發(fā)布時(shí)間：2018-01-02 05:30

  本文關(guān)鍵詞：我國(guó)上市公司大股東違規(guī)導(dǎo)致的股票信用風(fēng)險(xiǎn)問(wèn)題研究　出處：《復(fù)旦大學(xué)》2012年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 股票信用風(fēng)險(xiǎn) 大股東違規(guī) 金融風(fēng)險(xiǎn)度量

【摘要】：大股東出于對(duì)個(gè)人利益最大化的追逐,在管理上市公司的過(guò)程中可能會(huì)做出一些違反法律、法規(guī)或公司章程的行為,導(dǎo)致公司股價(jià)向不利方向變動(dòng),使股票收益率低于正常水平,甚或使公司被特別處理、乃至退市,從而導(dǎo)致中小股東遭受嚴(yán)重?fù)p失。大股東違規(guī)行為帶來(lái)的可能損失是中小股東在股票投資中所必須面對(duì)的一種金融風(fēng)險(xiǎn),中小股東和監(jiān)管者應(yīng)對(duì)該風(fēng)險(xiǎn)的度量、評(píng)價(jià)、規(guī)避、監(jiān)管、處置等問(wèn)題有一個(gè)全面的認(rèn)識(shí),并據(jù)此指導(dǎo)其投資與監(jiān)管行為。因此,弄清楚大股東違規(guī)行為所帶來(lái)的風(fēng)險(xiǎn)并對(duì)此風(fēng)險(xiǎn)做出準(zhǔn)確評(píng)估,無(wú)論對(duì)廣大投資者還是對(duì)監(jiān)管者而言皆是當(dāng)務(wù)之急。 目前較成熟的針對(duì)大股東違規(guī)行為研究主要包括兩類：一是基于“法與金融”的理論框架,重點(diǎn)研究不同法律體系對(duì)中小股東的保護(hù)程度、公司價(jià)值、所有權(quán)結(jié)構(gòu)、資本流動(dòng)等變量的影響機(jī)制等；二是基于公司治理理論的分析框架,研究核心是股東與管理層之間、大股東與中小股東之間的委托代理關(guān)系。但是,上述研究均未從金融風(fēng)險(xiǎn)的角度對(duì)大股東違規(guī)行為所帶來(lái)的損失進(jìn)行研究,無(wú)法為中小股東和監(jiān)管者的決策提供有效的參考與指導(dǎo)。 借鑒已有研究并在充分論證的基礎(chǔ).上,本文將大股東違規(guī)行為所導(dǎo)致的股票收益不確定性稱為“大股東違規(guī)導(dǎo)致的股票信用風(fēng)險(xiǎn)”,簡(jiǎn)稱“股票信用風(fēng)險(xiǎn)”,并嘗試從金融風(fēng)險(xiǎn)的角度,對(duì)其內(nèi)涵、特征、成因、影響因素、導(dǎo)致?lián)p失的機(jī)制、損失評(píng)估、監(jiān)測(cè)指標(biāo)、數(shù)量化度量模型與指標(biāo)、防范和規(guī)避對(duì)策等方面進(jìn)行探索： 首先,本文從“股票信用風(fēng)險(xiǎn)”名稱的起源出發(fā),借鑒已有文獻(xiàn)對(duì)“股票信用風(fēng)險(xiǎn)”進(jìn)行界定,并從內(nèi)涵和特征等方面討論了“股票信用風(fēng)險(xiǎn)”這一名稱的合理性；同時(shí),對(duì)導(dǎo)致股票信用風(fēng)險(xiǎn)的大股東違規(guī)行為進(jìn)行了分類,討論其行為特征,為深入研究股票信用風(fēng)險(xiǎn)做準(zhǔn)備；此外,為了借鑒債務(wù)性信用風(fēng)險(xiǎn)的相關(guān)研究方法,還對(duì)股票信用風(fēng)險(xiǎn)與債務(wù)性信用風(fēng)險(xiǎn)的特征進(jìn)行了對(duì)比。 其次,本文選取典型的大股東違規(guī)案例,以“欺詐三角”為起點(diǎn)對(duì)大股東違規(guī)行為的驅(qū)動(dòng)因素進(jìn)行了探究；在此基礎(chǔ)上,借鑒犯罪經(jīng)濟(jì)學(xué)模型的建模思想,構(gòu)建出一個(gè)大股東違規(guī)獲益最大化模型,推導(dǎo)出一系列關(guān)于大股違規(guī)行為影響因素的結(jié)論；隨后用單因素分析、主成份分步Logit回歸等統(tǒng)計(jì)方法對(duì)該模型得到的結(jié)論進(jìn)行了實(shí)證檢驗(yàn)。至此,本文依次使用了案例分析、理論研究、實(shí)證研究三種研究方法,找到了對(duì)大股東違規(guī)行為有顯著影響的因素,并建立了風(fēng)險(xiǎn)監(jiān)測(cè)指標(biāo)體系,為下一步建立股票信用風(fēng)險(xiǎn)度量模型奠定了基礎(chǔ)。 