机构投资者持股的资本成本效应研究
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摘要
资本成本是现代财务理论中复杂程度最高同时应用范围最广的一个概念。从微观角度看，资本成本直接影响着企业价值，并贯穿于整个企业的财务政策制定过程，是企业投资、融资、股利分配等活动的评价标准。从宏观角度看，资本成本是资本市场发展和证券制度建设的基本考量指标，且对于资本市场配置资源、引导资金流向的效率起着极为关键的作用。资本成本在公司理财活动中的重要性使众多学者对其估算技术和影响因素等方面进行了积极且深入的探讨，而伴随着公司治理理论和实践研究的逐步深入，众多学者从委托代理问题的角度研究上市公司的资本成本。现有文献关于公司治理机制与资本成本关系的研究主要集中在单一公司治理机制对资本成本的影响研究，内部治理机制诸如股权集中、股权制衡、董事会、管理层薪酬、信息披露等，外部治理机制诸如企业控制权市场、投资者法律保护和产品市场竞争等，这些单一治理机制与资本成本之间的关系研究，已经形成了大量的学术成果，但机构投资者这一新兴治理机制作用于资本成本的研究却鲜有少见。
机构投资者是资本市场中重要的参与主体，他们作为独立于控股股东和外部中小股东之间的投资机构，比个人投资者更具有资金优势、信息优势和较强的专业能力。凭借自身的规模经济优势和长期、理性的投资理念，机构投资者能够在事前定价机制和事后监督机制两个方面发挥积极作用，促进完善资本市场的经济功能。近十年来，在超常规发展机构投资者的战略指导下，我国证券市场的机构投资者种类、数量和规模都得到了迅速的发展。不过，机构投资者在迅猛发展的同时，也暴露出很多负面问题，这使得人们对于机构投资者在资本市场中的作用及大力发展机构投资者的方针政策一度产生了质疑。
本文在委托代理理论、信息不对称理论和公司治理理论的基础上，采用2005-2012年沪深两市上市公司的数据，分析和检验了中国上市公司机构投资者持股的资本成本效应。研究过程从三条主线展开：（1）第一条主线“机构投资者持股对资本成本的直接影响”，从机构投资者持股与否、持股高低、持股期限、持股比例四个方面界定了机构投资者持股与资本成本之间的关系；（2）第二条主线“机构投资者持股对资本成本的间接影响”，关注机构投资者持股是否通过其他内部公司治理机制影响了资本成本；（3）第三条主线“异质机构投资者持股对资本成本的影响研究”，检验了证券投资基金、证券公司、保险基金、社保基金和QFII五类重要的机构投资者对资本成本的影响差异。
本文的研究结论主要有：（1）机构投资者持股与资本成本呈显著负相关关系，机构投资者能够有效发挥公司治理作用。机构投资者持股的上市公司比机构未持股的上市公司的资本成本低，机构投资者持股比例高的上市公司的资本成本较低，机构投资者持股期限长的上市公司的资本成本较低，机构投资者持股比例与上市公司的资本成本呈负相关关系；（2）机构投资者持股对上市公司资本成本的影响表现为公司治理效应。股权结构治理机制、董事会治理机制和管理层治理机制等都没有在机构投资者持股与资本成本之间发挥中介传导作用，均不是二者之间的中介变量；（3）在促进资本成本的降低方面，机构投资者持股比例与股权集中度、独立董事比例、高管人员持股比例与高管薪酬存在显著的交互作用；（4）我国各类机构投资者发展很不均衡，从持股公司数量来看，证券投资基金是我国机构投资者的最大构成主体，基金公司发展呈现出“一枝独秀”的态势。不同类型的机构投资者持股具有不同的资本成本效应。
本文的主要研究贡献有：（1）以资本成本为替代变量，进一步完善了机构投资者治理效应的理论体系。现有文献认为机构投资者存在公司治理效应，公司治理机制对资本成本存在影响。但同时以机构投资者为公司治理机制、以资本成本为公司治理效应的替代变量的研究在国内外文献中较为少见；（2）系统检验了机构投资者持股对资本成本的直接影响。从机构投资者持股与否、持股高低、持股期限、持股比例全面地分析了机构投资者的影响作用，研究结论能为我国资本市场相关政府部门和上市公司在制定有关机构投资者政策时提供有益指导；（3）理论上明确了机构投资者影响上市公司资本成本的机理。论文探讨了内部治理机制在机构投资者持股与资本成本之间关系中的影响作用，采用中介效应检验和交互效应检验方法分析了机构投资者持股对资本成本的作用路径，从而明确了机构投资者持股对资本成本的作用机理；（4）从异质性视角深化和拓展了机构投资者理论研究。本文探讨了异质机构投资者的投资特点，研究了各种类型机构投资者对资本成本的影响差异。研究结论既丰富了机构投资者理论，也为证监会分类制定机构投资者政策提供了相关理论依据。
本文以资本成本作为上市公司治理作用的替代变量，研究了机构投资者这一新兴的治理机制与资本市场之间的关系，不仅从传统角度探讨了机构投资者持股的治理功能，而且探究了机构投资者持股影响资本成本的作用路径及不同类型机构投资者对资本成本的差异影响。我国的机构投资者能够发挥积极的公司治理效应，我国证券市场应该促进机构投资者发展，规范机构投资者运作，建立机构投资者分类发展机制，营造良好的QFII投资环境，引导并完善机构投资者的“共同行动”机制，引导机构投资者树立长期投资理念，完善投资者保护法律制度，加强机构投资者监管和风险防范。
The cost of capital is the required rate of return decided by investors’ trade-offbetween risk and return. It is an very important concept in the modern financial theory.From a microscopic point, the cost of capital impacts on the enterprise value directly, andit exists throughout the enterprise financial policy making process, the cost of capital is theevaluation criterion for investment behavior, financing capacity and the distribution ofprofits. From a macroscopic point, the cost of capital is the basic index for security systemconstruction and capital market development. The cost of capital plays a crucial role in thecapital market’s efficiency of organizing resource allocation and guiding the flow ofcapital. The importance of cost of capital in the company financial activities makes manyscholars have discussed its’ estimating techniques and influencing factors positively anddeeply. Accompanied by the development of corporate governance theory and practicalresearch, more and more scholars keep on researching on listing