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论文编号：	5430
作者编号：	1120100770
上传时间：	2013/6/7 21:04:12
中文题目：	公司治理、信息传导与公司价值 ——基于中国上市公司并购的研究
英文题目：	Corporate Governance, Information Transmission and Firm Value: Evidence from M&A Returns of China Listed Firms
指导老师：	陈超
中文关键字：	公司治理；异质信念；信息含量；信息扩散；市场价值
英文关键字：	Corporate Governance, Heterogeneous Bliefs, Informativeness, Information Diffusion, Market Value
中文摘要：	经历了30余年的成长，A股市场已经成为企业重要的融资平台和资本重新配置的场所，对上市公司的市场价值产生深远的影响。因此立足于中国A股市场，对上市公司市场价值的变化规律和影响因素展开研究，对进一步提高企业的运营质量和完善市场运行机制具有重要的理论和实践意义。 本文通过分析我国A股上市公司作为收购公司在并购首次宣告期间市场价值的波动规律，研究公司治理机制对投资者行为和股票市场信息传导的影响，进而揭示“公司治理→股票市场信息含量→上市公司市场价值”的影响路径。 本文的研究针对“代理关系”、“信息不对称”和“市场有效性”三类问题展开。基于“代理冲突”导致“信息隐藏”和“行动隐藏”的假设，本文研究公司治理与投资者信息收集行为和公司信息披露行为的关系；分析公司治理对资本市场信息含量的影响；最终揭示公司治理通过信息传导机制影响公司价值的路径。 本文首先通过构建描述投资决策行为的动态规划模型，证明了信息成本对理性投资者收集信息行为的影响机制，并发现了信息成本与资本市场投资者异质信念的关系；然后，本文使用股票市场投资者，以及分析师的经验数据验证了公司治理水平与资本市场信息含量的关系；此外，本文通过构造反映信息扩散代理变量，检验了公司治理对信息扩散的影响；最后本文检验了公司治理与认证信息披露的关系，并且分析了上市公司披露认证信息对公司价值的影响。本文在研究中，一方面发现了“公司治理水平提高→投资者异质信念提高→公司价值降低”的影响路径；另一方面发现了“公司治理提高→认证信息披露提高→公司价值提高”的影响路径。 本文的主要研究结论如下： 信息成本和投资者预期的不确定性抑制了投资者收集信息的动机。信息成本的降低，激励了对资产收益具有更高不确定性的投资者收集信息，从而增加了股票市场的信息含量。 本文分别对公司治理指数与股票价格异质波动、分析师预测分歧之间的关系进行检验，验证了公司治理水平的提升导致投资者异质信念水平的提高。 本文的研究发现，公司治理对信息扩散具有促进作用，但是这种促进作用在公共信息和私人信息扩散过程中存在差异：与控制权结构有关的公司治理变量抑制了信息扩散；所有权结构促进了信息扩散；管理层激励、治理活动促进了私人信息扩散。 本文研究发现股票价格的异质波动抑制了收购公司的并购宣告收益。投资者异质信念在资本市场出现“好消息”和“坏消息”时具有不平衡性，表现为“杠杆效应”。 本文发现公司治理与认证信息披露的发生比率存在正相关关系；认证信息有助于降低投资者的逆向选择，保护企业市场价值。 综合全文的研究结论，本文认为：一方面，公司治理水平的提高可以增加股票价格中的投资者私人信息，然而投资私人信息的增加抑制了公司披露投资信息为企业带来的市场增值；另一方面，公司治理良好的企业也可能通过披露具有高信息含量的认证信息，降低投资者对风险溢价的要求，从而提高企业的市场价值。 本文的创新点说明如下： 研究视角与以往不同。以往的研究大多将“公司治理→企业运营质量→公司价值”作为公司治理对企业价值的影响路径，本文的研究则从“公司治理→资本市场信息含量→公司价值”的影响路径，分析公司市场价值的影响因素和形成机制。 本文从投资者消费效用最大化的目标出发，运用动态规划的方法对信息成本、投资者不确定性与投资者收集信息行为之间的关系进行证明，本文的研究设计有别于Grossman & Stiglitz（1980）的研究，并且证实了信息成本的降低激励了资本市场中投资者异质信念的提高。 本文发现公司治理对资本市场信息具有显著影响。本文认为公司治理的改善降低了投资者收集信息的成本，激励了投资者收集信息和交易的动机，促进了股票市场异质信息含量的增加，同时抑制了股票市场中的同质信息含量。本文的研究首次报告了公司治理对资本市场含量产生影响的实证证据，并且检验了公司治理对质信息和异质信息含量的影响差异，丰富了公司治理研究文献。 本文的研究为公司治理对信息扩散的影响提供了实证证据。本文首次使用VAR模型对信息扩散进行测量，并且对公共信息扩散和私人信息扩散进行了区别。在实证检验中，本文发现公司治理对同质信息扩散和异质信息扩散产生的影响存在差异，其中：控制权结构抑制信息扩散；所有权结构激励了信息扩散；激励机制和治理活动对私人信息的扩散具有显著的促进作用。本文的研究弥补了现有信息扩散研究的不足。 本文以A股上市公司为样本，研究发现的公司治理导致投资者异质预期对公司价值具有抑制作用。研究表明，投资者对治理良好的上市公司的预期存在更高的异质性，并且抑制了收购公司的并购宣告收益。本文研究认为，公司治理对资本市场信息流动的影响抑制了“好消息”对公司价值的积极影响，但是却加重了“坏消息”对公司价值的消极影响，从而表现为“杠杆效应”。本文从资本市场信息流动的角度解释了公司治理对公司价值的影响机制。 本文的研究发现认证信息披露可以抑制投资者异质信念对公司价值的损害。本文研究认为认证信息披露有助于提高资本市场的公共信息含量，降低了投资者对上市公司风险溢价的要求，抑制市场的噪声信息对公司价值的影响。本文的研究定义了公司信息披露过程中认证信息的特征，指出银行贷款信息披露具有独特的认证效用。本文的研究结论为信息披露的研究提供了新的证据。
英文摘要：	Over the past 30 years, China's A-share stock market had played an important role in financing and investing in the market economy system. Thererfore, the studies of traits of firms’ value, which based on China A-share stock market, could provide theoretical and practical evidences for us to improve the quality of firms’ operation and market system meaningfully. Based on the samples from M&A events of China A-share listed firms, this dissertation analyzed the fluctuations of firms’ market value, and then studied the mechanism of influence of corporate governance on information transmission. Furthermore, this dissertation drawed the conclusion which elaborated the impact path that corporate governance influenced firms’ market value via informativeness in stock market. In the view of “Agency Relationship”, “Information Asymmetry” and “Market Efficiency”, the dissertation made the design of this research. Under the hypotheses of “information hidings” and “action hidings” caused by agency inflicts, this dissertation studied the relationship among the corporate governace, motivation in information gathering of investors and firms disclosure behavoirs. Then, it analyzed the influences of corporate governance on informativeness in stock market. At last, it revealed the influence mechanism of corporate governance on firms’ market value via information transmission. This dissertation described the behaviors of investors who might gather information by himself by a dynamic programming model. In this model, it found the relationship between the information cost and investors’ heterogeneous belifs by proving the influence mechanism of information cost on investors’ information gathering behaviors. Next, this dissertation