發(fā)布時間：2018-01-06 15:17

  本文關(guān)鍵詞：政治關(guān)聯(lián)與中國資本市場估值差異　出處：《中央財經(jīng)大學(xué)》2016年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： IPO估值 政治關(guān)聯(lián) 估值差異 資本成本 經(jīng)濟后果

【摘要】：在完美的資本市場上,資產(chǎn)或資本只有一個價格,這一價格決定于資產(chǎn)預(yù)期的未來現(xiàn)金流與風(fēng)險水平。股票價格在有效市場上,是根據(jù)全部可得信息對公司未來現(xiàn)金流現(xiàn)值的無偏估計,而市場的不完美性,比如交易成本、信息分布等可能導(dǎo)致同一資產(chǎn)存在不同的價格,即多重的估值標準。中國的資本市場顯然也存在多重估值標準,如股權(quán)分置改革前,由于股權(quán)性質(zhì)導(dǎo)致的市場分割,形成國有、國有法人股市場和流通股市場;股改后,由于資金規(guī)模和進入限制導(dǎo)致的分割,即風(fēng)險資本取得準上市公司股權(quán)的市場與公開交易的資本市場;上市公司選擇或契約導(dǎo)致的分割,取得定向增發(fā)股票的市場與日常股票交易的公開資本市場,顯然都分屬不同的資本市場,存在不同的估值標準。本文選取了風(fēng)險投資機構(gòu)獲得準上市公司股權(quán)的非公開交易市場和公開交易的流通股市場為研究對象,已有的以成熟資本市場為研究對象的資產(chǎn)定價文獻中考慮了系統(tǒng)風(fēng)險、稅、流動性限制、投資者行為或偏好等因素對資產(chǎn)定價產(chǎn)生的影響,本文在上述文獻基礎(chǔ)上研究了中國資本市場中政治關(guān)聯(lián)是否具有定價含義,以及政治關(guān)聯(lián)如何影響IPO估值和股權(quán)資本成本。首先,本文考察了介入上市公司的風(fēng)投機構(gòu)高管的政治關(guān)聯(lián)對風(fēng)投機構(gòu)與中小投資者投資成本差異的作用,逐層深入分析不同產(chǎn)權(quán)性質(zhì)高管的政治關(guān)聯(lián)對估值差異的影響,以及風(fēng)投機構(gòu)減持與政治關(guān)聯(lián)之間的關(guān)系,風(fēng)投機構(gòu)投資者取得股權(quán)的價格遠低于中小投資者取得股權(quán)的價格,控制了貨幣時間價值和IPO鎖定期的流動性折價后,研究發(fā)現(xiàn),風(fēng)投機構(gòu)高管的政治關(guān)系與估值差異具有顯著相關(guān)性,政治關(guān)聯(lián)的風(fēng)險投資機構(gòu)估值差異、減持比例顯著高于非政治關(guān)聯(lián)的風(fēng)投機構(gòu)。風(fēng)投介入被投資公司時已獲得遠遠低于市場價格的股權(quán)成本,通過短暫的培育、培訓(xùn)期促使準上市公司成功IPO,此時政治尋租為上市公司帶來了高估值,待中小投資者接手后,風(fēng)投機構(gòu)精準的把握市場行情,在IPO鎖定期結(jié)束時陸續(xù)減持,此時市盈率尚未回落至行業(yè)平均水平,且市盈率越高減持比例、減持數(shù)量越大,減持的等待期越短。這顯然是對中小投資者的一場浩劫,財富通過資本市場由中小投資者流向了風(fēng)投機構(gòu)。出于自身利益最大化,風(fēng)投機構(gòu)有動機利用自己的信息優(yōu)勢在公司價值被高估時出售持有股票。通過本文的研究該引起監(jiān)管部門的重視,適當(dāng)?shù)难娱L限售期、加強市場約束力量,保護中小投資者利益,構(gòu)建健康、可持續(xù)發(fā)展的資本市場。其次,本文研究了政治關(guān)聯(lián)對IPO價格高估的影響。一直以來,IPO價格高估,大股東、高管減持,既分割中小投資者利益,又影響資源配置效率,從而危害市場的公平和效率。導(dǎo)致我國股票市場IPO“高發(fā)行價、高募集資金、高市盈率”的“三高”亂象的原因是什么?誰又是IPO高估的受益者?本文進行了理論分析和實證檢驗,筆者將Olhson模型與GLS模型結(jié)合,構(gòu)造了一個基于可觀察的歷史會計數(shù)據(jù)的股票估值模型,并用這一模型來估計股票的內(nèi)在價值,進而估計股票IPO價格偏離率,以此來準確衡量IPO估值泡沫,為研究政治關(guān)聯(lián)和IPO定價之間的關(guān)系提供了一個合理的方法論基礎(chǔ)。基于我國中小板資本市場數(shù)據(jù),實證研究結(jié)果發(fā)現(xiàn)民營企業(yè)的IPO價格更高,上市公司中有政治關(guān)聯(lián)董事會成員的比例越大,IPO價格偏離公司價值程度越高。或者說,民營企業(yè)有政治背景高管的比例越高,其IPO定價越高。這些發(fā)現(xiàn),既有助于科學(xué)評估我國股市的公平、效率及其影響因素,也為監(jiān)管部門評估并改進上市、退市制度提供可資借鑒的政策建議。最后,本文對政治關(guān)聯(lián)如何影響資本成本及其經(jīng)濟后果進行了經(jīng)驗分析,結(jié)果表明,在控制影響資本成本的已知因素后,資本成本與政治關(guān)聯(lián)存在顯著的負相關(guān)關(guān)系,IPO公司與公共部門之間的政治關(guān)聯(lián)越緊密,資本成本越低。這意味著,一方面,與公共部門緊密的政治關(guān)聯(lián),降低了投資者的預(yù)期投資回報從而降低了投資者福利;另一方面,資本成本因政治關(guān)聯(lián)而降低時將大大高估IPO公司實物投資的凈現(xiàn)值,從而導(dǎo)致稀缺資本被低效率使用,降低實體經(jīng)濟的資源配置效率。本文的經(jīng)驗分析,對監(jiān)管部門改進上市、退市制度以及促進資本市場的公正公平和資源配置效率,具有一定的政策含義。
[Abstract]:In a perfect capital market, asset or capital only a price, the price depends on the expected future cash flow of the assets and the risk level. The stock price in the efficient market, is based on all available information on the estimation of the present value of future cash flows of the company, and the market is not perfect, such as transaction cost the distribution of information, may lead to different prices of the same asset, namely multiple valuation standards. Chinese capital market is clearly the existence of multiple valuation standards, such as the reform of non tradable shares, due to the equity nature of the cause of market segmentation, to form a state-owned, state-owned legal person shares and tradable shares market after the share reform, because the capital market; the size and limits to segmentation, namely venture capital equity quasi listed companies publicly traded market and capital market; listed companies or contract to achieve segmentation, to the issuance of shares Open capital market and daily stock trading, are obviously different capital markets, there are different valuation standards. This paper selects the risk investment institutions to obtain quasi equity of listed companies non open market transactions and publicly traded shares market as the research object, existing in the mature capital market as the research object of the asset pricing literature in consideration of system risk, tax, liquidity constraints, influence investor behavior or preference on asset pricing, based on the literature on the capital market in the Chinese political association is the pricing implications, and how to influence the political association of IPO valuation and the cost of equity capital. Firstly, this paper examines the role of political association participate in the corporate venture capital institutions executives of venture capital institutions and small investors investment cost difference, depth analysis of different property rights The influence of political connection properties of executives on the valuation differences, reducing the relationship between political connections and