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论文编号：	2067
作者编号：	2004007
上传时间：	2010/4/14 15:22:24
中文题目：	公司治理的价值相关性研究——来自沪深两市的经验数据
英文题目：	Corporate Governance, Value Relevance
指导老师：	成思危
中文关键字：	公司治理 价值相关性 信息含量 治理披露 治理溢价
英文关键字：	Corporate Governance, Value Relevance, Information Content,
中文摘要：	进入二十一世纪，人们对公司治理问题给予的热情非但没有减弱，反而比以前更加强烈，无论是发达国家还是发展中国家都非常重视公司治理，公司治理成为资本市场关注的焦点。一场席卷全球经济领域的公司治理革命正在各地兴起，许多国家纷纷提出了一系列改进公司治理的措施，以此保障投资者的合法权益。并且相继推出各种公司治理评价系统，例如标准普尔（Standard Poor）公司治理评分系统（CGS）、里昂证券（CLSA）的公司治理评价指数（CGI）、戴米诺（Deminor）的公司治理评级系统（CGR）、穆迪公司（Moody）的公司治理评估系统（CGA）、南开大学公司治理研究中心（RCSCG）推出的中国公司治理评价指数（CCGINK）。一些国家或者地区的有关部门也陆续制定了专门的公司治理披露政策，例如加拿大、澳大利亚、香港、联合国贸发大会等。 正是在各国监管部门和投资者越来越重视公司治理质量的状况、大量公司治理评价系统的推出和公司治理披露增强的背景下，在公司治理与公司绩效关系越来越明确的基础上，特别是上市公司舞弊案频发的今天，将公司治理与资本市场的关系联系起来，我们可以研究投资者在投资决策中是否考虑了公司治理因素。如果考虑了，那么公司治理因素能够解释股票价格多少比例？能否通过对公司治理因素的掌握来获取超额回报？这些问题是论文关注的核心问题。 会计盈余与股票价格的关系已经在实证会计研究中“打通”，这里面包括Beaver的三级关联假说和Ohlson的二级关联假说。只要公司治理与会计盈余之间存在关系，我们就可以建立公司治理与股票价格的关系。为此，本论文首先研究了公司治理与会计盈余之间的关系。本论文选择了主营业务利润来代表会计盈余。利用2002-2005年4032个样本的平衡面板数据进行分析，结果表明，公司治理存在显著的滞后效应，当期公司治理与当期会计盈余不存在显著的关系，而与下一期会计盈余存在显著的正相关关系。这样本论文建立了当期公司治理—未来会计盈余—未来股利—未来股票价格的新三级关联假说和当期公司治理—未来会计盈余—未来股票价格的新二级关联假说。这是本论文后面开展治理披露信息含量、治理相对和增量价值相关性及治理溢价研究的逻辑前提。 首先，采用基于信息观的事件研究方法，来研究年度公司治理披露的市场反应，即回答公司治理是否影响股票价格。样本为2003-2005年经过筛选的198家、195家和174家上市公司。研究结果表明，年度公司治理披露具有一定的信息含量，研究样本与控制样本公司治理披露信息含量存在显著的差异，各年度的研究样本与控制样本的市场反应力度和速度不同，存在反应过度现象，这时了解公司治理状况的投资者介入股市能够获取超额回报。我国股票市场未达到半强式有效。这是本论文的第一个创新点所在。 其次，采用基于计价观的价格模型，来研究公司治理与股票价格关系，包括增量价值相关性和相对价值相关性，即回答公司治理是如何影响股票价格。常用研究模型有两种，即价格模型和收益模型。两种模型各有优缺点，本论文结合国内的研究情况，选择了Ohlson价格模型来研究公司治理与股票价格的关系。2002-2005年3976个样本的平衡面板数据的实证结果表明，当期公司治理具有相对价值相关性和较低的增量价值相关性，而前期公司治理只具有相对价值相关性。分年度结果显示相对价值相关性呈现出提高的趋势。本论文也检验了公司治理分指数与股价的关系。这是本论文的第二个创新之处所在。 最后，采用Fama-French定价模型，来研究中国股市的公司治理溢价问题。本论文的年度治理披露信息含量的检验结果表明，了解公司治理状况的投资者在治理信息披露以后介入，仍然可以获得超额回报；同时，公司治理的价值相关性研究表明，投资者决策时考虑了治理因素，价值相关性呈逐年上升的趋势，但价值相关性比较低。也就是说投资者没有完全预期公司治理的作用，公司治理信息只有部分反映在股票价格中，在公司治理信息披露以后感到震惊，同时调整自己的预期。基于这样的情况，公司治理溢价便产生了。于是，本论文利用Fama-French三因子定价模型检验中国股票市场是否存在公司治理溢价。结果表明，中国股市存在着8.73%的治理溢价。这是本论文的第三个创新之处所在。 Robert M. Bushman和Abbie J. Smith（2001）指出未来对公司治理的研究将转向资本市场的效应，即进一步与股票价格联系起来。将公司治理与公司绩效关系的研究拓展到公司治理与股票价格关系，以及在此基础上的公司治理与超额回报的关系研究，从理论上来讲具有重要的意义。对于完善我国上市公司治理披露、提高投资者理性、发布公司治理股价指数、提升上市公司治理水平以及提高资本市场的效率具有重要的现实意义。
英文摘要：	Entering for the 21st century, the enthusiasm to the corporate governance is not being weakened, on the contrary especially more intense than previously, regardless of in the developed countries or the developing nations. Corporate governance becomes the focal point during the course of capital market development. The corporate governance revolution emerges in the whole world economic fields with many measures being taken to ensure investors’ legitimate rights and interests. And consecutively, various corporate governance valuation systems were issued, for instance Standard & Poor corporate governance grade system (CGS), CLSA corporate governance valuation index (CGI), Deminor corporate governance rating system (CGR), Moody corporate governance assessment system (CGA), Research Center for the Studies of Corporate Governance of Nankai University China corporate governance index (CCGINK). Some countries or the local departments concerned also one after another formulated the special corporate governance disclosure policy or instruction, for example Canada, Australia, Hong Kong, the United Nations Conference on Trade & Development and so on. Exactly more and more attention being paid to the corporate governance quality of listed companies, large amount of corporate governance systems being issued and more corporate governance information being revealed, the relation between corporate governance and corporate performance being explicit, especially the cases of the fraudulent listed companies being more, it is necessary to study whether the investors have considered the corporate governance factor in the investment decision-making? If having considered, how much proportion is corporate governance factor to be able to explain the stock price? Whether we can achieve abnormal returns if investors grasp the corporate governance quality of some companies? The thesis shows solicitude for these problems. The relation between accounting earnings and stock price is already studied in positive accounting theory (PAT), which involves the three grades relation hypothesis of Beaver and the two grades relation hypothesis of Ohlson. We may establish the relation between corporate governance and stock price so long as the paper can link the corporate governance to accounting earnings. Therefore, the dissertation studies the relation between corporate governance of t year and accounting earnings of t year or t+1 year. We choose the main business profit financial index to represent accountant earnings. The empirical