股利折价之谜——基于大股东掏空与监管迎合的探索

The Dividend Discount Puzzle: A Study Based on Tunneling and Catering to Regulation

本文以2008-2015年我国沪深两市A股上市公司为研究样本,构建"股利支付动机-股利价值效应-股利折价"的分析路径,从大股东掏空与监管迎合视角分析中国"股利折价之谜"。研究发现,当大股东利用现金股利掏空公司时,中小投资者倾向退出投资,股利支付公司的价值受损,形成股利折价;但监管迎合动机下的现金股利反而对公司价值存在正向效应,表明投资者认同上市公司迎合监管行为,监管迎合不是股利折价根源。进一步分析发现,大股东还可能将监管迎合作为掩饰其掏空的"面具"。本文首次对"股利折价之谜"进行分析并对其根源精准定位,揭示监管政策的积极作用,反对以往"监管悖论"观点;同时提出未来监管政策应重点关注大股东掏空,提高股利支付公司的价值。

"Dividend Discount", the concept was firstly introduced by Baker and Wurgler in 2004. It indicates that the corporate value of dividend is lower than the value of non-dividend. Cash dividends are always been premium in the United States in the past decades. But in China the dividend discount is common phenomenon. After a short review, we find that the motivations of signaling, alleviating two types of agency conflicts and catering to investors are benefit to the dividend corporates. However, the motivations of tunneling by major shareholders and catering to regulations may do harm to the value of dividend corporates. Using the data of A-share listed companies from 2008 to 2015, we explore Chinese "Dividend Discount Puzzle" through the path of "Dividend Motivation-Dividend Value Effect-Dividend Discount". We establish two different ways, one is based on tunneling, and the other is based on catering to regulation. The basic conclusions are:(1) The more major shareholders tunnel, the more other investors withdraw from investment and the cash payout cuts the company’s value in the view of shareholding ratio of major shareholders and abnormal high dividends.(2) Cash dividends which cater to the policies of China Securities Regulatory Commission(CSRC) cannot reduce the value of the company using threshold earnings and dividends, potential refinancing needs and low dividends to characterize the motivation of catering to the regulation. It is tunneling, not regulation catering, which leads to dividend discount. Furthermore, the value of dividend corporates is also increased even if the two motivations of tunneling and catering to the regulation work together, which means that major shareholders may take catering as mask of tunneling. We analyze the "Dividend Discount Puzzle" initially, and define its essence precisely. As opposed to the "Regulatory paradox", we also find that the effect of the current regulation policy is positive. Finally, we suggest that the regulator should focus on tunneling of major shareholders in order to increasing the company’s value in the future.