中国上市公司内部资本市场有效吗?——来自H股多分部上市公司的证据

从理论上说,外部资本市场无效或低效的情况下,企业集团可以通过构建内部资本市场有效配置资源。本文采用基于资产回报的现金流敏感性法,对H股多分部上市公司内部资本市场效率进行了直接测度。针对2000～2011年532个样本的面板数据的研究显示,上市公司内部资本市场总体有效,大部分上市公司能够通过内部资本市场持续有效地配置资源,部分上市公司具有出色的"挑选胜者"的能力。本文的研究结论符合理论预期,不仅为我国发展企业集团的经济政策提供了经验证据,而且为进一步的研究奠定了理论和方法基础。     

中国上市公司内部资本市场有效吗？--来自H股多分部上市公司的证据北大核心CSSCI

从理论上说,外部资本市场无效或低效的情况下,企业集团可以通过构建内部资本市场有效配置资源。本文采用基于资产回报的现金流敏感性法,对H股多分部上市公司内部资本市场效率进行了直接测度。针对2000～2011年532个样本的面板数据的研究显示,上市公司内部资本市场总体有效,大部分上市公司能够通过内部资本市场持续有效地配置资源,部分上市公司具有出色的"挑选胜者"的能力。本文的研究结论符合理论预期,不仅为我国发展企业集团的经济政策提供了经验证据,而且为进一步的研究奠定了理论和方法基础。     

中国“系族企业”分部经理影响力活动、内部资本市场及其配置效率

多元化集团内部资本市场(ICM)的资源配置效率随着分部经理影响分配决策能力的变化而改变。由于我国内部资本市场替代不完美外部资本市场以及多元化企业中更易频繁发生的影响力活动,研究中国ICM配置效率尤其是分部经理影响力活动对于ICM配置效率的影响更具意义。本文以中国资本市场"系族企业"为对象进行实证检验,突出研究多元化企业中分部经理影响力对于内部资本市场配置效率的影响作用。研究结论对于我国企业集团设计资本预算程序和薪酬激励体系提供了理论依据和标杆。     

CAPM模型在A股市场适用性的实证检验

选取上证A股市场的50只股票,基本覆盖了国民经济与民生的各个行业.截取样本股票在2014年9月至2019年9月这一研究区间的月频数据,对其进行回归分析,进而得知每只股票的系数和可决系数.最后得出实验结论:其一,CAPM模型并不适用于我国的A股市场;其二,由于中国的上市公司的数目增加迅速,股市扩容非常迅速可能导致样本股票的数据满足不了假设条件从而产生CAPM模型与实际表现之间的误差;其三,在上海证券交易所上市的A股股票大多数是进攻型股票,适合于风险偏好者;其四,我国的证券交易市场尚处于弱有效市场状态,并没有达到CAPM模型所要求的前提假设条件,投资者更多表现出盲目跟风投资;其五,在我国的资本市场中,国有经济占主导地位,散户们更愿意投资国有企业的股票;其六,在证券交易中,投资收益的多少不仅仅只受到系统性风险的影响,非系统性风险也会影响最终收益.     

我国民营企业集团内部资本市场配置效率的实证研究

本文以2003-2006为数据窗口,选取我国资本市场上20个民营系属上市公司为研究样本,利用EWIEWS软件对企业系中ICM的配置效率进行了实证研究。研究结果表明:①我国民营系内存在着活跃的资本市场,民营对比公司的投资支出对现金流的敏感性要明显高于民营系属公司,说明企业系中的ICM发挥了重新配置资本的功能。②由于系属上市公司对托宾Q不敏感(系数为负),故系属上市公司中的资本并没有高效率地配置给市场前景较好的投资项目。     

我国民营企业集团内部资本市场配置效率的实证研究

本文以2003-2006为数据窗口,选取我国资本市场上20个民营系属上市公司为研究样本,利用EWIEWS软件对企业系中ICM的配置效率进行了实证研究。研究结果表明:①我国民营系内存在着活跃的资本市场,民营对比公司的投资支出对现金流的敏感性要明显高于民营系属公司,说明企业系中的ICM发挥了重新配置资本的功能。②由于系属上市公司对托宾Q不敏感(系数为负),故系属上市公司中的资本并没有高效率地配置给市场前景较好的投资项目。     

我国民营企业集团内部资本市场配置效率的实证研究

本文以2003～2006为数据窗口,选取我国资本市场上20个民营系属上市公司为研究样本,利用EWIEWS软件对企业系中ICM的配置效率进行了实证研究.研究结果表明:①我国民营系内存在着活跃的资本市场,民营对比公司的投资支出对现金流的敏感性要明显高于民营系属公司,说明企业系中的ICM发挥了重新配置资本的功能.②由于系属上市公司对托宾Q不敏感(系数为负),故系属上市公司中的资本并没有高效率地配置给市场前景较好的投资项目.     

