掏空、财富效应与投资者保护——基于上市公司关联担保的经验证据

LLS(1999)指出,上市公司的主要代理问题并不是在管理者和股东之间,而是在大股东与小股东之间。国外众多研究提供了大股东掏空的证据。控股股东掏空是各国普遍存在的问题,但在投资者利益保护水平低的国家尤为严重。本文以2001—2004年我国非金融业A股上市公司为研究样本,实证研究了最恶劣的掏空形式之一——关联担保,得出的主要结论如下:(1)关联担保发生的概率、次数与相对金额从2001年到2004年呈递增趋势。(2)有关联担保的上市公司的Tobin-Q比无关联担保的公司平均低0．2,关联担保每增加一次, Tobin-Q下降0．09,关联担保率每增加一个百分点,Tobin-Q下降0．4;有关联担保的公司的年度异常回报率比无关联担保公司低3%,关联担保每增加一次,年度异常回报率下降2%,关联担保率每增加一个百分点,年度异常回报率下降9%。(3)第一大股东持股比例与关联担保显著负相关,股权制衡没有发挥对关联担保的抑制作用。(4)投资者利益保护水平与关联担保显著负相关。总之,本文发现上市公司的关联担保损害了投资者利益,提高投资者利益保护水平在一定程度上可以缓和控股股东的掏空。

Tunneling,Wealth Effect,and Investor Protection:Empirical Evidence from the Related Party Security of Chinese Listed Firms

LLS(1999)point out that the main principal-agent problem of listed firms does not lie between shareholders and management,but between controlling shareholders and small shareholders.Their point of view has received strong supports by lots of empirical evi- dence on tunneling of controlling shareholders.Though tunneling is a worldwide problem,it is particularly severe in countries with weak legal protection of small investors.This research paper empirically investigates one of the worst types of tunneling-related party security,ba- sing on the data of all Chinese non-financial A-share listed firms during the time period from 2001-2004.It draws the major conclusions as follows:(1)The frequency,times and rela- tive amount of related party security increase from 2001-2004.(2)The Tobin-Q of firms with related party security is on average by 0.2 smaller than that of firms without related par- ty security.The Tobin-Q decreases by 0.09 with an additional related party security,and by 0.4 with 1 percent increase in the ratio of related party security.The annual abnormal return ratio of firms with related party security is 30 percent lower than that of firms without related party security.The annual abnormal return ratio decreases 2 percent with an additional elated party security,and 9 percent with 1 percent increase in the annual abnormal return ratio. (3)The holding ratio of the biggest shareholder is significantly negatively correlated with the related party security,and the balanced ownership can not help restrain the related party se- curity.(4)The level of investor protection is significantly negatively correlated with the re- lated party security.In a word,this paper shows that the related party security of listed firms hurt investors,and reinforcing investor protection can to some extent abate the tunneling of controlling shareholders.