分析师关注的治理功能悖论:中国的逻辑——基于A股上市公司的经验证据
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摘要
大量研究表明,证券分析师对发达资本市场发挥着有效的治理功能。与此不同,囿于转轨经济和新兴市场的制度特征,分析师治理功能的有效性推论不完全适用于中国资本市场,其治理功能存在中国悖论。分析师关注降低企业与投资者及债权人之间的信息不对称,增加管理者可支配的现金流量,但是,制度制定及其执行效率的缺陷对分析师和管理者个体的"不当"行为后果难以部分或全部内生化,从而造成分析师关注对管理者机会主义行为的监督缺失,进而加剧企业与管理者之间的代理问题即是题中之义。以2003～2014年A股上市公司为研究对象的实证检验表明,分析师关注程度越高,企业与管理者之间的代理成本越大。进一步检验发现,分析师关注缓解的融资约束、增加的企业自由现金流量以及分析师的乐观预测倾向均扩大管理者代理成本,而当前不完善的法律制度无法显著抑制分析师关注对管理者代理成本的负面效应。
Many studies have shown that securities analysts play an effective governance function in the developed capital markets. However, the inference of validity of analysts governance function is not entirely applicable to China's capital market because of the institutional characteristics of the transitional economy and the emerging market, and its governance function has Chinese paradox. Analysts coverage reduces information asymmetry between enterprises and investors and creditors, which increases the cash flow that can be used by the management. But the defects in the system making and the efficiency of its implementation make it difficult for the consequences of the "improper" behavior of an analyst and a managerto be partially or entirely endogenous, thus leading to the lack of supervision by analysts over the opportunism behaviors of managers.The empirical studies of A-shares listed companies in China from 2003 to 2014 finds that the higher the analyst coverage degreeis, the higher the agency cost between the enterprises and managers. Further research also shows that the mitigated financing constraintsand the increased free cash flow as a result of the analyst coverage, and analysts' optimistic forecasts tendency will enlarge managerial agency costs, but the currently imperfect legal system can not significantly inhibit the negative effects of the analysts coverage on the agency cost.
Many studies have shown that securities analysts play an effective governance function in the developed capital markets. However, the inference of validity of analysts governance function is not entirely applicable to China's capital market because of the institutional characteristics of the transitional economy and the emerging market, and its governance function has Chinese paradox. Analysts coverage reduces information asymmetry between enterprises and investors and creditors, which increases the cash flow that can be used by the management. But the defects in the system making and the efficiency of its implementation make it difficult for the consequences of the "improper" behavior of an analyst and a managerto be partially or entirely endogenous, thus leading to the lack of supervision by analysts over the opportunism behaviors of managers.The empirical studies of A-shares listed companies in China from 2003 to 2014 finds that the higher the analyst coverage degreeis, the higher the agency cost between the enterprises and managers. Further research also shows that the mitigated financing constraintsand the increased free cash flow as a result of the analyst coverage, and analysts' optimistic forecasts tendency will enlarge managerial agency costs, but the currently imperfect legal system can not significantly inhibit the negative effects of the analysts coverage on the agency cost.
引文
[1] Asker John,Farre-Mensa Joan and Ljungqvist Alexander.Comparing the Investment Behavior of Public and Private Firms[Z].Social Science Electronic Publishing,2011.
[2] Chen Tao,Harford Jarrad and Lin Chen.Do Analysts Matter for Governance?Evidence from Natural Experiments[J].Journal of Financial Economics,2015,Vol.115,No.2:383-410.
[3] Derrien Fran?ois,Kecskes Ambrus and Mansi Sattar.Information Asymmetry,the Cost of Debt,and Credit Events[Z].SSRN,2012.
[4] He Jie and Tian Xuan.The Dark Side of Analyst Coverage:The Case of Innovation[J].Journal of Financial Economics,2013,Vol.109,No.3:856-878.
