私募证券投资基金股东积极主义与中国资本市场稳定研究

Research on Hedge Fund Shareholder Activism and the Stability of China’s Capital Market

机构投资者能否发挥股东积极主义是学术界和监管机构长期关注的议题。中国私募证券投资基金(对冲基金)在经过2014到2016年间井喷式增长后,已与公募基金(共同基金)在日均交易量和资产管理能力方面平分秋色。本文研究发现:与已有文献对中国机构投资者持仓增加上市公司股价崩盘风险的研究结论不同,私募证券投资基金持仓发挥了股东积极主义,进而降低了股价崩盘风险,扮演了"市场稳定器"而非"崩盘加速器"的角色。该结论在2015年私募证券投资基金可以自主发行产品之后样本期内,以及在会计信息质量较低和非融资融券标的的上市公司子样本中更为显著,其作用机制是通过影响上市公司的公司治理。本文研究提供了来自新兴市场的对冲基金股东积极主义研究领域的经验证据,并为国内三大攻坚战之首的防范系统性风险提供了来自私募证券投资基金参与上市公司治理视角的经验证据,有助于金融监管机构制定合理的上市公司极端风险防范对策。

Whether institutional investors can give full play to shareholder activism is a long-term concern of academia and regulators.Chinese hedge funds have become an essential kind of institutional investors, much close to mutual funds in the scale of trading volume and asset management prowers in 2014 to 2016. This paper finds that, different from the conclusion that the position of Chinese institutional investors increases the risk of stock price collapse of Listed Companies in the existing literature, the position of private securities investment funds plays the role of shareholder activism, reduces the risk of stock price collapse, and plays the role of "market stabilizer" rather than "collapse accelerator".This conclusion is more significant in the sample period after the private securities investment fund can independently issue products in 2015, as well as in the sub samples of listed companies with low accounting information quality and non margin trading targets. Its mechanism is through affecting the corporate governance of listed companies.This paper provides empirical evidence in hedge fund activism from an emerging market, from the perspective that hedge funds’ participation in corporate governance may help prevent the stock market risk for target firms. This study may thus yield instructive policy insights for financial regulators into mitigating financial risks in the stock market.