results show that there is lag effect of the relation between corporate governance and accounting earnings using 2002-2005 year 4032 samples balanced panel data, in another words, the corporate governance of t year is not significantly positively correlated to the accounting earnings of t year, but significantly positively correlated to the accounting earnings of t+1 year. So the thesis establish the new three grades (corporate governance of t year - accounting earnings of t+1year - dividends of t+1 year - stock price of t+1 year) and two grades (corporate governance of t year- accounting earnings of t+1year - stock price of t+1 year) relation hypothesis of the relation between corporate governance and stock price. This is the premise for the study of corporate governance disclosure information content, the relative value relevance and incremental value relevance, and the corporate governance premium. Firstly, using event study method based on the informative perspective, the dissertation studies the market reaction of annual corporate governance disclosure, this answers the question whether corporate governance disclosure affects stock price. The sample number is 198 of 2003, 195 of 2004 and 174 of 2005. The findings indicate that, the annual corporate governance disclosure is informative; the information content of the good corporate governance samples (Top 100) and bad corporate governance samples (Low 100) is significantly different; the reaction time and depth of these two groups are also different in different years. The phenomena of over-reaction being popular with two groups, the investors can achieve some abnormal returns if they can appraise the corporate governance quality of some companies rightly. The capital market is not semistrong-form efficiency. This is the first innovation of the dissertation. Secondly, we adopt the price model basing on the valuation perspective to study the relations between corporate governance and stock price including the relative value relevance and incremental value relevance of corporate governance, which answers how corporate governance affects stock price. There are two kinds of models to test the value relevance including price model and return model. Each model has its own superiority and shortcomings at the same time. We chose the Ohlson price model to study the value relevance of corporate governance according to the domestic related study results. Results of 2002-2005 3976 samples balanced panel data indicate that the corporate governance of t year has relative value relevance and lower incremental value relevance; while the corporate governance of t-1 year just only has relative value relevance. The relative value relevance of corporate governance of different years demonstrates the improving trend. We also check the value relevance of corporate governance using the sub-index of corporate governance. This is second innovative content of the thesis. Finally, we use Fama-French model to study the corporate governance premium of Chinese stock market. The results of corporate governance disclosure information content indicate that the investors can achieve abnormal returns if investors know about the corporate governance after the disclosure of annual report; meanwhile, the results of corporate governance value relevance show that the investors consider corporate governance factor, but the relative value relevance of corporate governance is higher in recent 2 years. In general, investors do not completely anticipate the important role of corporate governance according to the expectation theory, or the corporate governance factor is just partially reflected in the stock price, then the corporate governance premium generates. So we imply three factors model (Fama-French model) to detect the corporate governance premium of Chinese stock market. The empirical results demonstrate that there is 8.73 percent corporate governance premium in Hu & Shen stock markets. This is the third innovative point of the paper. Robert M. Bushman and Abbie J. Smith (2001) point out future research of corporate governance will change to the market effect, namely further relates corporate governance with the stock price. The study of the relation between corporate governance and stock price will develop the research field about corporate governance and corporate performance. Therefore this topic will be significant in theory. The empirical results are beneficial to promote the corporate governance disclosure of listed companies, to improve the irrationality of investors, to issue the corporate governance stock price index, to enhance the corporate governance level of listed companies, and to raise capital market efficiency in practice.
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