本文選題：高管持股　切入點：經(jīng)理自主權(quán)　出處：《復旦大學》2014年碩士論文

【摘要】：現(xiàn)代企業(yè)中所有權(quán)和經(jīng)營權(quán)的分離產(chǎn)生了委托代理問題。隨著我國資本市場的不斷完善,越來越多的上市公司通過高管持股試圖解決委托代理問題。高管持股作為一種長期激勵約束機制一直備受關(guān)注,學者對高管持股與公司價值關(guān)系進行了深入研究。與此同時,不少高管自愿持有較高比例的公司股票的現(xiàn)象近年來愈發(fā)明顯,但這顯然有悖于風險分散的原則。此種非理性行為的背后表明上市公司高管持股與股票收益之間可能存在相應關(guān)系。本文從理論和實證兩個方面對我國上市公司高管持股與股票收益的關(guān)系進行了研究。從理論方面,基于傳統(tǒng)的委托代理理論,并結(jié)合博弈論和行為金融理論,梳理總結(jié)了基于信息不對稱的信號傳遞博弈理論、基于激勵機制的公司治理溢價理論以及基于納什均衡模型的折價均衡理論。從實證方面,基于高管持股比例構(gòu)建投資組合,采用Fama-French三因子模型得到的超額收益率。本文在分析整理2007年至2013年所有A股市場高管持股與股票收益的基礎(chǔ)上,結(jié)合我國高管持股發(fā)展歷程和現(xiàn)狀,構(gòu)建多元回歸模型,采用面板數(shù)據(jù),運用FMB回歸和PCSE回歸法,對高管持股比例與股票收益進行了實證研究,并進一步基于經(jīng)理自主權(quán)理論探究了經(jīng)理自主權(quán)在高管持股對股票收益影響中的作用。實證結(jié)果表明,具有較高的高管持股比例的公司能夠獲得高達5%的超額收益率,若同時具有較大的經(jīng)理自主權(quán),其股票市場表現(xiàn)更為突出,并且能夠獲得更高的資產(chǎn)收益率和權(quán)益收益率,公司的成本控制也更加有效�？傮w而言,本文研究表明中國股票市場并不能完全有效地對高管持股的激勵作用進行定價,通過持有具有較高的高管持股權(quán)的股票將能獲得超額收益。
[Abstract]:The separation of ownership and management rights in modern enterprises leads to the principal-agent problem. With the continuous improvement of the capital market in China, More and more listed companies try to solve the principal-agent problem through executive stock ownership. As a long-term incentive and constraint mechanism, scholars have deeply studied the relationship between executive ownership and corporate value. It has become increasingly apparent in recent years that many executives voluntarily own a high percentage of the company's shares. But this is obviously contrary to the principle of risk dispersion. Behind this irrational behavior, there may be a corresponding relationship between the stock ownership and stock returns of listed companies. This paper gives a theoretical and empirical analysis of the listed companies in China. The relationship between stock ownership and stock returns is studied. Based on the traditional principal-agent theory, combined with game theory and behavioral finance theory, this paper summarizes the signaling game theory based on asymmetric information. Corporate governance premium theory based on incentive mechanism and discount equilibrium theory based on Nash equilibrium model. Based on the analysis of the stock ownership and stock returns of all A-share markets from 2007 to 2013, this paper constructs a multivariate regression model based on the development history and current situation of China's senior stock holding, which is based on the Fama-French three-factor model. Using panel data, using FMB regression and PCSE regression, the paper makes an empirical study on the proportion of senior executives' shareholding and stock returns. Furthermore, based on the theory of executive autonomy, the paper explores the role of executive autonomy in the influence of executive ownership on stock returns. The empirical results show that companies with higher proportion of executive ownership can obtain excess returns of up to 5%. With greater managerial autonomy at the same time, the stock market performance is more prominent, and the return on assets and equity is higher, and the cost control of the company is more effective. This paper shows that the Chinese stock market can not price the incentive effect of executive stock ownership effectively, and can obtain excess returns by holding stocks with higher stock ownership.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F272.92;F832.51

【參考文獻】

相關(guān)期刊論文 前3條

1 魏剛;高級管理層激勵與上市公司經(jīng)營績效[J];經(jīng)濟研究;2000年03期

2 馮根福;雙重委托代理理論:上市公司治理的另一種分析框架——兼論進一步完善中國上市公司治理的新思路[J];經(jīng)濟研究;2004年12期

3 史永東;朱廣印;;管理者過度自信與企業(yè)并購行為的實證研究[J];金融評論;2010年02期

，

本文編號：1665796