[5] Yu Fang.Analyst Coverage and Earnings Management[J].Journal of Financial Economics,2008,Vol.88,No.2:245-271.
[6] 朱红军,何贤杰,陶林.中国的证券分析师能够提高资本市场的效率吗——基于股价同步性和股价信息含量的经验证据[J].金融研究,2007,(2):110-121.
[7] 储一昀,仓勇涛.财务分析师预测的价格可信吗?——来自中国证券市场的经验证据[J].管理世界,2008,(3):58-69.
[8] 潘越,戴亦一,林超群.信息不透明、分析师关注与个股暴跌风险[J].金融研究,2011,(9):138-151.
[9] 李春涛,宋敏,张璇.分析师跟踪与企业盈余管理——来自中国上市公司的证据[J].金融研究,2014,(7):124-139.
[10] Fuller Joseph and Jensen Michael C.Just Say No to Wall Street:Putting a Stop to the Earnings Game[J].Journal of Applied Corporate Finance,2010,Vol.22,No.1:59-63.
[11] 曹胜,朱红军.王婆贩瓜:券商自营业务与分析师乐观性[J].管理世界,2011,(7):20-30.
[12] 赵良玉,李增泉,刘军霞.管理层偏好、投资评级乐观性与私有信息获取[J].管理世界,2013,(4):33-47.
[13] 罗乐,李超凡,王生年.分析师现金流预测如何影响应计异象?[J].管理评论,2018,(1):154-165.
[14] Derrien Fran?ois and Kecskés Ambrus.The Real Effects of Financial Shocks:Evidence from Exogenous Changes in Analyst Coverage[J].Journal of Finance,2013,Vol.68,No.4:1407-1440.
[15] 陈钦源,马黎珺,伊志宏.分析师跟踪与企业创新绩效——中国的逻辑[J].南开管理评论,2017,(3):15-27.
[16] Michenaud Sébastien.Corporate Investment and Analyst Pressure[Z].SSRN,2008.
[17] Graham John R.,Harvey Campbell R.and Rajgopal Shiva.The Economic Implications of Corporate Financial Reporting[J].Journal of Accounting and Economics,2005,Vol.40,No.1-3:3-73.
[18] Irani Rustom M.and Oesch David.Monitoring and Corporate Disclosure:Evidence from a Natural Experiment[J].Journal of Financial Economics,2013,Vol.109,No.2:398-418.
[19] Kelly Bryan and Ljungqvist Alexander.Testing Asymmetric-Information Asset Pricing Models[J].The Review of Financial Studies,2012,Vol.25,No.5:1366-1413.
[20] Fong Kingsley Y.L.,Hong Harrison G.and Kacperczyk Marcin T.,et al.Do Security Analysts Discipline Credit Rating Agencies?[Z].SSRN,2012.
[21] Harford Jarrad,Mansi Sattar A.and Maxwell William F.Corporate Governance and Firm Cash Holdings in the US[J].Journal of Financial Economics,2008,Vol.87,No.3:535-555.
[22] Jung Boochun,Sun Kevin Jialin and Yang Yanhua Sunny.Do Financial Analysts Add Value by Facilitating More Effective Monitoring of Firms' Activities?[J].Journal of Accounting,Auditing & Finance,2012,Vol.27,No.1:61-99.
[23] Jensen Michael C.Agency Costs of Free Cash Flow,Corporate Finance,and Takeovers[J].American Economic Review,1986,Vol.76,No.2:323-329.
[24] Myers Stewart C.and Rajan Raghuram G.The Paradox Of Liquidity[J].Social Science Electronic Publishing,1998,Vol.113,No.3:733.
[25] Lang Mark H.,Lins Karl V.and Miller Darius P.Concentrated Control,Analyst Following,and Valuation:Do Analysts Matter Most When Investors are Protected Least?[J].Journal of Accounting Research,2004,Vol.42,No.3:589-623.
[26] 王鹏.投资者保护、代理成本与公司绩效[J].经济研究,2008,(2):68-82.
