市场参与者意见分歧与公司融资决策
摘要
投资者的意见分歧是股票市场的基本特征,投资者的意见分歧(Investors Disagreement)是指不同投资者对相同股票相同持有期下收益分布具有不同的判断。投资者的意见分歧也可称作意见不合(Divergence of Opinion)或者投资者异质性信念(Heterogeneous Investor Beliefs)。
本文借鉴国内外相关的研究成果,结合目前我国资本市场和公司金融的发展现状,从投资者意见分歧和市场驱动下的公司金融的角度出发,运用行为公司金融理论,以规范研究和实证研究作为主要方法对我国投资者意见分歧较大的,以及存在卖空限制的资本市场进行深入分析,思考我国新兴资本市场的不成熟与非理性特点,是否会影响公司的金融决策,甚至于扭曲公司的融资行为。
本文共分7章。第1章为绪论,主要提出本文所要探讨的问题,并对文章的研究内容、研究方法、研究意义和整体结构进行说明。
第2章主要对投资者意见分歧的来源,投资者意见分歧对资产价格的影响,投资者意见分歧对公司金融决策影响等一系列相关研究成果进行回顾和评述。
第3章将不同分析师对同一个上市公司的盈利预测偏差作为分析师意见分歧的参考变量,以信息不对称的理论作为解释,发现本地的分析师在分析本地股票时盈利预测偏差较小,即存在本地优势的现象,文章认为,信息不对称是导致本地优势的原因,并进而影响了分析师之间的意见不一致。同时文章还发现,分析师的年龄不同,和从事该行业的经验不同,也是影响分析师之间意见分歧的最主要的因素。文章并进一步探讨本地优势现象与上市公司特点的关系。
第4章主要论及基于意见分歧的“市场参与者意见分歧与定价”问题。本部分通过建立一般均衡和动态模型对市场参与者的意见和市场价格的关系做出思考,首先在一个一般均衡的框架下,探讨市场参与者的意见分歧为何会造成市场价格的变化；其次讨论了意见分歧对市场价格波动的影响,如何导致市场的过度波动。为了减弱市场参与者意见分歧对价格的影响,市场参与者可通过自身的学习,消弭与其他专业投资者的意见差异,减小价格的过度波动。
论文第5和第6章分析了投资者意见分歧对公司金融决策的影响。
第5章主要论述了再售期权理论基础上的“投资者意见分歧与IPO上市”。本章通过对目前IPO市场的分析,特别是从目前创业板IPO估值过高的问题出发,探讨了投资者意见分歧导致了IPO溢价过高的问题,并运用不同的解释变量来阐述投资者意见分歧,随后,在不同的制度背景下,运用投资者意见分歧的理论揭示了我国自开放资本市场以来公司IPO的定价问题。
第6章运用理论和实证的方法分析了“投资者与管理者意见分歧对公司再融资行为的影响”。本章从投资者与管理者意见分歧的角度,探讨了公司再融资决策时,市场如何反应,即当投资者与管理者的意见分歧不一致的程度,会影响公司再融资时前后的价格；同时,管理者会通过观察这样的意见分歧,选择更适合公司利益的再融资工具。
论文第7章对论文的主要观点和结论及主要创新点进行了总结,同时根据本文研究所得出的结论,提出了一些具有建设性的政策建议。
本文的研究对控制和化解我国投资者意见分歧对公司融资决策的影响、提高证券市场效率、丰富公司金融理论和指导金融实践均具有积极意义。
Investors view the basic characteristics of the stock market, investors, Investor's Disagreement is the same as different investors holding shares on the same distribution of proceeds under a different judge. Investors may also be referred to Divergence of Opinion, or Heterogeneous Investor Beliefs.
This article related research from home and abroad, combined with the current capital markets and corporate finance in China's development status, differences of opinion from the investors and market-driven company under the financial point of view, the use of behavioral corporate finance theory and empirical research to standardize as Main method of differences of opinion of the larger investors, and the existence of short selling restrictions in-depth analysis of capital markets, thinking of the emerging capital market characteristics of immature and irrational, will affect the company's financial decision-making, and even distort the company's Investment and financing behavior.
This article is divided into 7 chapters. Chapter 1 is an introduction, raised the issue to be discussed in this article, and research articles, research methods, significance and overall structure are described.
Chapter 2 is the main source of disagreement for investors, investors divided on the impact of asset prices, investors divided on the impact of a series of corporate financial decision-making research results related to review and comment.