corporation’s cost ofcapital from the point of principal-agent problem. Most current literatures about therelationship between corporate governance mechanism and cost of capital mostly focus onthe study of single corporate governance mechanism’s impact on the cost of capital.Internal governance mechanisms consist of equity governance, directorate control,management incentive and information disclosure. External governance mechanismsinclude corporate control, the legal protection of investors, product market competition andso on. It has formed a large number of academic achievements of the relationship betweena single governance mechanism and cost of capital. However, as an important governancemechanism, institutional ownership also can influence the cost of capital, which is ignored.
Institutional investors are significant participation group in the capital market. As akind of investment institutions independent of controlling stockholders and minorityshareholders, institutional investors have better fiscal advantages, informational advantagesand professional competencies than individual investors. Institutional investors exert apositive role in pricing ex ante and supervising ex post taken into account their advantageof economies of scale and long-term, rational investment, which will enhance theeconomic functions of the capital market. Last decade, under the supernormal developmentof institutional investors’ strategic guidance, institutional investors has been developingrapidly both in the number and in the scale. However, accompanied by the rapiddevelopment, institutional investors have exposed a lot of problems. Which made people doubt that institutional investors’ role in the exchange market of China, as well as questionthe principles and policies of institutional investors’ development.
Founded on the principal-agent theory, asymmetric information and corporategovernance theory, this paper analyzed and tested the cost of capital effect of institutionalownership. The research sample is China’s listing corporations from2005to2012. Thepaper has three ways: institutional ownership’s direct effects on the cost of capital,institutional ownership’s indirect effects on the cost of capital and the influence ofheterogeneity of institutional investors on cost of capital.
The first way called institutional ownership’s direct effects on the cost of capital,which has been divided into four aspects: institutional ownership or not, holding ratio,holding period and the shareholding ratio. The result is that institutional investors canreduce the cost of capital and they can effectively play the role of corporate governance. Atthe same time, the cost of capital of the listing corporations with institutional investors isless than the one of listing corporations without institutional investors. The cost of capitalof the listing corporations with higher proportion of institutional investors is less than theone of listing corporations with lower proportion of institutional investors. The cost ofcapital of the listing corporations with longer holding period is less than the one of listingcorporations with lower holding period. And the higher the holding proportion ofinstitutional investors, the lower the cost of capital.
