本文選題：股價波動同步性 + 公司特質(zhì)暴跌風(fēng)險��； 參考：《暨南大學(xué)》2012年博士論文

【摘要】：公司治理對股票價格以及股票收益率分布特征的影響是公司金融領(lǐng)域的重要研究課題。本文基于中國不斷改革變化的制度背景和中國上市公司特有的公司治理結(jié)構(gòu)特征，研究公司層面的投資者保護機制和管理層的盈余管理行為對進入資本市場的公司特質(zhì)信息流從而股票收益率分布特征的影響及其作用機制。進一步的，本文還從資產(chǎn)定價的視角考察了股票收益率分布高階矩特征的經(jīng)濟后果，具體而言，本文利用股權(quán)分置改革形成的“自然實驗”條件，檢驗了公司特質(zhì)波動率（二階矩）和股價暴跌風(fēng)險（三階矩）對股權(quán)融資成本的影響。 首先，運用中國上市公司1998-2010年間的面板數(shù)據(jù)，本文考察了所有權(quán)結(jié)構(gòu)（包括政府控股、股權(quán)集中度和境外投資者持股）和管理層的盈余管理行為對股價波動同步性以及暴跌風(fēng)險的影響。利用過去三年的非正常應(yīng)計利潤絕對值之和來捕捉公司管理層的盈余操縱程度，并引入會計制度改革和股權(quán)分置改革的政策性外生沖擊后發(fā)現(xiàn)： （1）盈余管理水平與股價波動同步性、股價暴跌風(fēng)險之間均顯著正相關(guān)，并且這些正向關(guān)系在2007年新會計準(zhǔn)則實施后均明顯減弱。該發(fā)現(xiàn)與解釋R2和股價暴跌風(fēng)險的信息窖藏理論（Jin and Myers，2006；Hutton et al.，2009）的預(yù)期是一致的，即管理層可能通過盈余管理窖藏壞消息，導(dǎo)致負(fù)面信息在公司內(nèi)部囤積直至超出經(jīng)理人的隱藏能力時在瞬間全部釋放出來，引起股價大幅下跌；旨在與國際財務(wù)報告準(zhǔn)則趨同的新會計準(zhǔn)則的實施有助于遏制管理層的盈余管理行為或降低其通過盈余管理隱藏（壞）信息的能力。 （2）盈余管理與股價波動同步性之間的正向關(guān)系僅存在于政府控股的公司樣本中，在非政府控股的公司樣本中二者的關(guān)系并不顯著；并且，本文發(fā)現(xiàn)即使在控制了盈余管理之后，相比于非政府控股的公司，政府控股公司的股價仍然表現(xiàn)出較高的波動同步性和暴跌風(fēng)險。這些結(jié)果提供強有力的證據(jù)表明，相比于非政府控股的公司，政府控股公司的管理者具有更強的激勵和更多的機會（通過操縱盈余）控制和隱藏進入資本市場的（負(fù)面）特質(zhì)信息流，，從而減少融入股價的公司特質(zhì)信息量并提高股價的暴跌風(fēng)險。 （3）股價波動同步性與股權(quán)集中度之間呈現(xiàn)顯著的凹函數(shù)關(guān)系，即隨著股權(quán)集中度的提高，股價波動同步性以遞減的速率上升直至某個臨界值后開始出現(xiàn)下降。同時，本文發(fā)現(xiàn)較弱的證據(jù)表明，股價暴跌風(fēng)險與股權(quán)集中度之間呈現(xiàn)凸函數(shù)的關(guān)系。 （4）相比于僅發(fā)行A股的公司，同時發(fā)行B股或H股的公司具有顯著較低的股價波動同步性和股價暴跌風(fēng)險，表明雙重上市帶來的更為嚴(yán)格的法律監(jiān)管、面對具有更高信息質(zhì)量要求的境外投資者及財務(wù)分析師等市場力量的約束，有助于改善公司的信息環(huán)境，促進知情交易并抑制管理層對好消息和壞消息披露的不對稱性。 （5）股權(quán)分置改革對中國上市公司的信息環(huán)境具有重要的影響。公司的股價波動同步性和股價暴跌風(fēng)險在股權(quán)分置改革完成后均顯著下降；并且，股權(quán)分置改革對非政府控股公司的影響更為顯著，相比于政府控股的公司，非政府控股公司的股價暴跌風(fēng)險在股權(quán)分置改革后下降幅度更大。該結(jié)果支持了這樣的理論推斷，即股權(quán)分置改革帶來的股份轉(zhuǎn)讓權(quán)約束的放松能夠顯著改善控制性股東與中小投資者之間的利益一致性基礎(chǔ)，從而降低內(nèi)部人侵害外部投資者以謀求控制權(quán)個人私利的激勵。 然后，本文進一步利用股權(quán)分置改革形成的“自然實驗”條件，考察了收益率分布的高階矩特征（公司特質(zhì)波動率和暴跌風(fēng)險）對公司股權(quán)融資成本的影響極其作用機制�；谏鲜泄�2002-2010年間的數(shù)據(jù)，采用Hou et al.