demonstrated the relationship between corporate governance and informativeness in stock market by the empirical data from stock investors and sell-side analysts. Furthermore, it modeled the proxies for information diffusions to prove the mechanism of corporate governace on information diffusions. Eventually, this dissertation tested the relationship between corporate governace and behavior of verified information disclosure by firms and analyzed the influence of announcement of verified information on firms’ market value. In this dissertation, it was found that two different impact pathes by corporate governace on firm’s market value. The 1st one could be described as “the improvement of corporate governance decreased of firms’ market value via the increase of investors’ heterogeneous belifs”; the 2nd one was “the improvement of corporate governance increased firm’s market value via the disclosures of verified information”. The major conclusions of this pape are: Low information costs attacked the investors with high uncertainty to observe heterogeneous information of firms, thereby increasing informativeness in stock market. The divergency of investors’ expectations increased with the level of corporate governance, which suggested the higher heterogeneity of investors’ beliefs. Corporate governance promoted diffusions of private information of investors, meanwhile restraining public information diffusions. Heterogeneous beliefs of investors had leverage effects on CARs of M&A announcement, which made an imbalance performance in stock market when there was good news or bad news. The firm with good corporate governance likely disclosed certificated information which could alleviate the damage of heterogeneous beliefs on firm’s value. The innovations in this dissertation can be summarized as the followings: The study in this dissertation started from a new viewpoint described as “corporate governance influences firms’ value via informativeness in stock market”, which is different from traditional study such as “corporate governance makes impacts on firms’ value by the quality of corporate operation” A dynamic programming method was utilized in the study of relationship between information cost and investor’s heterogenous belief, which is different to the Grossam & stiglitz’s (1980) approach. This study shows that the lower information cost results in higher heterogeneous belifs. The dissertation founded that corporate governance had a significant impact on informativeness of capital markets. The improvement of corporate governance reduces the cost of gathering information and motivates the trades by informed traders, which enhances the heterogeneity in stock market and reduces the homogeneity. This study enriches the corporate governance research literature. The study provides empirical evidence for the impacts of the corporate governance on information diffusions. It was found that corporate governace play different roles in diffusions of public information and private information. The control structure of firm suppresses information diffusion; however, ownership structure enhaced information diffusion; and incentive mechanism and governance activities have a significant effect in promoting the diffusion of private information. This dissertation makes up for the deficiencies of the existing literatures about information diffusion. This study found that investors’ heterogeneous expectations had a leverage effect on M&A announcement returns. When the “bad news” of acquirer entered into stock market, investors with heterogeneous beliefs might overreact more than in the occasion when the “good news” arrived. Especially, in the share merger samples, investors’ heterogeneous expectations made damage to firms’ market value much more. The dissertation found that certification information could inhibit the impacts of investors’ heterogeneous beliefs on the firm’s value. This dissertation found the certified effect of bank-loan which was helpful to improve public information in capital market, and restrained the market noises which induce the risk premium of the firm and then protected the firm’s market value. The conclusion of this dissertation provided new evidences to the study of information disclosure.
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