通過(guò)回歸方程，我發(fā)現(xiàn)私募基金對(duì)于溢出效應(yīng)的影響可以分為兩個(gè)方面，首先是溢出效應(yīng)的存在性，私募基金的政府背景、總資產(chǎn)、退出耗時(shí)和成立年限可以通過(guò)影響其聲譽(yù)，間接地對(duì)溢出效應(yīng)的存在性產(chǎn)生影響。其中有政府背景的私募基金更容易成為溢出效應(yīng)的“導(dǎo)體”；規(guī)模較大的私募基金，普遍聲譽(yù)較好，，因而不容易誘發(fā)溢出效應(yīng)；歷史較長(zhǎng)的私募基金同樣擁有較好的聲譽(yù)，因而也會(huì)降低溢出效應(yīng)的發(fā)生概率；私募基金過(guò)往投資中退出耗時(shí)越長(zhǎng)，說(shuō)明其專(zhuān)業(yè)能力越值得懷疑，也就更容易成為溢出效應(yīng)的導(dǎo)火索。與之相對(duì)的，私募基金在企業(yè)中的地位、私募基金是否本地投資則不受市場(chǎng)重視，沒(méi)有產(chǎn)生一致的顯著影響。 由此我認(rèn)為，本文的結(jié)論證明了歸因理論的觀點(diǎn)在市場(chǎng)上也是有效的，即在評(píng)價(jià)一個(gè)結(jié)果時(shí)，觀察者更傾向于接受主觀原因的解釋?zhuān)辉敢饨o予客觀原因較大的權(quán)重（Jellison和Green，1981）——市場(chǎng)上的投資者在面對(duì)一個(gè)負(fù)面信息時(shí)，更傾向于從相關(guān)方本身的特征去尋找原因，因此私募股權(quán)基金本身的特征才會(huì)對(duì)溢出效應(yīng)的存在性產(chǎn)生顯著的影響。 于此相對(duì)的是溢出效應(yīng)的程度問(wèn)題。本文的回歸發(fā)現(xiàn)，溢出效應(yīng)的程度與上述變量中的絕大多數(shù)并不構(gòu)成顯著的相關(guān)關(guān)系，在所有的變量中，只有私募基金的歷史、私募基金在違規(guī)企業(yè)的股東排名具有顯著性，這說(shuō)明溢出效應(yīng)的存在性和顯著性的作用機(jī)制是有很大不同的，這一觀點(diǎn)在之前的研究中少有人涉及，是本文的新發(fā)現(xiàn)。
[Abstract]:This paper verifies the existence of spillover effect by linear and nonlinear regression. When the irregularities of a listed company are disclosed, it is in a two-day window period. Market value of other listed companies where the private equity shareholders of the listed company are investing will also suffer losses, and the spillover effect will not be affected by the transmission mechanism. Then this paper uses the general linear regression method to test the effects of the characteristics of private equity funds in the process of spillover effect. I find that the impact of private equity on spillover effect can be divided into two aspects: first, the existence of spillover effect, the government background of private equity, total assets, exit time and established years can affect its reputation. It has an indirect influence on the existence of spillover effects. Private equity funds with government background are more likely to be "conductors" of spillover effects; The larger private equity fund has a good reputation in general, so it is not easy to induce spillover effect. The long history private equity fund also has the good reputation, therefore also can reduce the spillover effect occurrence probability; The longer the withdrawal from private equity investments in the past, the more doubtful its professional ability is, and the more likely it is to become a trigger for spillover effects. In contrast, private equity funds have a position in the enterprise. Private equity whether local investment is not valued by the market, did not have a consistent significant impact. Therefore, I believe that the conclusion of this paper proves that the theory of attribution is also valid in the market, that is, when evaluating a result, the observer is more inclined to accept the explanation of subjective reasons. And unwilling to give more weight to objective reasons Jellison and Greenberg 1981- investors in the market are facing a negative message. Therefore, the characteristics of private equity fund itself will have a significant impact on the existence of spillover effect. The regression of this paper found that the degree of spillover effect is not significantly related to most of the above variables, in all variables. Only the history of private equity funds, private equity funds in violation of the corporate shareholder ranking has significant, which shows that the existence of spillover effect and significant mechanism is very different. This view is rarely discussed in previous studies and is a new discovery in this paper.
【學(xué)位授予單位】：北京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F275;F832.51

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