股改对价反映了公司的盈利和风险吗？

DOES THE COMPENSATION RATIO REFLECT EARNINGS AND RISKS UNDER THE SPLIT SHARE STRUCTURE REFORM？

本文对股权分置改革中（以下简称“股改”）影响非流通股股东支付对价的基本因素进行了研究，考察了对价是否反映公司的盈利和风险这些基本面的因素。实证结果表明：在股改中，对价的确反映了公司的盈利能力和风险，公司的盈利能力和盈利质量越高，非流通股股东支付的对价越低；股票回报率风险越高，非流通股股东支付的对价越高。但是，盈利和风险这些基本信息在对价中的反映主要是由机构投资者的参与所导致，即机构投资者参与程度越高，盈利能力和风险反映到对价之中的能力越强，表明机构投资者在对价谈判中考虑了公司信息的基本面，而在非机构投资者为主的公司，对价则主要依据非基本面的信息。

This paper investigates the determinants of compensation ratio under the Split Share Structure Reform in China, and examines whether the participation of institutional investors influences the impounding of firm-specific fundamental information into the compensation ratio. We find that the compensation ratio does indeed reflect the information on earnings and volatility of stock returns. In particular, higher returns on equity and earnings quality lead to a lower compensation ratio, while a higher volatility of stock returns leads to a higher compensation ratio. We also show that the participation of institutional investors increases the effectiveness of returns on equity, earnings quality, and volatility of stock returns in explaining the compensation ratio.