The second way is called institutional ownership’s indirect effects on the cost ofcapital. It mainly research whether institutional ownership impacts the cost of capitalthrough other internal governance mechanism or not. The paper tests whether ownershipgovernance mechanism, director governance mechanism and management governancemechanism are the intermediary variable and interactive variable or not in the process ofinstitutional ownership’s influences on the cost of capital. The result shows thatinstitutional investors have positively corporate governance effect and can decrease listingcorporation’s cost of capital. Ownership governance mechanism, director governancemechanism and management governance mechanism are not the intermediary variable, butsome indexes have a significant interaction effect with institutional investors governancemechanism.
The third way is called the influence of heterogeneity of institutional investors on thecost of capital. The paper analyzes securities investment fund, securities companies,insurance fund, the social security fund and qualified foreign institutional investors, whichgive different effects on the cost of capital. The result shows that different institutional ownership has diverse effects on the cost of capital. The securities investment fund has anegative effect on the cost of capital, and the higher holding ratio of institutional investors,the lower the cost of capital. There is a negative correlation between the social securityfund and the cost of capital, and the social security fund can play the positive effect ofcorporate governance. Securities companies, insurance fund and qualified foreigninstitutional investors do not have any significant correlation with the cost of capital.In this dissertation, the main innovations are: First, take the corporate governanceplayed by institutional investors as the theoretical foundation, study institutionalownership’s role and impact on the cost of capital, and further explore the path ofinstitutional investors’ impact on the cost of capital. Which deepened the study ofinstitutional investors in corporate governance effect on the one hand, supplied andimproved the study on the influencing factors on the cost of equity capital on the otherhand.Second, the paper research institutional ownership’s direct effects on the cost ofcapital, and divide into four aspects: institutional ownership or not, holding ratio, holdingperiod and the shareholding ratio, which give the authors a comprehensive analysis of theimpact of institutional investors. The conclusion of the study is objective, comprehensiveand clear, and it can give some government departments and listing corporations relatedto China’s capital market some useful guidance in the formulation of relevantpolicies.Third, the paper research whether institutional ownership impacts the cost ofcapital through other internal governance mechanism or not. The mediation effects andinteraction effects have been applied to analyse the path of institutional ownership’s roleon the cost of capital. Which theoretically opened the influence of institutional investorson the cost of capital. Fourth, the paper study the influence of heterogeneity ofinstitutional investors on the cost of capital and show different institutional ownership hasdiverse effects on the cost of capital. Which deepened and expanded the study ofinstitutional investors.
The paper takes the cost of capital as a substitution of corporate governance variables.It studies on the relationship between institutional investors governance mechanism andcapital market, which not only investigates institutional investors’ governance functionsfrom the traditional perspective, but also explores the path of institutional investors’ effecton the cost of capital and different effect on the cost of capital by different types ofinstitutional investors. Institutional investors can play a constructive effect of corporategovernance. China’s securities market should promote the development of institutionalinvestors, standardize the operation of institutional investors, improve the overall level of institutional investors shareholding and realize the balanced development of institutionalinvestors.
机构投资者是资本市场中重要的参与主体，他们作为独立于控股股东和外部中小股东之间的投资机构，比个人投资者更具有资金优势、信息优势和较强的专业能力。凭借自身的规模经济优势和长期、理性的投资理念，机构投资者能够在事前定价机制和事后监督机制两个方面发挥积极作用，促进完善资本市场的经济功能。近十年来，在超常规发展机构投资者的战略指导下，我国证券市场的机构投资者种类、数量和规模都得到了迅速的发展。不过，机构投资者在迅猛发展的同时，也暴露出很多负面问题，这使得人们对于机构投资者在资本市场中的作用及大力发展机构投资者的方针政策一度产生了质疑。
