企业内部控制与机构投资者羊群行为:“反向”治理效果及异质性分析
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摘要
选择2007—2016年我国A股上市公司和机构投资者持股数据为样本,采用迪博内部控制指数度量企业内部控制,实证考察企业内部控制对机构投资者羊群行为的影响,并从产权性质和高管信息披露操纵倾向两个角度进行异质性分析。实证结果显示:企业内部控制与机构投资者羊群行为呈显著的负相关关系;企业内部控制对机构投资者羊群行为的负向影响存在单一门槛效应,企业的内部控制质量高于门槛值时,其对机构投资者羊群行为具有显著的负向影响,反之,影响并不显著;相较于非国有企业,国有企业内部控制对机构投资者羊群行为的负向影响更为明显;相较于存在高管信息披露操纵倾向的企业,在不存在高管信息披露操纵倾向的企业,内部控制对机构投资者羊群行为的负向影响更强。研究表明,企业内部控制能够"反向"治理机构投资者羊群行为,其是企业微观机制对宏观资本市场的治理典范。
Taking the data of China's A-share listed companies and institutional investors' shareholding from 2007 to 2016 as a sample,the Dibo internal control index is adopted as a measure of internal control,the impact of internal control on the herding behavior of institutional investors is empirically examined,and the heterogeneity is analyzed from two angles:the nature of property rights and the manipulative tendency of executive information disclosure.It has found that there is a significant negative correlation between corporate internal control and institutional investor herding behavior.There is a single threshold effect on the negative impact of corporate internal control on institutional investor herding behavior.When the quality of corporate internal control is higher than the threshold value,it has a significant negative impact on institutional investor herding behavior.Conversely,the effect is not significant.Compared with non-state-ow ned enterprises,the negative influence of internal control of state-ow ned enterprises on the herding behavior of institutional investors is more obvious.Compared with enterprises with manipulating tendency of executive information disclosure,internal control of enterprises without manipulating tendency of executive information disclosure has a stronger negative influence on the herding behavior of institutional investors.The research show s that the internal control of enterprises can "reverse" the herd behavior of institutional investors,which is the model of governance of macro-capital market.
Taking the data of China's A-share listed companies and institutional investors' shareholding from 2007 to 2016 as a sample,the Dibo internal control index is adopted as a measure of internal control,the impact of internal control on the herding behavior of institutional investors is empirically examined,and the heterogeneity is analyzed from two angles:the nature of property rights and the manipulative tendency of executive information disclosure.It has found that there is a significant negative correlation between corporate internal control and institutional investor herding behavior.There is a single threshold effect on the negative impact of corporate internal control on institutional investor herding behavior.When the quality of corporate internal control is higher than the threshold value,it has a significant negative impact on institutional investor herding behavior.Conversely,the effect is not significant.Compared with non-state-ow ned enterprises,the negative influence of internal control of state-ow ned enterprises on the herding behavior of institutional investors is more obvious.Compared with enterprises with manipulating tendency of executive information disclosure,internal control of enterprises without manipulating tendency of executive information disclosure has a stronger negative influence on the herding behavior of institutional investors.The research show s that the internal control of enterprises can "reverse" the herd behavior of institutional investors,which is the model of governance of macro-capital market.
引文
程天笑,刘莉亚,关益众.2014.QFII与境内机构投资者羊群行为的实证研究[J].管理科学(4):110-122.
池国华,杨金,张彬.2016.EVA考核提升了企业自主创新能力吗?基于管理者风险特质及行业性质视角的研究[J].审计与经济研究(1):55-64.
李学峰,钟林楠.2017.投资经验能有效降低羊群效应吗?以开放式基金的个体为例[J].证券市场导报(5):45-54.
李越冬,严青.2017.机构持股、终极产权与内部控制缺陷[J].会计研究(5):83-89.
路磊,黄京志,吴博.2014.基金排名变化和羊群效应变化[J].金融研究(9):177-191.
权小锋,肖斌卿,吴世农.2016.投资者关系管理能够稳定市场吗?基于A股上市公司投资者关系管理的综合调查[J].管理世界(1):139-152.
孙光国,刘爽,赵健宇.2015.大股东控制、机构投资者持股与盈余管理[J].南开管理评论(5):75-84.