[27] Allen Franklin,Qian Jun and Qian Meijun.Law,Finance,and Economic Growth in China[Z].Social Science Electronic Publishing,2005.
[28] Li Kevin K.and You Haifeng.What is the Value of Sell-side Analysts?Evidence from Coverage Initiations and Terminations[J].Journal of Accounting and Economics,2015,Vol.60,No.2-3:141-160.
[29] Opler Tim,Pinkowitz Lee and Stulz René,et al.The Determinants and Implications of Corporate Cash Holdings[J].Journal of Financial Economics,1999,Vol.52,No.1:3-46.
[30] Dechow Patricia M.,Richardson Scott A.and Sloan Richard G.The Persistence and Pricing of the Cash Component of Earnings[J].Journal of Accounting Research,2008,Vol.46,No.3:537-566.
[31] Frésard Laurent and Salva Carolina.The Value of Excess Cash and Corporate Governance:Evidence from US Cross-listings[J].Journal of Financial Economics,2010,Vol.98,No.2:359-384.
[32] 戴亦一,肖金利,潘越.“乡音”能否降低公司代理成本?——基于方言视角的研究[J].经济研究,2016,(12):147-160,186.
[33] 罗炜,朱春艳.代理成本与公司自愿性披露[J].经济研究,2010,(10):143-155.
[34] Hadlock Charles J.and Pierce Joshua R.New Evidence on Measuring Financial Constraints:Moving Beyond the KZ Index[J].Review of Financial Studies,2010,Vol.23,No.5:1909-1940.
[35] Jensen Michael C.Agency Cost of Free Cash Flow,Corporate Finance[J].American Economic Review,1986,Vol.76,No.2:323-329.
[36] Richardson Scott.Over-Investment of Free Cash Flew[J].Review of Accounting Studies,2006,vol.11,No.2:159-189.
[37] 陈运森,谢德仁.网络位置、独立董事治理与投资效率[J].管理世界,2011,(7):113-127.
[38] 陈德球,魏刚,肖泽忠.法律制度效率、金融深化与家族控制权偏好[J].经济研究,2013,(10):55-68.
[39] Djankov Simeon,Qian Yingyi and Roland Gérard,et al.Entrepreneurship in China and Russia Compared[Z].Social Science Electronic Publishing,2006.
[40] 樊纲,王小鲁,朱恒鹏.中国市场化指数——各省区市场化相对进程2011年度报告[M].北京:经济科学出版社,2012.
[41] 李寿喜.产权、代理成本和代理效率[J].经济研究,2007,(1):102-113.
[42] 田利辉.国有产权、预算软约束和中国上市公司杠杆治理[J].管理世界,2005,(7):123-128.
[43] 周开国,应千伟,陈晓娴.媒体关注度、分析师关注度与盈余预测准确度[J].金融研究,2014,(2):139-152.
① 代理成本做年度行业中位数调整(AC_adj)的回归结果与此相一致。因篇幅限制,未予列示,作者备索。下同。
② “新增投资支出”系借鉴Richardson(2006)[36]、陈运森和谢德仁(2011)[37]的相关模型构建。不再赘述。
(1)“乐观”赋予0.4权重,“非乐观”赋予0.6权重构建乐观倾向指数,回归结果与上述实证结果一致。
(2)代理成本做年度行业中位数调整(AC_adj)的回归结果与此相一致。
(3)将2007年设定为第0年是基于2002～2006年国内券商市场较为动荡的考量。期间,中国证监会曾较大规模地整顿了一批券商。
(4)以代理成本年度行业调整数作为替代变量所进行的内生性检验结果与上述实证结果一致。
[2] Chen Tao,Harford Jarrad and Lin Chen.Do Analysts Matter for Governance?Evidence from Natural Experiments[J].Journal of Financial Economics,2015,Vol.115,No.2:383-410.
[3] Derrien Fran?ois,Kecskes Ambrus and Mansi Sattar.Information Asymmetry,the Cost of Debt,and Credit Events[Z].SSRN,2012.
