业绩承诺背后的财富转移效应研究

业绩承诺已成为我国上市公司并购重组的基本特征,但在这一热潮下,违约现象也屡有发生,促使人们思考业绩承诺背后的真实动机。本文基于我国资本市场的高频交易数据,从财富转移与信号传递两个视角辨析了并购重组中业绩承诺对机构和个人投资者在资金流向与投资收益方面的影响。研究发现,业绩承诺信息公告后,小投资者会更多买入并购企业股票,其投资收益为负并遭受了较大损失;而大投资者则显著降低其持仓,投资收益显著为正,财富效应在大小投资者之间转移明显。进一步的研究还发现,财富转移效应在业绩承诺违约、自愿性业绩承诺的并购重组中的差异更大,这表明业绩承诺更多以保护机制之名行信息优势之实。而深层次的分析发现,信息透明度较高、对投资者利益保护较好的公司,其财富转移效应差异程度会得到较好抑制,大投资者的信息优势和知情交易行为有所收敛。本文的研究发现佐证了业绩承诺机制背后财富转移效应的存在,其结论启示我们,不断提高公司信息透明度、合理设定业绩承诺发生违约时的赔偿额和加大对业绩承诺违约的处罚力度仍是业绩承诺发挥真正保护机制的重中之重。

The Wealth Transfer Effect under Performance Commitment

Chinese enterprises rely on mergers and acquisitions (M&A) to optimize industrial layouts and upgrade industrial structures, and how to prevent the valuation and pricing risk of benchmark assets is the core issue during M&A. Performance commitment is a protection mechanism that guarantees the future expected return of the underlying assets, alleviates the acquirer's worry about the future profitability of the underlying assets, and reduces the pricing risk in the M&A transaction. However, the capital market questions the real effect of performance commitments because they have a high default rate. Performance commitments raise the valuation of the underlying assets, helping the asset's seller obtain excess returns. They also provide the market with strong expected performance information about the underlying assets, which drives up the stock price of the asset purchaser's secondary market. The acquirer's major shareholders and institutional investors use the rise in the secondary market as an opportunity to obtain large profits by means of a pledge or reduction of shares at the expense of small investors. Therefore, M&A performance commitments do not protect the interests of listed companies and small investors, considering their high default rate. The original intention behind a performance commitment is that it will alleviate information asymmetry and protect the investors' rights and interests. Instead, performance commitments work against the listed companies and small investors' interests by creating gimmick-like market value speculation. The literature has focused on performance commitment's internal mechanisms, the relationship between performance commitment and M&A risk, and the incentive effect. However, the studies have not considered how performance commitment's external signal affect M&A stakeholders or whether the signal is used maliciously for hype. The latter may cause a wealth transfer effect, which harms small investors. Nor have studies shown whether performance commitments are intentionally used to alleviate information asymmetry. Therefore, this paper studies the role of wealth transfer and signal transmission in the decision-making behavior of different types of investors. This study is an important supplement to the literature because it systematically interprets the performance commitment mechanism. In answering this paper's thesis, we found that small investors buy more of an acquirer's shares, while large investors are motivated by timed trading to sell significant amounts of stock. In terms of investment income, small investors suffer a great loss, while large investors gain. We found a significant wealth transfer effect between the large and small investors under a performance commitment. Research has indicated that the market's interpretation of performance commitment has changed. Capital market investors are concerned about the increase in performance commitment defaults. The performance commitment's success as a protection mechanism depends on the acquirer's integrity and dedication to the commitment. Therefore, this paper attempts to answer the following question: can high information transparency and stronger protections for investors weaken the performance commitment's wealth transfer effect？ Our research shows that M&A companies with high information transparency and stronger protections for investors are better at suppressing the wealth transfer effect, and the information advantage and informed trading behavior of large investors converge. China's financial regulatory institutions have cracked down on fraud and ensured that listed companies have provided true, accurate, complete, and timely information disclosures. The environment now allows us to examine the following question: what role do performance commitments play in M&A when the market's inertia for performance commitments and the subsequent large-scale breach of contracts occur simultaneously, and what would make the mechanism more effective？ The performance commitment is the central research problem of the current financial supervision environment. Studies on the role of wealth transfers and signal transmissions in performance commitments will show the best method of supervision for performance commitments and the best punishment mechanism for asset restructuring. The findings will help regulators determine targeted measures to improve the effect of performance commitments.