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  本文關(guān)鍵詞：機(jī)構(gòu)投資者對企業(yè)海外并購股東財富效應(yīng)影響研究　出處：《哈爾濱工業(yè)大學(xué)》2017年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 海外并購 機(jī)構(gòu)投資者 股東財富 異質(zhì)性 機(jī)構(gòu)投資者持股 機(jī)構(gòu)投資者交易行為

【摘要】：機(jī)構(gòu)投資者作為金融市場中重要的投資力量,順應(yīng)社會變革和經(jīng)濟(jì)環(huán)境變化而生,在經(jīng)濟(jì)發(fā)展中充當(dāng)著重要的角色。截止2016年上半年,A股上市公司機(jī)構(gòu)投資者的合計持倉達(dá)到了25736.85億股,占全部A股48.18%。得益于機(jī)構(gòu)投資者的發(fā)展和融資渠道的暢通,中國企業(yè)海外并購浪潮風(fēng)起云涌。在“一帶一路”、“中國制造2025”等一系列政策引導(dǎo)下中國企業(yè)抓住機(jī)遇,在全球范圍內(nèi)積極尋找和發(fā)掘被價值嚴(yán)重低估的優(yōu)質(zhì)資產(chǎn),并將其同中國資產(chǎn)、中國市場進(jìn)行重組和整合,2016年前三個季度,中國已取代美國,成為全球并購金額最大的國家,標(biāo)志著中國海外并購進(jìn)入了快速發(fā)展的全新階段。在此背景下,機(jī)構(gòu)投資者憑借資金、信息和資源優(yōu)勢,出于自身利益的考慮,越來越多地參與到中國企業(yè)海外并購中,因而研究機(jī)構(gòu)投資者對企業(yè)海外并購股東財富效應(yīng)影響具有重要的理論和現(xiàn)實意義。本文通過相關(guān)文獻(xiàn)研究發(fā)現(xiàn),關(guān)于企業(yè)海外并購股東財富效應(yīng)的現(xiàn)有研究大都基于企業(yè)或者國家的視角而少有從機(jī)構(gòu)投資者視角出發(fā)。本文以機(jī)構(gòu)投資者這一全新視角,以海外并購事件為核心和邏輯起點,以股東財富效應(yīng)為考量目標(biāo),引入委托代理理論來架構(gòu)機(jī)構(gòu)投資者對海外并購股東財富效應(yīng)影響的理論框架,從長期和短期兩個層面全方位地分析了機(jī)構(gòu)投資者持股、交易行為和積極主義行為對企業(yè)海外并購股東財富效應(yīng)影響,揭示了機(jī)構(gòu)投資者對企業(yè)海外并購股東財富效應(yīng)的影響機(jī)理和傳導(dǎo)路徑,既深化了機(jī)構(gòu)投資者行為理論,又有助于豐富海外并購的理論內(nèi)涵。本文從短期和長期兩個層面,構(gòu)建企業(yè)海外并購股東財富效應(yīng)的研究體系,對企業(yè)海外并購股東財富效應(yīng)進(jìn)行更加全面系統(tǒng)地考察,并且在研究中更加注重考慮現(xiàn)實因素的影響,使研究結(jié)果更加可信。從短期層面來看,考慮到中國資本市場呈現(xiàn)半強(qiáng)式有效且資本市場制度不夠健全等因素,海外并購信息存在提前泄露的可能,本文將研究的窗口期增加到了41天,除常規(guī)的窗口期外,增加了[-20,-1]、[2,20]和[-20,20]三個窗口期。研究結(jié)果顯示,企業(yè)海外并購在海外并購事件公告日前后的確存在股價異動現(xiàn)象,說明中國企業(yè)存在海外并購短期股東財富,并且這種影響會隨著窗口期的加長而變?nèi)�。從長期層面來看,進(jìn)一步修正BHAR模型,將企業(yè)規(guī)模、權(quán)益賬面-市值比(BE/ME)作為分類依據(jù),劃分為兩個維度,共計25組,剔除這兩類因素所引發(fā)的效應(yīng),使得研究結(jié)果更加準(zhǔn)確。研究結(jié)果顯示,中國企業(yè)海外并購并沒有帶來股東財富效應(yīng)。本文引入行為金融學(xué)理論,放松原有的理性經(jīng)濟(jì)人假設(shè),將有限理性機(jī)構(gòu)投資者的交易行為納入考量體系中,全面地揭示了機(jī)構(gòu)投資者微觀動態(tài)行為特征,構(gòu)建機(jī)構(gòu)投資者持股和交易行為影響企業(yè)海外并購短期股東財富的研究體系,選取機(jī)構(gòu)投資者持股比例和機(jī)構(gòu)投資者持股比例變動作為代理變量,全面地考察機(jī)構(gòu)投資者行為對企業(yè)海外并購短期股東財富效應(yīng)的影響。研究結(jié)果顯示,機(jī)構(gòu)投資者持股比例越大,企業(yè)海外并購短期股東財富效應(yīng)就越好;機(jī)構(gòu)投資者在海外并購事件宣告日前后持股比例變動越大,企業(yè)海外并購短期股東財富效應(yīng)越差,說明中國的證券市場中存在著“風(fēng)險補(bǔ)償效應(yīng)”。本文借鑒Brickly的研究,將機(jī)構(gòu)投資者分為壓力敏感型和壓力抵制型,將異質(zhì)性機(jī)構(gòu)投資者對企業(yè)海外并購股東財富效應(yīng)納入研究框架,彌補(bǔ)了現(xiàn)有研究的不足。研究結(jié)果表明,壓力抵制型機(jī)構(gòu)投資者的持股比例增加,企業(yè)海外并購的短期股東財富效應(yīng)越差,且該類型機(jī)構(gòu)投資者持股比例變化減弱了企業(yè)海外并購短期股東財富效應(yīng);而敏感型機(jī)構(gòu)投資者持股與企業(yè)海外并購短期股東財富之間存在著正向影響,其持股比例變化顯著增加了企業(yè)海外并購短期股東財富效應(yīng),說明不同類別的機(jī)構(gòu)投資者對企業(yè)海外并購短期股東財富效應(yīng)的影響存在異質(zhì)性。本文將機(jī)構(gòu)投資者積極股東主義納入到企業(yè)海外并購長期股東財富效應(yīng)的研究體系中,為避免內(nèi)生性問題,構(gòu)建OLS和2SLS計量模型。研究結(jié)果顯示,機(jī)構(gòu)投資者總的持股與企業(yè)海外并購的長期股東財富效應(yīng)之間無顯著關(guān)聯(lián),壓力抵制型和壓力敏感型機(jī)構(gòu)投資者持股對企業(yè)海外并購的長期股東財富效應(yīng)均沒有顯著影響,說明機(jī)構(gòu)投資者總體上來說并沒有達(dá)到企業(yè)治理的效果。同時,考慮到不同類型的機(jī)構(gòu)投資者持股比例高低也會對企業(yè)海外并購長期股東財富產(chǎn)生影響,本文進(jìn)一步進(jìn)行了深入的研究,結(jié)果顯示,券商、銀行和非金融機(jī)構(gòu)持股企業(yè)海外并購長期股東財富效應(yīng)具有負(fù)相關(guān)關(guān)系;相反,信托、金融機(jī)構(gòu)、QFII持股對企業(yè)海外并購長期股東財富效應(yīng)有正向影響,說明不同類型的機(jī)構(gòu)投資者持股對企業(yè)海外并購的長期股東財富效應(yīng)的影響存在一定的差異。最后,基于機(jī)構(gòu)投資者理論和實證研究結(jié)果,本文對中國機(jī)構(gòu)投資者健康有序地發(fā)展提出政策建議。
[Abstract]:Institutional investors in the financial market as an important investment force, conform to the social change and the change of economic environment and health, plays an important role in the economic development. As of the first half of 2016, A shares of listed companies institutional investors total holdings reached 2 trillion and 573 billion 685 million shares, accounting for the full development and financing channels of A shares 48.18%. benefit from institutional investors the smooth wave of overseas mergers and acquisitions of enterprises. Chinese raging like a storm in