[4] He Jie and Tian Xuan.The Dark Side of Analyst Coverage:The Case of Innovation[J].Journal of Financial Economics,2013,Vol.109,No.3:856-878.
[5] Yu Fang.Analyst Coverage and Earnings Management[J].Journal of Financial Economics,2008,Vol.88,No.2:245-271.
[6] 朱红军,何贤杰,陶林.中国的证券分析师能够提高资本市场的效率吗——基于股价同步性和股价信息含量的经验证据[J].金融研究,2007,(2):110-121.
[7] 储一昀,仓勇涛.财务分析师预测的价格可信吗?——来自中国证券市场的经验证据[J].管理世界,2008,(3):58-69.
[8] 潘越,戴亦一,林超群.信息不透明、分析师关注与个股暴跌风险[J].金融研究,2011,(9):138-151.
[9] 李春涛,宋敏,张璇.分析师跟踪与企业盈余管理——来自中国上市公司的证据[J].金融研究,2014,(7):124-139.
[10] Fuller Joseph and Jensen Michael C.Just Say No to Wall Street:Putting a Stop to the Earnings Game[J].Journal of Applied Corporate Finance,2010,Vol.22,No.1:59-63.
[11] 曹胜,朱红军.王婆贩瓜:券商自营业务与分析师乐观性[J].管理世界,2011,(7):20-30.
[12] 赵良玉,李增泉,刘军霞.管理层偏好、投资评级乐观性与私有信息获取[J].管理世界,2013,(4):33-47.
[13] 罗乐,李超凡,王生年.分析师现金流预测如何影响应计异象?[J].管理评论,2018,(1):154-165.
[14] Derrien Fran?ois and Kecskés Ambrus.The Real Effects of Financial Shocks:Evidence from Exogenous Changes in Analyst Coverage[J].Journal of Finance,2013,Vol.68,No.4:1407-1440.
[15] 陈钦源,马黎珺,伊志宏.分析师跟踪与企业创新绩效——中国的逻辑[J].南开管理评论,2017,(3):15-27.
[16] Michenaud Sébastien.Corporate Investment and Analyst Pressure[Z].SSRN,2008.
[17] Graham John R.,Harvey Campbell R.and Rajgopal Shiva.The Economic Implications of Corporate Financial Reporting[J].Journal of Accounting and Economics,2005,Vol.40,No.1-3:3-73.
[18] Irani Rustom M.and Oesch David.Monitoring and Corporate Disclosure:Evidence from a Natural Experiment[J].Journal of Financial Economics,2013,Vol.109,No.2:398-418.
[19] Kelly Bryan and Ljungqvist Alexander.Testing Asymmetric-Information Asset Pricing Models[J].The Review of Financial Studies,2012,Vol.25,No.5:1366-1413.
[20] Fong Kingsley Y.L.,Hong Harrison G.and Kacperczyk Marcin T.,et al.Do Security Analysts Discipline Credit Rating Agencies?[Z].SSRN,2012.
[21] Harford Jarrad,Mansi Sattar A.and Maxwell William F.Corporate Governance and Firm Cash Holdings in the US[J].Journal of Financial Economics,2008,Vol.87,No.3:535-555.
[22] Jung Boochun,Sun Kevin Jialin and Yang Yanhua Sunny.Do Financial Analysts Add Value by Facilitating More Effective Monitoring of Firms' Activities?[J].Journal of Accounting,Auditing & Finance,2012,Vol.27,No.1:61-99.
[23] Jensen Michael C.Agency Costs of Free Cash Flow,Corporate Finance,and Takeovers[J].American Economic Review,1986,Vol.76,No.2:323-329.
[24] Myers Stewart C.and Rajan Raghuram G.The Paradox Of Liquidity[J].Social Science Electronic Publishing,1998,Vol.113,No.3:733.
