股票流动性、股权分置改革与公司价值

Stock Liquidity,Non-tradable Shares Reform and Firm Value

以2001年至2008年中国沪深两市中仅发行A股的上市公司为样本,使用由高频交易数据构造的相对有效价差和相对报价价差以及由日间交易数据构造的价格冲击衡量股票流动性,使用同行业中与公司市值最为接近的两家公司的股票流动性变量的均值作为该变量的工具变量,采用两阶段最小二乘法控制可能的内生性影响,考察股票流动性与公司价值之间的关系以及股权分置改革对这一关系的影响。研究结果表明,股票流动性与公司价值显著正相关;通过分解反映公司价值的指标考察股票流动性对公司价值的影响路径,结果表明股票流动性与财务杠杆水平和经营绩效之间均呈显著负相关;股权分置改革增强了股票流动性与公司价值和杠杆水平之间的相关关系,但不显著;股票流动性与经营绩效之间的负相关关系在股权分置改革之后显著减弱,这说明股权分置改革促进了多种市场机制作用的发挥,但由于股权分置改革时间不长,发挥的作用还很有限。各种稳健性检验表明结论保持不变。

By using a sample of listed companies from Shenzhen Stock Market and Shanghai Stock Market from the year 2001 to 2008 which only issue A-shares,the study explored the relationship between stock liquidity and firm value and the effect of non-tradable shares reform on this relationship.Relative effective spread and relative quoted spread constructed by high frequency data and price impact constructed by inter-day data were used to measure the stock liquidity.To alleviate the effect of endogeneity,the study used the two-stage least squares method and used the average liquidity of two competitors with similar stock market capitalization as the instrument variable.The results show that the relationship between stock liquidity and firm value is significantly positive.Furthermore,the study explored how stock liquidity affects firm value through breaking firm value variable into components.The results show that the relationship between stock liquidity and financial leverage and operating performance is all significantly negative.After the reform of non-tradable shares,the relationship between stock liquidity and firm value and financial leverage becomes stronger but insignificantly,while the negative relationship between stock liquidity and operating performance becomes lower significantly.This means that the non-tradable shares reform stimulates the function of many market mechanisms,while the effect is limited because of the limited period after the non-tradable shares reform.Robust tests get the same results.