我国股权激励市场反应的实证检验——降低代理成本抑或管理层寻租

An Empirical Test of Market Reaction of Stock Option: Agency Cost Reduction or Manager rent-seeking

最优契约理论与管理层权力理论是解释股权激励的两大对立理论。哪种理论能够更好解释我国的情况?本文通过检验两种理论对我国股权激励财富效应的解释力以回答该问题。结果表明,股权激励的短期市场反应为正,出现换手率、异常净买入与买方大额交易比例高涨的现象;然而,这些指标在中期均出现反转现象,超额收益率为负,换手率、异常净买入与买方大额交易比例出现回落。这表明,事件日投资者情绪高涨,短期正面的市场反应只是由于投资者乐观情绪所导致,最优契约理论无法得到支持。进一步,本文检验市场反应的影响因素。管理层权力过大(监督不足)与股权激励方案特征被操纵导致股东财富受到负面影响,一定程度上支持管理层权力理论。

Optimal contracting theory and managerial power theory are two opposite theories that explain stock option. Which one provides a better explanation in China？ This paper answers the question by investigating the market reaction of stock option. The short-term CAR is positive. The turnover, abnormal buy-in and large buy-in trading increase in the short-term. Nevertheless, CAR becomes negative and the trading indicators decrease in the middle-term. It indicates that short-term positive reaction is induced by the investor sentiment, and the optimal contracting theory could not be proved. Furthermore, this paper studies the determinants of market reaction. The large managerial power （lack of supervision） and manipulated scheme design of stock option are negatively related to shareholder wealth, which provides evidence for managerial power theory.