[25] Lang Mark H.,Lins Karl V.and Miller Darius P.Concentrated Control,Analyst Following,and Valuation:Do Analysts Matter Most When Investors are Protected Least?[J].Journal of Accounting Research,2004,Vol.42,No.3:589-623.
[26] 王鹏.投资者保护、代理成本与公司绩效[J].经济研究,2008,(2):68-82.
[27] Allen Franklin,Qian Jun and Qian Meijun.Law,Finance,and Economic Growth in China[Z].Social Science Electronic Publishing,2005.
[28] Li Kevin K.and You Haifeng.What is the Value of Sell-side Analysts?Evidence from Coverage Initiations and Terminations[J].Journal of Accounting and Economics,2015,Vol.60,No.2-3:141-160.
[29] Opler Tim,Pinkowitz Lee and Stulz René,et al.The Determinants and Implications of Corporate Cash Holdings[J].Journal of Financial Economics,1999,Vol.52,No.1:3-46.
[30] Dechow Patricia M.,Richardson Scott A.and Sloan Richard G.The Persistence and Pricing of the Cash Component of Earnings[J].Journal of Accounting Research,2008,Vol.46,No.3:537-566.
[31] Frésard Laurent and Salva Carolina.The Value of Excess Cash and Corporate Governance:Evidence from US Cross-listings[J].Journal of Financial Economics,2010,Vol.98,No.2:359-384.
[32] 戴亦一,肖金利,潘越.“乡音”能否降低公司代理成本?——基于方言视角的研究[J].经济研究,2016,(12):147-160,186.
[33] 罗炜,朱春艳.代理成本与公司自愿性披露[J].经济研究,2010,(10):143-155.
[34] Hadlock Charles J.and Pierce Joshua R.New Evidence on Measuring Financial Constraints:Moving Beyond the KZ Index[J].Review of Financial Studies,2010,Vol.23,No.5:1909-1940.
[35] Jensen Michael C.Agency Cost of Free Cash Flow,Corporate Finance[J].American Economic Review,1986,Vol.76,No.2:323-329.
[36] Richardson Scott.Over-Investment of Free Cash Flew[J].Review of Accounting Studies,2006,vol.11,No.2:159-189.
[37] 陈运森,谢德仁.网络位置、独立董事治理与投资效率[J].管理世界,2011,(7):113-127.
[38] 陈德球,魏刚,肖泽忠.法律制度效率、金融深化与家族控制权偏好[J].经济研究,2013,(10):55-68.
[39] Djankov Simeon,Qian Yingyi and Roland Gérard,et al.Entrepreneurship in China and Russia Compared[Z].Social Science Electronic Publishing,2006.
[40] 樊纲,王小鲁,朱恒鹏.中国市场化指数——各省区市场化相对进程2011年度报告[M].北京:经济科学出版社,2012.
[41] 李寿喜.产权、代理成本和代理效率[J].经济研究,2007,(1):102-113.
[42] 田利辉.国有产权、预算软约束和中国上市公司杠杆治理[J].管理世界,2005,(7):123-128.
[43] 周开国,应千伟,陈晓娴.媒体关注度、分析师关注度与盈余预测准确度[J].金融研究,2014,(2):139-152.
① 代理成本做年度行业中位数调整(AC_adj)的回归结果与此相一致。因篇幅限制,未予列示,作者备索。下同。
② “新增投资支出”系借鉴Richardson(2006)[36]、陈运森和谢德仁(2011)[37]的相关模型构建。不再赘述。
(1)“乐观”赋予0.4权重,“非乐观”赋予0.6权重构建乐观倾向指数,回归结果与上述实证结果一致。
(2)代理成本做年度行业中位数调整(AC_adj)的回归结果与此相一致。
(3)将2007年设定为第0年是基于2002～2006年国内券商市场较为动荡的考量。期间,中国证监会曾较大规模地整顿了一批券商。
(4)以代理成本年度行业调整数作为替代变量所进行的内生性检验结果与上述实证结果一致。
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