伍旭川,何鹏.2005.中国开放式基金羊群行为分析[J].金融研究(5):60-69.
许年行,江轩宇,伊志宏,等.2012.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究(7):127-140.
许年行,于上尧,伊志宏.2013.机构投资者羊群行为与股价崩盘风险[J].管理世界(7):31-43.
甄红线,王谨乐.2016.机构投资者能够缓解融资约束吗?基于现金价值的视角[J].会计研究(12):51-57.
郑瑶,董大勇,朱宏泉.2015.网络证券信息交流减弱股市羊群效应吗:基于中国证券市场的分析[J].管理评论(6):58-67.
周美华,林斌,林东杰.2016.管理层权力、内部控制与腐败治理[J].会计研究(3):56-63.
AGARWAL V,DANIEL N D,NAIK N Y.2009.Role of managerial incentives and discretion in hedge fund performance[J].Journal of Finance,64(5):2219-2254.
BANERJEE A V.1992.A simple model of herd behavior[J].Quarterly Journal of Economics,107(3):797-817.
BOYSON N M.2010.Implicit incentives and reputational herding by hedge fund managers[J].Journal of Empirical Finance,17(3):283-299.
BRONSON S N,CARCELLO J V,RAGHUNANDAN K.2006.Firm characteristics and voluntary management reports on internal control[J].Auditing A Journal of Practice&Theory,25(2):25-39.
DECHOW P M,SLOAN R G,SWEENEY A P.1995.Detecting earnings management[J].Accounting Review,70(2):193-225.
FROOT K A,SCHARFSTEIN D S,STEIN J C.1992.Herd on the street:informational inefficiencies in a market with short-term speculation[J].Journal of Finance,47(4):1461-1484.
GASPAR J M,MASSA M,MATOS P.2005.Shareholder investment horizons and the market for corporate control[J].Social Science Electronic Publishing,76(1):135-165.
HONG H,KUBIK J D,STEIN J C.2005.The neighbor's portfolio:word-of-mouth effects in the holdings and trades of money managers[J].Journal of Finance,60(6):2801-2824.
JEGADEESH N,KIM W.2010.Do analysts herd?An analysis of recommendations and market reactions[J].Review of Financial Studies,23(2):901-937.
JONES J J.1991.Earnings management during import relief investigations[J].Journal of Accounting Research,29(2):193-228.
KRAUS A,STOLL H R.1972.Parallel trading by institutional investors[J].Journal of Financial and Quantitative Analysis,7(5):2107-2138.
LAKONISHOK J A,SHLEIFER A,VISHNY R W.1992.The impact of institutional trading on stock price[J].Journal of Financial Economics,32(1):23-43.
MAUG E,NAIK N.2011.Herding and delegated portfolio management:the impact of relative performance evaluation on asset allocation[J].Quarterly Journal of Finance,1(2):265-292.
MITRA S,JAGGI B,HOSSAIN M.2013.Internal control weaknesses and accounting conservatism:evidence from the post-Sarbanes-Oxley period[J].Journal of Accounting,Auditing&Finance,28(2):152-191.
MORRISON A D,WILHELM W J.2004.Partnership firms,reputation,and human capital[J].American Economic Review,94(5):1682-1692.
VELURY U,JENKINS D S.2006.Institutional ownership and the quality of earnings[J].Journal of Business Research,59(9):1043-1051.
WERMERS R.1999.Mutual fund herding and the impact on stock prices[J].Journal of Finance,54(2):581-622.
(1)根据wind数据统计显示,证监会披露的信息披露违规行为主体有“公司本身、公司股东、公司其它关联方以及公司控制参股公司”四种类型,由于本文研究的是公司管理层的信息披露操纵行为,为保证结果可靠,此处只保留公司本身和其控制参股公司两类样本。
池国华,杨金,张彬.2016.EVA考核提升了企业自主创新能力吗?基于管理者风险特质及行业性质视角的研究[J].审计与经济研究(1):55-64.
李学峰,钟林楠.2017.投资经验能有效降低羊群效应吗?以开放式基金的个体为例[J].证券市场导报(5):45-54.
李越冬,严青.2017.机构持股、终极产权与内部控制缺陷[J].会计研究(5):83-89.