Chapter 3 will be different analysts listed companies on the same bias as the analyst earnings forecast disagreement reference variables to the theory of asymmetric information as an explanation, found in the analysis of local the local stock analyst earnings forecast error when the smaller The existence of the phenomenon of local advantages, article, information asymmetry causes leading to local advantages, and thus affect the disagreement among analysts. The article also found in the same time, analysts of different ages, and experience in the industry is different is disagreement among analysts of the most important factor. Article and to further explore the phenomenon of local advantages and features of the relationship between listed companies.
Chapter 4 addresses the major differences of opinion based on "differences of opinion of market participants and market valuation deviation" problem. This section through the establishment of general equilibrium and dynamic models for market participants to make comments and thinking off the market valuation, the first in a general equilibrium framework, the divergent views of what market participants would result in deviation from the market valuation; followed Discussed the differences will have to further promote the market rises and falls, leading to excessive deviation from the valuation; Finally, the establishment of a dynamic model to illustrate the way through the learning differences of opinion can reduce the impact on the valuation of deviations.
Chapter 5 discusses the theory of re-sale options on the basis of "differences of opinion with the IPO market investors." GEM IPO shares over the past year, showing the "three high" scene-the high price-earnings ratio, high issue price, as well as ultra-high raised funds, high-frequency price-earnings ratio:in October 2009 issued the first batch of 28 new stock price-earnings ratio of 82.2 times the maximum The average price-earnings ratio of 56.6 times the issue; immediately after the GEM 2010 average circulation of up to 88.6 times earnings, set a record. IPO underpricing prior research based on China's distribution system, from a market point of view of Underpricing. This chapter analyzes the current IPO market, especially in the current high valuation of the GEM IPO issues, discusses the differences of opinion led to the IPO investors, the problem of high premiums, and use different explanatory variables to illustrate the differences of opinion investors Then, in the context of different systems, using the theory of investor disagreement reveals that all of our IPO since listing premium problem.
Chapter 6 is with the theoretical analysis and empirical analysis of the "differences of opinion between investors and managers act on the refinancing of the company. "This chapter is based on differences of opinion between investors and managers view, reveals the company when managers make decisions, such as refinancing the company's decision will take into account the views of market participants or emotional, especially when investors and managers Have differences of opinion, the direct impact on the company to refinance when the market reaction, and future returns.
This study analysis of corporate finance theory and behavioral finance theory of development, to improve capital market efficiency, and promote market stability has important theoretical and practical significance.
本文借鉴国内外相关的研究成果,结合目前我国资本市场和公司金融的发展现状,从投资者意见分歧和市场驱动下的公司金融的角度出发,运用行为公司金融理论,以规范研究和实证研究作为主要方法对我国投资者意见分歧较大的,以及存在卖空限制的资本市场进行深入分析,思考我国新兴资本市场的不成熟与非理性特点,是否会影响公司的金融决策,甚至于扭曲公司的融资行为。
本文共分7章。第1章为绪论,主要提出本文所要探讨的问题,并对文章的研究内容、研究方法、研究意义和整体结构进行说明。
第2章主要对投资者意见分歧的来源,投资者意见分歧对资产价格的影响,投资者意见分歧对公司金融决策影响等一系列相关研究成果进行回顾和评述。
第3章将不同分析师对同一个上市公司的盈利预测偏差作为分析师意见分歧的参考变量,以信息不对称的理论作为解释,发现本地的分析师在分析本地股票时盈利预测偏差较小,即存在本地优势的现象,文章认为,信息不对称是导致本地优势的原因,并进而影响了分析师之间的意见不一致。同时文章还发现,分析师的年龄不同,和从事该行业的经验不同,也是影响分析师之间意见分歧的最主要的因素。文章并进一步探讨本地优势现象与上市公司特点的关系。
第4章主要论及基于意见分歧的“市场参与者意见分歧与定价”问题。本部分通过建立一般均衡和动态模型对市场参与者的意见和市场价格的关系做出思考,首先在一个一般均衡的框架下,探讨市场参与者的意见分歧为何会造成市场价格的变化；其次讨论了意见分歧对市场价格波动的影响,如何导致市场的过度波动。为了减弱市场参与者意见分歧对价格的影响,市场参与者可通过自身的学习,消弭与其他专业投资者的意见差异,减小价格的过度波动。
论文第5和第6章分析了投资者意见分歧对公司金融决策的影响。
第5章主要论述了再售期权理论基础上的“投资者意见分歧与IPO上市”。本章通过对目前IPO市场的分析,特别是从目前创业板IPO估值过高的问题出发,探讨了投资者意见分歧导致了IPO溢价过高的问题,并运用不同的解释变量来阐述投资者意见分歧,随后,在不同的制度背景下,运用投资者意见分歧的理论揭示了我国自开放资本市场以来公司IPO的定价问题。
第6章运用理论和实证的方法分析了“投资者与管理者意见分歧对公司再融资行为的影响”。本章从投资者与管理者意见分歧的角度,探讨了公司再融资决策时,市场如何反应,即当投资者与管理者的意见分歧不一致的程度,会影响公司再融资时前后的价格；同时,管理者会通过观察这样的意见分歧,选择更适合公司利益的再融资工具。
论文第7章对论文的主要观点和结论及主要创新点进行了总结,同时根据本文研究所得出的结论,提出了一些具有建设性的政策建议。
本文的研究对控制和化解我国投资者意见分歧对公司融资决策的影响、提高证券市场效率、丰富公司金融理论和指导金融实践均具有积极意义。
Investors view the basic characteristics of the stock market, investors, Investor's Disagreement is the same as different investors holding shares on the same distribution of proceeds under a different judge. Investors may also be referred to Divergence of Opinion, or Heterogeneous Investor Beliefs.