然后,本文從分析大股東違規(guī)行為引致投資者損失的路徑出發(fā),提出“違規(guī)導(dǎo)致股票價(jià)值下降機(jī)制”、“揭露公告機(jī)制”和“處罰公告機(jī)制”等幾種股票信用風(fēng)險(xiǎn)引致投資者損失的可能機(jī)制；通過(guò)事件研究法進(jìn)行實(shí)證檢驗(yàn),找出在我國(guó)上市公司中實(shí)際發(fā)揮作用的損失機(jī)制；并基于該損失機(jī)制,提出了股票信用風(fēng)險(xiǎn)引致投資者損失的評(píng)估方法。由此即可得到度量股票信用風(fēng)險(xiǎn)所需要的違規(guī)損失率及其分布特征。 接下來(lái)是本文的核心部分,即構(gòu)建股票信用風(fēng)險(xiǎn)的度量模型。借鑒債務(wù)性信用風(fēng)險(xiǎn)的度量模型,本文提出如下對(duì)我國(guó)上市公司的股票信用風(fēng)險(xiǎn)進(jìn)行度量的方法：先對(duì)股票信用風(fēng)險(xiǎn)的違規(guī)概率和違規(guī)損失率進(jìn)行估計(jì),由此得到股票信用損失分布；再進(jìn)一步得到股票信用風(fēng)險(xiǎn)的度量指標(biāo),如預(yù)期股票信用損失、未預(yù)期股票信用損失和股票信用VaR等；最后,對(duì)模型參數(shù)的幾種可能估計(jì)方法進(jìn)行檢驗(yàn),指出基于數(shù)據(jù)包絡(luò)分析DEA的違規(guī)概率估計(jì)方法要優(yōu)于基于線性判別和基于Logit回歸的估計(jì)方法。 進(jìn)一步地,本文選取2004年至2011年所有數(shù)據(jù)可得的滬深A(yù)股為樣本,利用上述度量模型對(duì)我國(guó)上市公司股票信用風(fēng)險(xiǎn)進(jìn)行實(shí)際度量,得到了對(duì)單個(gè)股票和市場(chǎng)平均的度量結(jié)果；基于該度量結(jié)果,本文對(duì)我國(guó)上市公司股票信用風(fēng)險(xiǎn)的現(xiàn)狀與發(fā)展趨勢(shì)進(jìn)行了判斷,指出我國(guó)上市公司股票信用風(fēng)險(xiǎn)狀況異常嚴(yán)重,具有大頻率大損失、風(fēng)險(xiǎn)損失波動(dòng)性大、股票之間差異性大等特點(diǎn),且近3年來(lái)市場(chǎng)總體股票信用風(fēng)險(xiǎn)有上升趨勢(shì)。 最后,綜合前述分析所得到的重要結(jié)論,本文嘗試分別從監(jiān)管者、做市商和投資者的視角給出防范股票信用風(fēng)險(xiǎn)的對(duì)策。
[Abstract]:Large shareholders for the maximum personal interest of the chase, in the process of management of the listed company may make some violation of laws, regulations or the company's articles of association, changes to the negative direction which the company shares, the stock return rate is lower than the normal level, or the company is special treated, and even small shareholders suffered delisting, resulting in may bring serious loss. The loss of large shareholders illegal behavior is a kind of financial risk of small and medium-sized shareholders must face in stock investment, small and medium-sized shareholders and regulators to deal with the risk measurement, evaluation, supervision, evasion, disposal problems have a comprehensive understanding, on the basis of its investment and regulatory actions. Therefore, make clear the risk of major shareholders violations of this risk and make an accurate assessment of whether investors or regulators is a pressing matter of the moment.
