大股东占用上市公司资金与上市公司股票回报率关系的研究

A Study of the Relationship between Big Shareholders' Diverting Listed Companies' Capital and the Stock Returns of these Companies

本文研究大股东占用上市公司资金对公司股票回报的影响。通过考察1996￣2002年期间大股东占用上市公司资金的数据,本文发现大股东资金占用最多的公司投资组合在未来1年中的超额投资回报为平均每月-0.26%(每年-3.12%);而资金占用最低的公司投资组合为0.54%(每年6.48%)。一个卖空资金占用最多组合、买入资金占用最低组合的对冲策略在未来1年中的超额回报为每月0.80%(每年9.60%)。分年度的研究表明,对冲策略的超额回报率主要集中在1999年之后。1999￣2002年期间,对冲策略产生的超额回报率达到每月1.31%(每年15.7%)。我们的结论不受对正常回报率的不同衡量方法的影响,也不受控制其他可能影响股票回报率的因素的影响。进一步的分析显示大股东资金占用和上市公司未来年度的盈利能力呈显著的反比关系、负相关,表明其对公司经营的负面影响。

This paper is the result of our study of the effect of big shareholders' sidetracking listed companies'capital upon the stock returns of these companies. By the analyzing the data of the capital that has tied up and used by big shareholders from 1996 to 2002, we have found that the excessive investment returns (in the coming year) of the companies where the amount of capital that big shareholders have tunneled or diverted has been largest average 0.26% per month (-3.12% per annum); and that the said returns of the companies where the amount of capital that big shareholders have switched has been smallest average 0.54% (6.48% per annum). By means of the tactics of hedge by which the mix in which the over-selling capital is the largest in amount is combined with the mix in which the buying capital is the lowest in amount, the excessive investment returns are 0.80% per month (9.60% per annum) in the coming year. The studies classified by the time of a year, indicate that the excessive returns from the hedge tactic concentrated mainly in the years after 1999, and that these returns were 1.31% per month (15.7% per annum) during 1999 to 2002. The results of our study remain the same if other methods are used of measuring nodal stock returns, and these results are not swayed by other factors that control elements that may act on the stock returns. Our further analysis shows that there is a negative correlation between big shareholders ' tunneling listed companies' capital and commercial power of listed companies in the coming year, and this tunneling has a negative effect on the operation of listed companies.