This article related research from home and abroad, combined with the current capital markets and corporate finance in China's development status, differences of opinion from the investors and market-driven company under the financial point of view, the use of behavioral corporate finance theory and empirical research to standardize as Main method of differences of opinion of the larger investors, and the existence of short selling restrictions in-depth analysis of capital markets, thinking of the emerging capital market characteristics of immature and irrational, will affect the company's financial decision-making, and even distort the company's Investment and financing behavior.
This article is divided into 7 chapters. Chapter 1 is an introduction, raised the issue to be discussed in this article, and research articles, research methods, significance and overall structure are described.
Chapter 2 is the main source of disagreement for investors, investors divided on the impact of asset prices, investors divided on the impact of a series of corporate financial decision-making research results related to review and comment.
Chapter 3 will be different analysts listed companies on the same bias as the analyst earnings forecast disagreement reference variables to the theory of asymmetric information as an explanation, found in the analysis of local the local stock analyst earnings forecast error when the smaller The existence of the phenomenon of local advantages, article, information asymmetry causes leading to local advantages, and thus affect the disagreement among analysts. The article also found in the same time, analysts of different ages, and experience in the industry is different is disagreement among analysts of the most important factor. Article and to further explore the phenomenon of local advantages and features of the relationship between listed companies.
Chapter 4 addresses the major differences of opinion based on "differences of opinion of market participants and market valuation deviation" problem. This section through the establishment of general equilibrium and dynamic models for market participants to make comments and thinking off the market valuation, the first in a general equilibrium framework, the divergent views of what market participants would result in deviation from the market valuation; followed Discussed the differences will have to further promote the market rises and falls, leading to excessive deviation from the valuation; Finally, the establishment of a dynamic model to illustrate the way through the learning differences of opinion can reduce the impact on the valuation of deviations.
Chapter 5 discusses the theory of re-sale options on the basis of "differences of opinion with the IPO market investors." GEM IPO shares over the past year, showing the "three high" scene-the high price-earnings ratio, high issue price, as well as ultra-high raised funds, high-frequency price-earnings ratio:in October 2009 issued the first batch of 28 new stock price-earnings ratio of 82.2 times the maximum The average price-earnings ratio of 56.6 times the issue; immediately after the GEM 2010 average circulation of up to 88.6 times earnings, set a record. IPO underpricing prior research based on China's distribution system, from a market point of view of Underpricing. This chapter analyzes the current IPO market, especially in the current high valuation of the GEM IPO issues, discusses the differences of opinion led to the IPO investors, the problem of high premiums, and use different explanatory variables to illustrate the differences of opinion investors Then, in the context of different systems, using the theory of investor disagreement reveals that all of our IPO since listing premium problem.
Chapter 6 is with the theoretical analysis and empirical analysis of the "differences of opinion between investors and managers act on the refinancing of the company. "This chapter is based on differences of opinion between investors and managers view, reveals the company when managers make decisions, such as refinancing the company's decision will take into account the views of market participants or emotional, especially when investors and managers Have differences of opinion, the direct impact on the company to refinance when the market reaction, and future returns.
This study analysis of corporate finance theory and behavioral finance theory of development, to improve capital market efficiency, and promote market stability has important theoretical and practical significance.