商业银行跨区域资本配置与内部资本市场效率——基于2007-2013年A股上市银行分部数据的研究

商业银行作为大型金融企业集团,其内部资本市场是否有效是一个很有意义的话题。但截至目前,我国关于商业银行内部资本市场的研究仍十分鲜见。本文以跨地区经营的A股上市商业银行为样本,研究发现,我国商业银行的内部资本市场总体上是有效的;银根紧缩时期银行内部资本市场效率会有所下降;与国有股份制商业银行相比,其他股份制商业银行在从事内部资本跨地区配置活动时更加重视分部的盈利能力,其资源配置效率更高;另一方面,国有股份制商业银行在进行资本配置时会更多地将资本转移至经济发展水平相对较低的地区,其他股份制商业银行则并没有表现出明显的地域偏好。这一研究结果表明,我国国有股份制商业银行在统筹区域经济发展方面做出了一定的贡献,但在一定程度上存在资源配置效率的损失。     

上证A股银行股系统性风险实证分析

现代金融理论是建立在资本资产定价模型(CAPM)和有效市场假说(EMH)两大基石上的。本文以上证A股银行股为研究对象,通过时间序列回归方法得出CAPM模型中的贝塔系数和R-squared值,通过贝塔系数对银行股的类型进行分类,并建议投资者根据自身的风险偏好选择相应的股票。通过回归分析得出的R-squared值分析出银行股股价波动的因素大部分来自市场整体因素。比较股改前后β系数的变化,银行股的系统风险略有增加。以贝塔系数为因变量,以公司治理为自变量,进行回归分析,结果表明公司治理对上市银行股价系统性风险没有显著的影响,这与通过依据R-squared值得出银行股股价波动的因素大部分来自市场整体因素的结论相吻合。     

交叉上市的资本成本效应之实证研究

交叉上市的资本成本效应是从公司理财角度研究交叉上市的核心领域。本文以截止2008年6月30日在内地、纽约与香港交叉上市的11家中国公司为样本,分别采用CAPM和Gordon模型估算分析公司在内地、纽约和香港三个市场的资本成本,结果表明:(1)在A股市场CAPM模型下的资本成本要高于Gordon模型下的资本成本,而在N股市场和H股市场,结果相反;(2)采用CAPM模型与Gordon模型均证明公司在A股市场的资本成本(β系数)低于其在N股和H股市场的资本成本。A股市场较低的资本成本反映出我国股票市场对投资者利益保护不足,我国股票市场亟需加强对投资者利益的保护。     

Segment Disclosure Transparency and Internal Capital Market Efficiency: Evidence from SFAS No. 131

Using the adoption of SFAS 131, I examine the effect of segment disclosure transparency on internal capital market efficiency. SFAS 131 requires firms to define segments as internally viewed by managers, thereby improving the transparency of managerial actions in internal capital allocation. I find that diversified firms that improved segment disclosure transparency by changing segment definitions upon adoption of SFAS 131 experienced an improvement in capital allocation efficiency in internal capital markets after the adoption of SFAS 131. In addition, I find that the improvement in internal capital market efficiency was greater for firms that suffered more severe agency problems before the adoption of SFAS 131 and also for firms whose managers faced stronger incentives to improve efficiency after the adoption of SFAS 131. My results suggest that more transparent segment information can help resolve agency conflicts in the internal capital markets of diversified firms, thus improving investment efficiency.     

Should business groups be dismantled? The equilibrium costs of efficient internal capital markets

We analyze the relationship between conglomerates’ internal capital markets and the efficiency of economy-wide capital allocation, and we identify a novel cost of conglomeration that arises from an equilibrium framework. Because of financial market imperfections engendered by imperfect investor protection, conglomerates that engage in winner-picking (Stein, 1997 [Internal capital markets and the competition for corporate resources. Journal of Finance 52, 111–133]) find it optimal to allocate scarce capital internally to mediocre projects, even when other firms in the economy have higher-productivity projects that are in need of additional capital. This bias for internal capital allocation can decrease allocative efficiency even when conglomerates have efficient internal capital markets, because a substantial presence of conglomerates might make it harder for other firms in the economy to raise capital. We also argue that the negative externality associated with conglomeration is particularly costly for countries that are at intermediary levels of financial development. In such countries, a high degree of conglomeration, generated, for example, by the control of the corporate sector by family business groups, could decrease the efficiency of the capital market. Our theory generates novel empirical predictions that cannot be derived in models that ignore the equilibrium effects of conglomerates. These predictions are consistent with anecdotal evidence that the presence of business groups in developing countries inhibits the growth of new independent firms because of a lack of finance.     