Currently more mature for large shareholders illegal behavior research mainly includes two types: one is based on the "law and finance" theory, the degree of protection, focusing on different legal system for small and medium-sized shareholders value, ownership structure, capital flows and other variables affecting mechanism; two is based on the theory analysis framework of corporate governance. Study on the core is between shareholders and management, principal-agent relationship between large shareholders and small shareholders. However, these studies were not studied from the point of financial risk of major shareholders violations caused by the loss, to provide reference and guidance for effective to small shareholders and regulators of the decision.
Based on existing research based on sufficient demonstration. And this article will lead to violations of the major shareholders of the stock income uncertainty is called a "big shareholder violation causes the stock of credit risk", referred to as "the stock of credit risk, and try from the point of financial risk, the connotation, characteristics, causes, influence factors that leads to the loss mechanism, damage assessment, monitoring indicators, quantitative measure model and index, to explore the prevention and Countermeasures etc.:
First of all, this article from the "origin of the stock of credit risk" in the name of references to "stock credit risk" is defined, and the connotation and characteristics of "discusses the reasonableness of the name of the stock of credit risk"; at the same time, the major shareholder of the irregularities caused the stock of credit risk classification, discusses its behavior characteristics, prepare for the further study of the stock of credit risk; in addition, in order to research methods reference debt credit risk, compared to the stock of credit risk and debt credit risk characteristics.
Secondly, this paper selects the major shareholder illegal typical cases, explored with "fraud triangle" as the starting point of the driving factors of major shareholders violations; on this basis, modeling reference of criminal economics model, construct a large shareholder illegal benefit maximization model, derive a series of big violations influence conclusion factors; then with single factor analysis, statistical method of principal component Logit regression step by step makes an empirical test of the model results. Thus, this paper uses case analysis, followed by theoretical research, empirical research three research methods, find the factors have significant influence on major shareholders violations, and establish the risk monitoring index system, the next step for the establishment of the stock of credit risk measurement model of the foundation.
Then, this paper from the path analysis of large shareholders violations caused losses to investors, put forward the "breach caused the decline in the stock price mechanism", "the possible mechanism of several disclosure announcement mechanism" and "penalty mechanism" stock credit risk caused losses to investors; empirical testing through the event study method, find out the actual play loss mechanism the listed companies in China; and based on the loss mechanism, put forward an evaluation method of stock credit risk caused by loss of investors. This can be obtained by measuring stock credit risk to illegal loss rate and its distribution.
The following is the core part of this paper, namely the construction of the stock of credit risk measurement model. The measurement model from the debt credit risk, this paper proposes the following measurement method for Chinese Listed Companies in the stock of credit risk: first violation probability on the stock of credit risk and illegal loss rate estimation, the stock of credit loss distribution measure; further get the stock of credit risk, such as expected stock credit losses, unexpected credit losses and stock stock credit VaR; finally, some of the model parameters estimation method may be examined, pointed out that the probability of illegal data envelopment analysis DEA estimation method is better than linear discriminant analysis and Logit regression method based on Estimation Based on.
Further, the paper selected from 2004 to 2011 all the data available in the Shanghai and Shenzhen A shares as a sample, the actual measurement of the listed companies using the credit risk measurement model, obtained on individual stocks and the market average measurement results; based on the measurement results, current situation and development trend of the listed companies the credit risk of the judgment, pointed out that listed companies credit risk seriously, with a large loss of high frequency, the risk of loss between the high volatility of the stock differences and other characteristics, and nearly 3 years a total stock of credit risk has a rising trend.
Finally, combined with the important conclusions obtained from the above analysis, this paper tries to give some countermeasures to prevent stock credit risk from the perspective of regulators, market makers and investors.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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