引文
1 Thaler Richard H. The Winner' Curse:Paradoxes and Anomalies of Economic Life. The Free Press,1994. (中译本,赢者的诅咒,中国人民大学出版社,2007,P5)
2 详见“陈志武，非理性亢奋[M].北京：中信出版社.2008年10月第1版”,P29
3 Shefrin (2001)认为,首先,心理偏差使得决策者难以按照理性的方式行事：其次,证券市场的风险溢酬并不完全决定于证券的贝塔值；最后,股票价格通常偏离股票的基本价值。
4 详见“王景.异质信念、卖空限制与股价行为[M].厦门大学博士学位论文,2008”
5 其他相关的文献可参考Harrison and Kreps (1978), Morris (1996), Duffie, Garleanu and Pedersen (2002), Chen, Hong and Stein (2002) 以及 Scheinkman and Xiong (2004)的一个综述
6 详见“李心丹.行为金融学：理论及中国的证据[M].上海：三联书店.2004”
7 根据陈国进等(2009)的分析认为,投资者在进行决策时,除J’考虑股票本身的基本价值(贴现的现金流)外,还会考虑在未来可能以更高价格再次转售给更乐观投资者的机会,这个机会就是再售期权。只要当期最乐观投资者认为在下一期能够以更高的价格卖出,他们就愿意为这个再售出的期权支付更高的价格,从而股票价格的高估程度会超过当期最乐观的投资者的股价,这种“击鼓传花”式博傻交易导致泡沫的形成和膨胀。
8 Akerlof, George A., and Robert J. Shiller,2009, Animal Spirits:How Human Psychology Drives the Economy, and Why It Matters for Global Capitalism, Princeton University Press, Princeton(中译本,动物精神,北京：中信出版社,2009,黄志强,徐卫宇,金岚译)
9 “动物精神”与宏观经济,21世纪经济报道,2009年09月08日
10 《动物精神]》：重新挖掘凯恩斯,中国证券报,2009年08月05日
12 可参考Bhamra, Harjoat S., and Raman Uppal,2010, Asset Prices with Heterogeneity in Preferences and Beliefs, Working Paper
13 陈国进、王景(2008)做了一个不错的综述,“陈国进、王景,异质信念与金融异象研究最新进展,厦门大学工作论文,2008”
14 本节的部分内容发表于“股东积极主义行为与公司绩效：基于金融危机视角的分析[J].江海学刊,2010(3)：85-90”
19 详见“杨存鹏,2008,非理性金融[M],北京：科学出版社”,第17-21页
24 可参考Bhamra, Harjoat S., and Raman Uppal,2010, Asset Prices with Heterogeneity in Preferences and Beliefs, Working Paper
25 本章的部分内容发表于“投资者经验、强化型学习与证券市场稳定[Jl.南京社会科学,2011(1)：43-48”
26 其他相关的文献可参考Harrison and Kreps (1978), Morris (1996), Duffle, Garleanu and Pedersen (2002), Chen, Hong and Stein (2002) 以及 Scheinkman and Xiong (2004) 的一个综述
27 可参考Chemmanur Thomas J., Jean-Sebastien Michel, Debarshi Nandy, An Yan,2010, Capital Structure and Security Issuance under Heterogeneous Beliefs, Working Paper
28 模型的框架主要借鉴Chen, Joseph, Harrison Hong, and Jeremy C. Stein,2002, Breadth of ownership and stock returns, Journal of Financial Economics,66:171-205
29 指当个人一口拥有某项物品,那么他对该物品价值的评价要比未拥有之前大大增加。
30 指投资人在处置股票时,倾向卖出赚钱的股票、继续持有赔钱的股票,也就是所谓的’出赢保亏’效应。这意味着当投资者处于盈利状态时是风险加避者,而处于亏损状态时是风险偏好者。
31 模型的框架主要借鉴Hong, Harrison and Jeremy C. Stein,2003, Differences of Opinion, Short-Sales Constraints, and Market Crashes, The Reivew of Financial Studies 16,487-525
39 主要参考了《中国股票发行上市审核制度：问题与完善》,深圳证券交易所研究报告,作者：吴林祥；《海外主要证券市场发行制度》,作者：胡继之
43 具体参见：“原红旗.股权再融资之“谜”及其理论解释[J].会计研究,2003(5)：16-21”
45 详见“童盼,王旭芳.公开增发市场反应与市场环境：基于投资者情绪的研究.北京工商大学商学院工作论文”
46 具体参考“徐寿福.上市公司定向增发公告效应及其影响因素研究[J].证券市场导报,2010(5)：65-72”
47 具体参见：周运兰.中小企业股权融资和股权再融资研究[D].华中农业大学博士学位论文,2008
48 模型主要参考'Dittmar, Amy and Anjan V. Thakor,2007, Why Do Finns Issue Equity [J]? Journal of Finance 62,1-54."
