ST“戴帽”能够提高公司价值和经营绩效吗——基于倾向值匹配和双重差分模型的因果推断

Can ST Enhance Firm Value and Operating Performance——Causal Inference Based on Propensity Score Matching and Difference-In-Differences Model

利用倾向值匹配和双重差分模型研究ST制度对公司价值和经营绩效的因果效应。以2004-2014年的非金融A股上市公司为样本,研究发现,在倾向值匹配前,ST"戴帽"能够显著地提高公司价值。但在倾向值匹配后,即控制了其他公司特点等影响因素后,仅ST"戴帽"本身并不能提高公司价值。具体而言,ST"戴帽"不仅降低了资产的账面价值,而且也降低了资产的市场价值。这说明ST制度起到了风险预警的作用,投资者并没有盲目追捧ST股票。此外,ST"戴帽"对公司及其管理层也具有警醒作用,能够显著提高公司的未来经营绩效。以上结果表明,ST制度在证券市场上基本发挥了预期的政策作用,是符合中国实情的有益尝试。

The methods of propensity score matching and difference-in-differences model were employed to examine the causal effects of ST system on firm value and operating performance. The samples of non-financial A-share listed companies from 2004 to 2014 showed that ST can significantly improve firm value prior to propensity score matching. However, after propensity score matching（that is, after controlling for other factors such as some firm characteristics）, ST does not improve firm value on its own. To be specific, ST will reduce not only the book value but also the market value of assets, which indicates that the ST system plays a role in risk warning and investors are not blind in pursuit of ST shares. In addition,ST can also warn the companies＇executives so as to significantly improve the companies ＇ future operating performance. These empirical results suggest that ST system is a beneficial attempt in line with China＇s actual conditions and has played an expected role in the stock market.