the "The Belt and Road", "China 2025" and a series of policy under the guidance of China enterprises to seize the opportunity in the global scope, and actively looking for mining was seriously underestimated the value of high-quality assets, and its asset China, China market restructuring and integration three, a quarter of 2016, China has replaced the United States to become the world's largest amount of mergers and acquisitions, marks China overseas mergers and acquisitions has entered a new stage of rapid development in this. Under the background of institutional investors with funds, information and resources for their own interests, more and more involved in overseas mergers and acquisitions Chinese enterprise, which has important theoretical and practical significance of overseas mergers and acquisitions of shareholder wealth effect on institutional investors. Through literature study found that existing research on overseas mergers and acquisitions the wealth effect of shareholders are mostly based on the perspective of enterprises or countries rather than starting from the perspective of institutional investors. In this paper, a new perspective of institutional investors in overseas mergers and acquisitions events as the core and the logic starting point, the wealth effect of shareholders for consideration, introducing the principal-agent theory to construct the theoretical framework of institutional investors for overseas mergers and acquisitions affect the wealth effect of shareholders and from the two aspects of the long-term and short-term analysis of all-round institutional investors trading behavior, and actively advocate The meaning of behavior of enterprises overseas mergers and acquisitions of shareholder wealth effect, reveals the influence of institutional investors on corporate mergers and acquisitions overseas shareholder wealth effect mechanism and conduction path, not only deepen the institutional investors' behavior theory, and enrich the theoretical connotation of overseas mergers and acquisitions. The short and long-term two aspects, constructing the research system of overseas mergers and acquisitions the wealth effect of shareholders, a more comprehensive system to study on overseas mergers and acquisitions the wealth effect of shareholders, and pay more attention to the influence factors of reality in the study, make the research results more credible. From the short-term perspective, taking into account the China capital market is semi strong and effective capital market system is not perfect and other factors, overseas mergers and acquisitions information there are likely to be leaked in advance, this paper will study the window period increased to 41 days, in addition to the regular window period, increased [-20, -1], [2,20] and [-20 20], the three window period. The results showed that the overseas mergers and acquisitions do exist stock transaction phenomenon in overseas mergers and acquisitions announcement date before and after that, China enterprises overseas mergers and acquisitions short-term shareholder wealth, and this effect will increase with the window becomes weak. From a long-term perspective, further modifying the BHAR model, the scale of the enterprise right, the book to market (BE/ME) as the basis of classification, divided into two dimensions, a total of 25 groups, the effect of these two factors removed, which makes the results more accurate. The results showed that China did not bring enterprises overseas mergers and acquisitions, the wealth effect of shareholders. This paper introduces the theory of behavior finance, relax the original some rational economic man hypothesis, trading behavior limited rational institutional investors into consideration system, fully reveals the micro