venture capital institutions, venture capital investors made equity prices far lower than the small and medium-sized investors made equity prices, control the time value of money and IPO lock liquidity discount regularly after the study found that the political relationship and difference between the valuation of venture capital institutions executives have significant correlation, risk investment institutions valuation differences between the political and the reduction of the proportion of venture capital institutions was significantly higher than that of the non political connection. Venture capital investment company has been obtained when intervention is far lower than the market price of the cost of equity, through the short training period to cultivate, quasi listed companies successful IPO, this time for listed companies to bring political rent-seeking the valuation of small and medium-sized investors to venture capital institutions took over, accurate grasp of the market, in the IPO end of the lock up period when another reduction at this time. Not back to the industry average price earnings ratio, price earnings ratio and higher reduction ratio, the reduction of the number of the greater reduction of the waiting period is shorter. This is obviously a catastrophe for small investors, wealth through the capital market by small investors to venture capital institutions. For the maximization of their own interests, venture capital institutions motivation to use their information advantage in the value of the company to sell overvalued stock. Through this study the regulatory attention, appropriate to extend the restricted period, strengthen market discipline, protect the interests of small investors, Gou Jianjian Kang, the sustainable development of the capital market. Secondly, this paper studies the effect of political connection on the price of IPO overvalued. Since IPO prices overvalued, major shareholders, executives holdings, which split the interests of small investors, but also affects the efficiency of resource allocation, and do harm to the justice and efficiency of market in our country stock. The ticket market IPO "high price, high to raise funds, what is the reason for the high price earnings ratio" of the "three high" chaos? Who is the IPO overestimates the beneficiary? This paper gives a theoretical analysis and empirical test, the author combines Olhson model and GLS model, we construct a model based on historical accounting data of stock valuation observation, and use this model to estimate the intrinsic value of the stock, and then estimate the stock price from the rate of IPO, in order to measure the IPO value of the foam is accurate, provides a reasonable method for the study of the relationship between political connection and IPO pricing based on the data of China's SMEs. Based on the results of empirical research of capital market. IPO found the price of private enterprises is higher, listed companies in the political association of members of the board of directors of the greater the proportion of IPO, the higher the degree of price deviation from the value of the company. Or, private enterprises have more proportion of executives and political background The IPO is high, the higher the price. These findings not only contribute to the scientific evaluation of China's stock market fair, efficiency and influence factors, also for regulators to assess and improve the market, provide some policy suggestions of delisting system. Finally, this article on how to influence the political connection cost of capital and the economic consequences of the empirical analysis the results showed that, in control of factors known to affect the cost of capital, there is a significant negative correlation between the capital cost associated with political, political connection between IPO company and the public sector more closely, the lower the cost of capital. This means that, on the one hand, politics closely associated with the public sector, reducing the expected investment of investors return to reduce the welfare of investors; on the other hand, the net present value of cost of capital because of political association will decrease greatly overestimated the IPO investment, which leads to the low efficiency in the use of scarce resources To reduce the resource allocation efficiency of the real economy, the empirical analysis in this paper has certain policy implications for regulatory authorities to improve the listing, delisting system, and promote equity and resource allocation efficiency in the capital market.

【學(xué)位授予單位】：中央財經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2016
【分類號】：D0;F832.51

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本文編號：1388417