本文在委托代理理论、信息不对称理论和公司治理理论的基础上，采用2005-2012年沪深两市上市公司的数据，分析和检验了中国上市公司机构投资者持股的资本成本效应。研究过程从三条主线展开：（1）第一条主线“机构投资者持股对资本成本的直接影响”，从机构投资者持股与否、持股高低、持股期限、持股比例四个方面界定了机构投资者持股与资本成本之间的关系；（2）第二条主线“机构投资者持股对资本成本的间接影响”，关注机构投资者持股是否通过其他内部公司治理机制影响了资本成本；（3）第三条主线“异质机构投资者持股对资本成本的影响研究”，检验了证券投资基金、证券公司、保险基金、社保基金和QFII五类重要的机构投资者对资本成本的影响差异。
本文的研究结论主要有：（1）机构投资者持股与资本成本呈显著负相关关系，机构投资者能够有效发挥公司治理作用。机构投资者持股的上市公司比机构未持股的上市公司的资本成本低，机构投资者持股比例高的上市公司的资本成本较低，机构投资者持股期限长的上市公司的资本成本较低，机构投资者持股比例与上市公司的资本成本呈负相关关系；（2）机构投资者持股对上市公司资本成本的影响表现为公司治理效应。股权结构治理机制、董事会治理机制和管理层治理机制等都没有在机构投资者持股与资本成本之间发挥中介传导作用，均不是二者之间的中介变量；（3）在促进资本成本的降低方面，机构投资者持股比例与股权集中度、独立董事比例、高管人员持股比例与高管薪酬存在显著的交互作用；（4）我国各类机构投资者发展很不均衡，从持股公司数量来看，证券投资基金是我国机构投资者的最大构成主体，基金公司发展呈现出“一枝独秀”的态势。不同类型的机构投资者持股具有不同的资本成本效应。
本文的主要研究贡献有：（1）以资本成本为替代变量，进一步完善了机构投资者治理效应的理论体系。现有文献认为机构投资者存在公司治理效应，公司治理机制对资本成本存在影响。但同时以机构投资者为公司治理机制、以资本成本为公司治理效应的替代变量的研究在国内外文献中较为少见；（2）系统检验了机构投资者持股对资本成本的直接影响。从机构投资者持股与否、持股高低、持股期限、持股比例全面地分析了机构投资者的影响作用，研究结论能为我国资本市场相关政府部门和上市公司在制定有关机构投资者政策时提供有益指导；（3）理论上明确了机构投资者影响上市公司资本成本的机理。论文探讨了内部治理机制在机构投资者持股与资本成本之间关系中的影响作用，采用中介效应检验和交互效应检验方法分析了机构投资者持股对资本成本的作用路径，从而明确了机构投资者持股对资本成本的作用机理；（4）从异质性视角深化和拓展了机构投资者理论研究。本文探讨了异质机构投资者的投资特点，研究了各种类型机构投资者对资本成本的影响差异。研究结论既丰富了机构投资者理论，也为证监会分类制定机构投资者政策提供了相关理论依据。
本文以资本成本作为上市公司治理作用的替代变量，研究了机构投资者这一新兴的治理机制与资本市场之间的关系，不仅从传统角度探讨了机构投资者持股的治理功能，而且探究了机构投资者持股影响资本成本的作用路径及不同类型机构投资者对资本成本的差异影响。我国的机构投资者能够发挥积极的公司治理效应，我国证券市场应该促进机构投资者发展，规范机构投资者运作，建立机构投资者分类发展机制，营造良好的QFII投资环境，引导并完善机构投资者的“共同行动”机制，引导机构投资者树立长期投资理念，完善投资者保护法律制度，加强机构投资者监管和风险防范。
The cost of capital is the required rate of return decided by investors’ trade-offbetween risk and return. It is an very important concept in the modern financial theory.From a microscopic point, the cost of capital impacts on the enterprise value directly, andit exists throughout the enterprise financial policy making process, the cost of capital is theevaluation criterion for investment behavior, financing capacity and the distribution ofprofits. From a macroscopic point, the cost of capital is the basic index for security systemconstruction and capital market development. The cost of capital plays a crucial role in thecapital market’s efficiency of organizing resource allocation and guiding the flow ofcapital. The importance of cost of capital in the company financial activities makes manyscholars have discussed its’ estimating techniques and influencing factors positively anddeeply. Accompanied by the development of corporate governance theory and practicalresearch, more and more scholars keep on researching on listing corporation’s cost ofcapital from the point of principal-agent problem. Most current literatures about therelationship between corporate governance mechanism and cost of capital mostly focus onthe study of single corporate governance mechanism’s impact on the cost of capital.Internal governance mechanisms consist of equity governance, directorate control,management incentive and information disclosure. External governance mechanismsinclude corporate control, the legal protection of investors, product market competition andso on. It has formed a large number of academic achievements of the relationship betweena single governance mechanism and cost of capital. However, as an important governancemechanism, institutional ownership also can influence the cost of capital, which is ignored.
Institutional investors are significant participation group in the capital market. As akind of investment institutions independent of controlling stockholders and minorityshareholders, institutional investors have better fiscal advantages, informational advantagesand professional competencies than individual investors. Institutional investors exert apositive role in pricing ex ante and supervising ex post taken into account their advantageof economies of scale and long-term, rational investment, which will enhance theeconomic functions of the capital market. Last decade, under the supernormal developmentof institutional investors’ strategic guidance, institutional investors has been developingrapidly both in the number and in the scale. However, accompanied by the rapiddevelopment, institutional investors have exposed a lot of problems. Which made people doubt that institutional investors’ role in the exchange market of China, as well as questionthe principles and policies of institutional investors’ development.