路磊,黄京志,吴博.2014.基金排名变化和羊群效应变化[J].金融研究(9):177-191.
权小锋,肖斌卿,吴世农.2016.投资者关系管理能够稳定市场吗?基于A股上市公司投资者关系管理的综合调查[J].管理世界(1):139-152.
孙光国,刘爽,赵健宇.2015.大股东控制、机构投资者持股与盈余管理[J].南开管理评论(5):75-84.
伍旭川,何鹏.2005.中国开放式基金羊群行为分析[J].金融研究(5):60-69.
许年行,江轩宇,伊志宏,等.2012.分析师利益冲突、乐观偏差与股价崩盘风险[J].经济研究(7):127-140.
许年行,于上尧,伊志宏.2013.机构投资者羊群行为与股价崩盘风险[J].管理世界(7):31-43.
甄红线,王谨乐.2016.机构投资者能够缓解融资约束吗?基于现金价值的视角[J].会计研究(12):51-57.
郑瑶,董大勇,朱宏泉.2015.网络证券信息交流减弱股市羊群效应吗:基于中国证券市场的分析[J].管理评论(6):58-67.
周美华,林斌,林东杰.2016.管理层权力、内部控制与腐败治理[J].会计研究(3):56-63.
AGARWAL V,DANIEL N D,NAIK N Y.2009.Role of managerial incentives and discretion in hedge fund performance[J].Journal of Finance,64(5):2219-2254.
BANERJEE A V.1992.A simple model of herd behavior[J].Quarterly Journal of Economics,107(3):797-817.
BOYSON N M.2010.Implicit incentives and reputational herding by hedge fund managers[J].Journal of Empirical Finance,17(3):283-299.
BRONSON S N,CARCELLO J V,RAGHUNANDAN K.2006.Firm characteristics and voluntary management reports on internal control[J].Auditing A Journal of Practice&Theory,25(2):25-39.
DECHOW P M,SLOAN R G,SWEENEY A P.1995.Detecting earnings management[J].Accounting Review,70(2):193-225.
FROOT K A,SCHARFSTEIN D S,STEIN J C.1992.Herd on the street:informational inefficiencies in a market with short-term speculation[J].Journal of Finance,47(4):1461-1484.
GASPAR J M,MASSA M,MATOS P.2005.Shareholder investment horizons and the market for corporate control[J].Social Science Electronic Publishing,76(1):135-165.
HONG H,KUBIK J D,STEIN J C.2005.The neighbor's portfolio:word-of-mouth effects in the holdings and trades of money managers[J].Journal of Finance,60(6):2801-2824.
JEGADEESH N,KIM W.2010.Do analysts herd?An analysis of recommendations and market reactions[J].Review of Financial Studies,23(2):901-937.
JONES J J.1991.Earnings management during import relief investigations[J].Journal of Accounting Research,29(2):193-228.
KRAUS A,STOLL H R.1972.Parallel trading by institutional investors[J].Journal of Financial and Quantitative Analysis,7(5):2107-2138.
LAKONISHOK J A,SHLEIFER A,VISHNY R W.1992.The impact of institutional trading on stock price[J].Journal of Financial Economics,32(1):23-43.
MAUG E,NAIK N.2011.Herding and delegated portfolio management:the impact of relative performance evaluation on asset allocation[J].Quarterly Journal of Finance,1(2):265-292.
MITRA S,JAGGI B,HOSSAIN M.2013.Internal control weaknesses and accounting conservatism:evidence from the post-Sarbanes-Oxley period[J].Journal of Accounting,Auditing&Finance,28(2):152-191.
MORRISON A D,WILHELM W J.2004.Partnership firms,reputation,and human capital[J].American Economic Review,94(5):1682-1692.
VELURY U,JENKINS D S.2006.Institutional ownership and the quality of earnings[J].Journal of Business Research,59(9):1043-1051.
WERMERS R.1999.Mutual fund herding and the impact on stock prices[J].Journal of Finance,54(2):581-622.
(1)根据wind数据统计显示,证监会披露的信息披露违规行为主体有“公司本身、公司股东、公司其它关联方以及公司控制参股公司”四种类型,由于本文研究的是公司管理层的信息披露操纵行为,为保证结果可靠,此处只保留公司本身和其控制参股公司两类样本。