股权集中度与资产出售的价值效应

Ownership Concentration and the Valuation Effect of Corporate Asset Sales

资产出售是企业去除过剩产能的一种重要手段,而在中国上市公司中,投资者对于不同公司资产出售事件的市场反应并不尽相同。基于事件研究法的研究结果表明,围绕资产出售宣告日前后,公司股权集中度越低,其股票超额收益越高,即投资者对该公司的出售决策寄予价值增长预期。在控制了其他变量的多元回归分析中,股权集中度仍与资产出售的价值效应呈现显著的负相关关系。由此可见,股权集中度的差异一定程度上反映了代理成本的不同,在股权集中度低的上市公司中管理层的代理成本较高,管理层既往的投资决策对于股东而言或不是最优的;当宣告资产出售时,市场将此解读为对以往无效投资决策的一种"壮士断腕"式的矫正,通过股价在事件前后的超额收益体现出投资者预期的价值效应。

Asset sale is an important method of removing excess production capacity. In the Chinese stock market, in- vestors react to the asset sale events differently for different firms. We conduct event studies around asset sale announce- ments and find that the cumulative abnormal returns of firms with lower ownership concentration tend to be higher, i. e. higher valuation expectation increase from investors. When we divide our sample into different portfolios, the lowest portfo- lio always demonstrates a significant and positive three-day CAR. In the multivariate regression analysis controlling for oth- er variables, the relation between ownership concentration and asset sale valuation effect still holds. The above findings mainly hold in non-SeEs and in firms with low analyst coverage, showing higher tendency of interpreting asset sales as pos- itive reparative adjustment in firms with weak governance. Our results show that ownership concentration affects agency cost, which is higher in firms with a dispersed ownership structure; managers of these firms made inefficient investment de- cisions and have to sell off the assets afterwards. Investors interpret this as an adjustment of previous inefficient decisions and thus an improvement in efficiency. Investors＇ expectation of valuation increase results in positive CARs around asset