资本市场定价对企业并购行为的影响研究——来自中国上市公司的证据

Capital Market Pricing and Corporate Acquisitions:Evidence from Chinese A-share Firms

Shleifer&Vishny(2003)和Rhodes-Kropf&Viswanathan(2004)提出的股票过度估值理论认为股价高估的公司更可能发起并购。但该理论成立的前提与中国资本市场的制度环境存在显著差异。本文基于信号理论提出了中国资本市场定价对企业并购行为影响新的解释机制。研究发现:(1)上市公司更愿意在股价低估时发起并购,且在股价低估时,主并公司的市场表现更好,但这种择时行为并没有产生协同效应。(2)当上市公司面临的信息不对称程度越高和融资约束越低时,股价低估对企业并购行为的影响越显著。(3)上市公司的董事和高管倾向于在股价低估时增加其持股比例,并在随后积极发起并购。(4)融资融券制度能够显著提高资本市场的定价效率,从而显著抑制了上市公司的并购活动。上述结果表明,上市公司更愿意在股价低估时通过并购活动提升股票估值水平,并且当公司或个人能够从中套利时,上市公司发起并购的动机就更加强烈。本文的研究为探讨资本市场对实体经济运行的影响提供了新的证据和视角,对于当下中国资本市场和并购重组市场的健康发展具有重要的政策含义。

In his presidential address at the 2015 Annual Meeting of the American Finance Association,Professor Zingales(2015)posed the pointed question of whether finance benefits society.As mergersand acquisitions(M&A)are an essential means of optimizing the resource allocation in the real economy,studying how capital market pricing affects corporate acquisition behavioris likely to provide a suitable response to Professor Zingales'question.The literature has primarily aimed to answer this question based on stock overvaluation theory,which proposes that M&A are a form of arbitrage used by overvalued firms operating in inefficient capital markets(Rhodes-Kropf&Viswanathan,2004;Shleifer&Vishny,2003).However,there are significant differences between the research settings of these studies and the institutional environment of China's capital markets,particularly given that the China Securities Regulatory Commission has implemented strict regulatory requirements for issuing shares and M&A are an important target of speculation in the capital markets.Therefore,this paper re-examines the relationship between capital market pricing and corporate acquisition behavior using a sample of Chinese A-share firms from 2008 to 2017.Based on the pricing factors proposed by Rhodes-Kropf et al.(2005),we find that firms are more willing to initiate M&A when their stocks are undervalued.This finding suggests that stock overvaluation theory does not apply to the Chinese capital market.As an alternative,we propose a new mechanism based on signal theory where by A-share firms signal that their stocks are undervalued by initiating M&A,thereby increasing their share price valuations.Further analysis confirms this conjecture by showing the following.(1)Although the market performance of acquirers is better when their stocks are undervalued,M&A do not create synergies.(2)When A-share firms face higher information asymmetry and lower financing constraints,they have more incentives to initiate M&A when their stock prices are undervalued.(3)Directors and executives tend to increase their shareholdings in their firms when the shares are undervalued and then actively initiate M&A.(4)The short-selling system can significantly improve the pricing efficiency of the capital market,thus significantly inhibiting the M&A activity of A-share firms.The empirical results of this paper show that M&A increase firm valueand that firms have a stronger incentive to increase their value through M&A when the firms or individuals can gain arbitrage from the capital market.(5)By controlling for the variables and grouped regression model,we rule out the two competing hypotheses of firm lifecycle and agency theory,which suggests that signal theory is the correct theory for explaining the phenomenon of A-share firms preferring to initiate M&A when their shares are undervalued.Our paper makes three contributions to the literature.First,we contradict the idea that A-share firms are more likely to initiate M&A when their shares are overvalued by showing that A-share firms tend to initiate M&A when their stocks are undervalued.Second,we further clarify the scenarios in which stock overvaluation theory and signal theory are applicable by comparing the differences between the domestic and foreign institutional settings and the results of our empirical tests,thereby deepening our understanding of stock overvaluation theory and signal theory.Third,we enrich the research on M&A motivation and performance by examining the relationship between capital market pricing and corporate acquisition behavior.Our results suggest that the pricing efficiency of the capital market significantly influences the timing behavior of A-share firms'M&A and thus distorts the efficiency of resource allocation.Moreover,the establishment of a short-selling system can enhance the pricing efficiency of the capital market,thereby promoting the healthy development of the corporate control of the market.Given the importance of M&A for corporate development,industry competition,and industrial transformation and upgrading,our findings provide valuable and constructive insights for regulators seeking to make the capital markets better serve the real economy.