Executive compensation and internal capital market efficiency

We document that chief executive officer (CEO) incentive compensation plays an important role in determining internal capital market (ICM) allocation efficiency. Our results suggest that CEO equity-based compensation can be effective in ameliorating inefficiencies in internal capital allocation decisions. We find that while stock grants play an important role in motivating CEOs to make more efficient internal capital allocation decisions, there is surprisingly no discernible influence of stock options. Our analysis supports the view that private benefits derived by managers are increasing in internal capital misallocation. We also document a strong positive link between CEO incentive compensation and excess value of diversified firms suggesting that the diversification discount can be ameliorated with CEO incentive compensation. The study contributes to the ICM literature and the literature on conglomerate diversification discount.     

The pernicious effects of contaminated data in risk management

Banks hold capital to guard against unexpected surges in losses and long freezes in financial markets. The minimum level of capital is set by banking regulators as a function of the banks’ own estimates of their risk exposures. As a result, a great challenge for both banks and regulators is to validate internal risk models. We show that a large fraction of US and international banks uses contaminated data when testing their models. In particular, most banks validate their market risk model using profit-and-loss (P/L) data that include fees and commissions and intraday trading revenues. This practice is inconsistent with the definition of the employed market risk measure. Using both bank data and simulations, we find that data contamination has dramatic implications for model validation and can lead to the acceptance of misspecified risk models. Moreover, our estimates suggest that the use of contaminated data can significantly reduce (market-risk induced) regulatory capital.     

从证券投资收益结构看中国A股的“股价悖论”

中国A股股价与经济发展趋势的背离即“股价悖论”是中国证券市场近年面临的一个重要问题,股票投资收益成为影响投资者参与投资动机的决定性因素。在中国A股市场投资收益结构中,主要以资本利得为主而与股票红利关联不大。这种投资收益结构不均衡是造成“股价悖论”的原因,而不均衡又源于中国证券市场的不成熟及投资者投资动机的投机化。     

The Impact of Business Groups on Investment Efficiency: Does Capital Allocation Matter?

Using data on internal capital markets in China, this paper examines the influence of internal capital markets on investment efficiency in business groups. The empirical results show that using internal capital markets can alleviate over invests within business groups. In addition, it can alleviate deficiencies in R&D investment in business groups effectively. The impact of internal capital markets on investment efficiency varies between state-owned enterprises and private enterprises. At private enterprises, internal capital market operations significantly alleviate overinvestment and promote R&D investment. However, at state-owned enterprises, internal capital market operations increase overinvestment and reduce investment in R&D.     

Internal capital market efficiency and the diversification discount: The role of financial statement comparability

This paper investigates how financial statement comparability affects the efficiency of internal capital markets and diversification discounts in multi‐segment firms through monitoring mechanisms. Previous studies suggest that financial statement comparability improves transparency and reduces the cost of information processing, mitigating information asymmetry between managers and shareholders. Using measures of comparability and internal capital efficiency, we find that financial statement comparability has a strong positive influence on internal capital market efficiency. Further, we find that by improving the efficiency of internal capital markets, financial statement comparability indeed mitigates diversification discounts. Especially, the effect of financial statement comparability is more pronounced for firms with high information asymmetry or operating environment volatility. The results support our arguments that financial statement comparability enhances the efficiency of internal capital markets and increases firm value in diversified firms by mitigating agency problems via monitoring and corporate control mechanisms.     

内部资本市场 公司绩效与控制权私有收益——以华通天香集团为例分析

基于内部资本市场理论,当企业集团对内部各成员部门不是100%控股时,资源在内部资本市场的转移会产生较大的摩擦,内部资本市场存在效率不足。在处于转轨时期的中国企业,公司治理尚不完善、代理问题比较严重,势必影响内部资本市场功能的正常发挥。本文以华通天香集团为例,分析了上市公司内部资本市场运作的主要路径及产生的经济后果,发现原本在于提高资本配置而存在的内部资本市场部分地被异化为进行利益输送的渠道。另外,在本例中没有发现企业进行明显的跨部门交叉补贴证据。     

Internal capital markets and employee wage: Evidence from China

The existing literature mainly focuses on the economic consequences of the internal capital market at firm level, while rarely literatures explore the effect on individual perspective. Based on manually collected data of the internal capital market from 2007 to 2018 in Chinese business groups, we examined whether and how internal capital market affects the employee wage. We find that internal capital market can add the employees wage. Further, the mechanism analysis shows that internal capital market can improve the employees wage by reducing operating risks, improving capital intensity and alleviating financing constraints. Heterogeneity analysis shows that this effect is more significant for private enterprises. This paper provides useful guideline for the improvement of employee's welfare and then benefit for enhance firm productivity.