（2012）最新發(fā)展的截面模型回歸方法估計中國上市公司的股權(quán)融資成本，并在控制了公司規(guī)模、BETA系數(shù)、賬面市值比以及財務(wù)杠桿等其他因素后發(fā)現(xiàn)： （1）公司特質(zhì)波動率對股權(quán)融資成本具有顯著的正向影響，并且這種影響在股權(quán)分置改革完成后明顯減弱；股權(quán)分置改革對上市公司的股權(quán)融資成本具有顯著的負(fù)向影響，其作用機制主要是通過股權(quán)分置改革前后公司特質(zhì)波動率的定價效應(yīng)變化實現(xiàn)的。這一實證發(fā)現(xiàn)很好的驗證和補充了Li et al.（2011）的洞見，表明股權(quán)分置改革有助于提高原非流通股股東的投資組合分散能力，優(yōu)化投資者之間的風(fēng)險分擔(dān)，從而弱化公司特質(zhì)風(fēng)險的定價效應(yīng)，降低上市公司的股權(quán)融資成本。 （2）在進一步控制了股權(quán)分置改革以及公司特質(zhì)波動率的影響之后，公司特質(zhì)暴跌風(fēng)險與股權(quán)融資成本之間顯著正相關(guān)，但是暴跌風(fēng)險的定價效應(yīng)在股權(quán)分置改革前后并未發(fā)生顯著的變化。該結(jié)果表明公司管理層的不對稱信息披露行為是被市場定價的，管理層對好消息和壞消息披露的不對稱越嚴(yán)重，投資者要求的投資回報率越高；該結(jié)果也在一定程度上驗證了Sunder（2010）和DeFond et al.（2011）關(guān)于公司特質(zhì)暴跌風(fēng)險“難以有效分散”的觀點。 本文的主要實證結(jié)果對于不同的變量測度方法、計量模型設(shè)定以及樣本選擇標(biāo)準(zhǔn)均具有良好的穩(wěn)健性。本文的研究豐富和拓展了Jin and Myers（2006）的理論洞見和經(jīng)驗發(fā)現(xiàn)，表明在投資者保護較弱的新興市場國家，公司層面的治理結(jié)構(gòu)對于公司信息環(huán)境的形成具有重要的作用。本文的發(fā)現(xiàn)很好地驗證了產(chǎn)權(quán)構(gòu)成中財產(chǎn)轉(zhuǎn)讓權(quán)的重要性，為股權(quán)分置改革和新會計準(zhǔn)則實施的成效提供了直接的經(jīng)驗證據(jù)。
[Abstract]:The influence of corporate governance on the stock price and the distribution characteristics of stock returns is an important research topic in the field of corporate finance. Based on the institutional background of China's continuous reform and changes and the characteristic characteristics of the corporate governance structure of Chinese listed companies, this paper studies the investor protection mechanism at the corporate level and the earnings management behavior of the management level. The influence of the characteristic information flow into the capital market and the effect mechanism of the distribution characteristics of the stock returns. Further, this paper also examines the economic consequences of the high order moment characteristics of the distribution of stock returns from the perspective of asset pricing. The impact of volatility (two order moments) and stock price risk (three order moments) on the cost of equity financing.