Founded on the principal-agent theory, asymmetric information and corporategovernance theory, this paper analyzed and tested the cost of capital effect of institutionalownership. The research sample is China’s listing corporations from2005to2012. Thepaper has three ways: institutional ownership’s direct effects on the cost of capital,institutional ownership’s indirect effects on the cost of capital and the influence ofheterogeneity of institutional investors on cost of capital.
The first way called institutional ownership’s direct effects on the cost of capital,which has been divided into four aspects: institutional ownership or not, holding ratio,holding period and the shareholding ratio. The result is that institutional investors canreduce the cost of capital and they can effectively play the role of corporate governance. Atthe same time, the cost of capital of the listing corporations with institutional investors isless than the one of listing corporations without institutional investors. The cost of capitalof the listing corporations with higher proportion of institutional investors is less than theone of listing corporations with lower proportion of institutional investors. The cost ofcapital of the listing corporations with longer holding period is less than the one of listingcorporations with lower holding period. And the higher the holding proportion ofinstitutional investors, the lower the cost of capital.
The second way is called institutional ownership’s indirect effects on the cost ofcapital. It mainly research whether institutional ownership impacts the cost of capitalthrough other internal governance mechanism or not. The paper tests whether ownershipgovernance mechanism, director governance mechanism and management governancemechanism are the intermediary variable and interactive variable or not in the process ofinstitutional ownership’s influences on the cost of capital. The result shows thatinstitutional investors have positively corporate governance effect and can decrease listingcorporation’s cost of capital. Ownership governance mechanism, director governancemechanism and management governance mechanism are not the intermediary variable, butsome indexes have a significant interaction effect with institutional investors governancemechanism.
The third way is called the influence of heterogeneity of institutional investors on thecost of capital. The paper analyzes securities investment fund, securities companies,insurance fund, the social security fund and qualified foreign institutional investors, whichgive different effects on the cost of capital. The result shows that different institutional ownership has diverse effects on the cost of capital. The securities investment fund has anegative effect on the cost of capital, and the higher holding ratio of institutional investors,the lower the cost of capital. There is a negative correlation between the social securityfund and the cost of capital, and the social security fund can play the positive effect ofcorporate governance. Securities companies, insurance fund and qualified foreigninstitutional investors do not have any significant correlation with the cost of capital.In this dissertation, the main innovations are: First, take the corporate governanceplayed by institutional investors as the theoretical foundation, study institutionalownership’s role and impact on the cost of capital, and further explore the path ofinstitutional investors’ impact on the cost of capital. Which deepened the study ofinstitutional investors in corporate governance effect on the one hand, supplied andimproved the study on the influencing factors on the cost of equity capital on the otherhand.Second, the paper research institutional ownership’s direct effects on the cost ofcapital, and divide into four aspects: institutional ownership or not, holding ratio, holdingperiod and the shareholding ratio, which give the authors a comprehensive analysis of theimpact of institutional investors. The conclusion of the study is objective, comprehensiveand clear, and it can give some government departments and listing corporations relatedto China’s capital market some useful guidance in the formulation of relevantpolicies.Third, the paper research whether institutional ownership impacts the cost ofcapital through other internal governance mechanism or not. The mediation effects andinteraction effects have been applied to analyse the path of institutional ownership’s roleon the cost of capital. Which theoretically opened the influence of institutional investorson the cost of capital. Fourth, the paper study the influence of heterogeneity ofinstitutional investors on the cost of capital and show different institutional ownership hasdiverse effects on the cost of capital. Which deepened and expanded the study ofinstitutional investors.
The paper takes the cost of capital as a substitution of corporate governance variables.It studies on the relationship between institutional investors governance mechanism andcapital market, which not only investigates institutional investors’ governance functionsfrom the traditional perspective, but also explores the path of institutional investors’ effecton the cost of capital and different effect on the cost of capital by different types ofinstitutional investors. Institutional investors can play a constructive effect of corporategovernance. China’s securities market should promote the development of institutionalinvestors, standardize the operation of institutional investors, improve the overall level of institutional investors shareholding and realize the balanced development of institutionalinvestors.
引文
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