股票流动性、公司治理与企业经营绩效——基于退出威胁与锁定效应的理论与实证研究

Stock Liquidity,Corporate Governance and Firm Operating Performance:Theory and Evidence Based on the Threat of Exit and Lock-in Effect

文章采用博弈论的分析框架探讨了股票流动性的两大效应,即"退出威胁"与"锁定效应"。研究表明,当股票流动性较低时,机构投资者的退出策略不可行,被迫参与上市公司的监督行为,即表现为"锁定效应",且股票流动性越低,这一效应越明显。然而,随着股票流动性的进一步增强,机构投资者的退出策略开始变得可信,从而可以通过一定的触发策略迫使管理者选择尽职,因而表现为"退出威胁",且股票流动性越高,这一效应越明显。因此,总的说来,股票流动性与经营绩效之间会呈现一个先减后增的U型关系。文章采用高频交易数据构造相对有效价差与相对报价价差衡量股票流动性对上述假说进行了检验,其实证结论支持了文中的假说。

Based on the conflict between controlling shareholders and small＆ medium shareholders, the paper analyzes the two effects of stock liquidity-＂ threat of exit＂ and ＂lock-in effect＂. The result shows that when the stock liquidity is low, the exit strategy of the institutional investors is infeasible, so the institutional investors have to monitor listed companies, i.e. the ＂lock-in effect＂, and the lower the stock liquidity, the stronger the effect. However, the exit strategy becomes credible along with the enhancing of the stock liquidity, so the institutional investor can set a trigger strategy to force managers to do their duties, and this effect is called ＂the threat of exit＂, and the higher the stock liquidity, the stronger this effect. As a whole, the relationship between stock liquidity and operating performance is a U-shape. On the basis of high frequency data of listed companies from Shenzhen and Shanghai stock markets from 2003 to 2007, the paper tests the above hypothesis by employing relative effective spread and quoted spread, and the result verifies our hypothesis.