First, using the panel data of Chinese listed companies for 1998-2010 years, this paper examines the effects of ownership structure (including government holding, ownership concentration and foreign investor ownership) and management earnings management behavior on stock price volatility synchronization and the risk of plunge. The sum of the absolute value of the abnormal accruals in the past three years is used. Capturing the degree of earnings manipulation of the management of the company, and introducing the policy exogenous shocks of the accounting system reform and the split share structure reform, we found that:
(1) there is a significant positive correlation between earnings management level and stock price volatility synchronization and stock price plunge risk, and these positive relationships are obviously weakened after the implementation of new accounting standards in 2007. The discovery is consistent with the expectation of the information cellar theory (Jin and Myers, 2006; Hutton et al., 2009) to explain the risk of R2 and stock price fall, namely, management The layer may be managed by the surplus management to cellar bad news, causing the negative information to be hoarded in the company until the manager's hidden ability is released in a moment, causing the stock price to fall sharply. The implementation of the new accounting standards aimed at converging with the international financial reporting standards will help to curb the management's earnings management behavior or reduce it. The ability to hide (bad) information through earnings management.
(2) the positive relationship between earnings management and stock price volatility exists only in the sample of government holding companies, and the relationship between the two in non-governmental holding companies is not significant. Moreover, this paper finds that even after controlling the earnings management, the stock price of the government holding company is still displayed compared to the non government holding company. The results provide strong evidence that the managers of government holding companies have stronger incentives and more opportunities (by manipulating earnings) to control and hide the flow of (negative) trait information into the capital market, thus reducing the share of the share price. The quantity of information and the plunge risk of the stock price.
(3) there is a significant concave function relationship between stock price volatility synchronization and ownership concentration, that is, with the increase of ownership concentration, the synchronization of stock price fluctuation is rising to a certain critical value. At the same time, the weak evidence shows that the stock price fall risk and the ownership concentration show a convex function. The relationship.
(4) compared to the company issuing A shares only, the companies issuing B shares or H-shares have significantly lower share price volatility synchronization and stock price plunge risk, indicating more stringent legal regulation brought by double listing, which will help to improve the market forces such as overseas investors and financial analysts with higher information quality requirements. The company's information environment promotes informed trading and inhibits the asymmetry of good news and bad news disclosure.
(5) the share split reform has an important influence on the information environment of Chinese listed companies. The volatility synchronization and stock price fall risk of the company have been significantly reduced after the completion of the split share reform, and the impact of the split share reform on non-governmental holding companies is more significant, compared to the government holding company, the non government holding company. The stock price plunge risk has decreased significantly after the split share reform. The result supports the theoretical inference that the relaxation of the equity transfer restriction brought by the split share reform can significantly improve the basis for the consistency of the interests between the controlling shareholders and the small and medium investors, thus reducing the insider's infringement on the external investors. The incentive to seek private interest in the right of control.
Then, this paper further uses the "natural experiment" conditions of the split share reform to examine the effect mechanism of the high order moment characteristics of the rate of return (the volatility and the risk of the fall) on the cost of the equity financing. Based on the data of 2002-2010 years of the listed company, the latest development of Hou et al. (2012) is adopted. The surface model regression method is used to estimate the cost of equity financing in China's listed companies, and it is found after controlling the size of the company, the BETA coefficient, the book value ratio and the financial leverage, and other factors.
(1) the volatility of the company's trait has a significant positive impact on the cost of equity financing, and this effect is obviously weakened after the completion of the split share reform. The share split reform has a significant negative impact on the equity financing cost of the listed companies, and its mechanism is mainly through the determination of the volatility of the company's characteristics before and after the split share reform. The price effect change is realized. This empirical discovery is a good verification and supplement of the insight into Li et al. (2011), which shows that the split share reform helps to improve the portfolio dispersion ability of the original non tradable shareholders and optimizes the risk sharing among the investors, thus weakening the pricing effect of the company's idiosyncratic risk and reducing the equity financing of the listed companies. Cost.
(2) after the further control of the ownership disposition reform and the influence of the firm's characteristic volatility, the corporate trait slump risk has a significant positive correlation with the cost of equity financing, but the price effect of the plunge risk has not changed significantly before and after the split share reform. In order to be priced by the market, the more serious the management has on the asymmetry of good news and bad news disclosure, the higher the investment returns required by investors; the results also prove to a certain extent that Sunder (2010) and DeFond et al. (2011) are "difficult to disperse" on the risk of corporate slump.
The main empirical results of this paper have good robustness for different variable measure methods, measurement model setting and sample selection criteria. This study enriches and expands the theoretical insight and experience discovery of Jin and Myers (2006), which shows that the corporate governance structure of the company level in the emerging market countries with weak investor protection. The formation of the company's information environment plays an important role. The findings of this paper well verify the importance of the property transfer right in the structure of property rights, and provide direct empirical evidence for the effectiveness of the split share reform and the implementation of the new accounting standards.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F276.6;F832.51;F224

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