代理问题、机构投资者监督与公司价值

Agency Problem,Institutional Investor's Supervision and Corporate Value

本文基于代理问题视角,研究机构投资者监督影响公司价值的非线性作用。本文通过拓展Cohn&Rajan(2013)的模型框架,构建了机构投资者监督的理论模型。研究发现,机构投资者的监督存在不同代理成本下的门槛效应,参与公司治理的成功概率和预期收益随着代理成本的增加而减少。本文采用异质性随机前沿模型测算代理成本,通过面板门槛模型对2010—2016年的中国上市公司样本进行实证检验。检验结果表明,稳定型机构投资者持股在代理成本较低的公司中提升公司价值,在代理成本较高的公司中降低公司价值。本文的研究还发现,仅在代理成本较低的公司发放现金股利可以增强稳定型机构投资者的监督作用。

Domestic and foreign scholars have made rich exploration of the activism of institutional investors on corporate governance. However, less research on the impact of the agency problem to institutional investors＇ supervi- sion has been conducted. Scholars have noted that active investors choose different strategies as per the difference of managers＇ agency cost and the governance effectiveness of the board of directors. But, no in-depth study has yet been made on the impact of the behavior of the controlling shareholder on the activism of the institutional investors. Meanwhile, how cash dividend affects the governance effects of institutional investors through agency cost is unclear in past research. With reference to the Cohn and Rajan （2013）model ,we introduce utility function for the controlling sharehold- er and Managers in constructing a theoretical model for the institutional investors＇ supervision to explore the govern- ance effects of the institutional investors＇ active intervention in the operating decision of the controlling shareholder or Managers. In terms of empirical analysis, we use the stochastic frontier model to compute the agency costs, use Hansen （1999） panel threshold model to explore the non-linear characteristics of the effects of agency costs on dif- ferent institutional investors in their influence on corporate value. We also discuss the interaction correlation between cash dividend and active institutional investors. This study finds that relatively low agency cost helps to improve the probability of approval for the proposition of the active institutional investors and increase the expected income. The empirical study shows that with the increase of agency cost, the impact of institutional investors on corporate value exhibits a threshold effect that appears first to strengthen and then to diminish, and cash dividend restrains the insti- tutional investors＇ activism in firms with relatively high agency cost. Innovations of this article are as follows：first, through introducing the agency problem and constructing the util- ity function for the controlling shareholder and Managers,we expand the theoretic model for active investor of Cohn and Rajan （2013） , and theoretically reveal the difference of the success probability for institutional investors＇ active intervention and difference of expected cash flow income at varied levels of agency costs. Secondly, we use the sto- chastic frontier model to directly compute the agency cost, prove the non-linear characteristics of stable institutional investors in their influence on corporate value through the Hansen （1999）panel threshold model,and find that high agency conflict is an important factor for the negative correlation between the shareholding percentage and corporate value. Thirdly, this paper finds that the interactive correlation between cash dividend and active institutional inves- tors varies significantly at different level of agency costs, and that cash dividend can promote the positive influence of stable institutional investors on corporate value only in firms with relatively low agency cost. The agency problem of the controlling shareholder in Chinese capital market is severe, and the asymmetry of in- formation is significant. The results of this study show that where the agency cost is low, active institutional investors enhance the corporate value, and cash dividends further enhance the active role of institutional investors. This sug- gests that the agency problem restrains the role of institutional investors and other corporate governance mechanism can impact governance effect of active institutional investors through agency cost. Therefore, China can guide the long-term and stable dividends,internal governance mechanisms to play a role in alleviating agency conflict, or con- strnct information disclosure rules for the institutional investor activism.