dynamic behavior of institutional investors, institutional investors holding Study on the effect of corporate shares and trading system of overseas mergers and acquisitions short-term shareholder wealth, select the proportion of institutional investors and institutional investors' investment as a proxy, comprehensively study the behavior of institutional investors on corporate mergers and acquisitions overseas short-term shareholder wealth effect. The results of the study showed that the proportion of institutional investors holding more overseas mergers and acquisitions short-term shareholders the wealth effect is better; institutional investors in overseas mergers and acquisitions event declared before and after the change in ownership percentage increases, overseas mergers and acquisitions short-term wealth effect is worse, indicating the presence of "risk compensation effect" Chinese in the stock market. This paper from the Brickly study, institutional investors will be divided into pressure sensitive type and pressure resistant. The heterogeneity of institutional investors in overseas mergers and acquisitions of shareholder wealth effect in the framework of the research, the existing research does not make up Foot. The results show that the pressure against the shareholding ratio of institutional investors increased, the short-term wealth effect of shareholders overseas mergers and acquisitions is poor, and the types of institutional investors shareholding changes weakened overseas mergers and acquisitions short-term wealth effect of shareholders; but the sensitive institutional investors shareholding enterprises and overseas mergers and acquisitions between short-term shareholder wealth is positive influence of the shareholding ratio change significantly increased the overseas mergers and acquisitions short-term wealth effect of shareholders, that different types of institutional investors on the impact of overseas mergers and acquisitions in the short-term wealth effect of shareholders heterogeneity. This paper will study the system of institutional investors active shareholders into overseas mergers and acquisitions long-term shareholder wealth effect, to avoid the endogeneity problem OLS and 2SLS, to construct econometric model. The research result shows that institutional investors and enterprises overseas mergers and acquisitions long No significant correlation between the period of shareholder wealth effect, pressure resistant and pressure sensitive institutional investors did not have a significant impact on long-term shareholder wealth effect of overseas mergers and acquisitions, that institutional investors generally did not achieve the effect of corporate governance. At the same time, considering the proportion of institutional investors holding different types will also have an impact on overseas mergers and acquisitions long-term shareholder wealth, the paper further studied, results show that the brokerage, and non bank financial institutions holding enterprises overseas M & a long-term shareholder wealth effect has a negative correlation; on the contrary, trust, financial institutions, QFII shares have positive effects on overseas mergers and acquisitions long-term shareholder wealth effect, it indicates that there are some differences the effects of different types of institutional investors on corporate mergers and acquisitions overseas long-term shareholder wealth effect. Then, based on the The theoretical and empirical results of institutional investors, this paper puts forward policy suggestions on the healthy and orderly development of Chinese institutional investors.

【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2017
【分類號】：F279.2;F271

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本文編號：1411740