51 专家：直面资本市场“制度缺陷”,原载《人民日报》2011年5月9日第18版
52 详见“大力推进创业板制度创新”,资本市场,2011年第2期,14-15页
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2 详见“陈志武，非理性亢奋[M].北京：中信出版社.2008年10月第1版”,P29
3 Shefrin (2001)认为,首先,心理偏差使得决策者难以按照理性的方式行事：其次,证券市场的风险溢酬并不完全决定于证券的贝塔值；最后,股票价格通常偏离股票的基本价值。
4 详见“王景.异质信念、卖空限制与股价行为[M].厦门大学博士学位论文,2008”
5 其他相关的文献可参考Harrison and Kreps (1978), Morris (1996), Duffie, Garleanu and Pedersen (2002), Chen, Hong and Stein (2002) 以及 Scheinkman and Xiong (2004)的一个综述
6 详见“李心丹.行为金融学：理论及中国的证据[M].上海：三联书店.2004”
7 根据陈国进等(2009)的分析认为,投资者在进行决策时,除J’考虑股票本身的基本价值(贴现的现金流)外,还会考虑在未来可能以更高价格再次转售给更乐观投资者的机会,这个机会就是再售期权。只要当期最乐观投资者认为在下一期能够以更高的价格卖出,他们就愿意为这个再售出的期权支付更高的价格,从而股票价格的高估程度会超过当期最乐观的投资者的股价,这种“击鼓传花”式博傻交易导致泡沫的形成和膨胀。
8 Akerlof, George A., and Robert J. Shiller,2009, Animal Spirits:How Human Psychology Drives the Economy, and Why It Matters for Global Capitalism, Princeton University Press, Princeton(中译本,动物精神,北京：中信出版社,2009,黄志强,徐卫宇,金岚译)
9 “动物精神”与宏观经济,21世纪经济报道,2009年09月08日
10 《动物精神]》：重新挖掘凯恩斯,中国证券报,2009年08月05日
12 可参考Bhamra, Harjoat S., and Raman Uppal,2010, Asset Prices with Heterogeneity in Preferences and Beliefs, Working Paper
13 陈国进、王景(2008)做了一个不错的综述,“陈国进、王景,异质信念与金融异象研究最新进展,厦门大学工作论文,2008”
14 本节的部分内容发表于“股东积极主义行为与公司绩效：基于金融危机视角的分析[J].江海学刊,2010(3)：85-90”
19 详见“杨存鹏,2008,非理性金融[M],北京：科学出版社”,第17-21页
24 可参考Bhamra, Harjoat S., and Raman Uppal,2010, Asset Prices with Heterogeneity in Preferences and Beliefs, Working Paper
25 本章的部分内容发表于“投资者经验、强化型学习与证券市场稳定[Jl.南京社会科学,2011(1)：43-48”
26 其他相关的文献可参考Harrison and Kreps (1978), Morris (1996), Duffle, Garleanu and Pedersen (2002), Chen, Hong and Stein (2002) 以及 Scheinkman and Xiong (2004) 的一个综述
27 可参考Chemmanur Thomas J., Jean-Sebastien Michel, Debarshi Nandy, An Yan,2010, Capital Structure and Security Issuance under Heterogeneous Beliefs, Working Paper
28 模型的框架主要借鉴Chen, Joseph, Harrison Hong, and Jeremy C. Stein,2002, Breadth of ownership and stock returns, Journal of Financial Economics,66:171-205
29 指当个人一口拥有某项物品,那么他对该物品价值的评价要比未拥有之前大大增加。
30 指投资人在处置股票时,倾向卖出赚钱的股票、继续持有赔钱的股票,也就是所谓的’出赢保亏’效应。这意味着当投资者处于盈利状态时是风险加避者,而处于亏损状态时是风险偏好者。
31 模型的框架主要借鉴Hong, Harrison and Jeremy C. Stein,2003, Differences of Opinion, Short-Sales Constraints, and Market Crashes, The Reivew of Financial Studies 16,487-525
39 主要参考了《中国股票发行上市审核制度：问题与完善》,深圳证券交易所研究报告,作者：吴林祥；《海外主要证券市场发行制度》,作者：胡继之
43 具体参见：“原红旗.股权再融资之“谜”及其理论解释[J].会计研究,2003(5)：16-21”
45 详见“童盼,王旭芳.公开增发市场反应与市场环境：基于投资者情绪的研究.北京工商大学商学院工作论文”
46 具体参考“徐寿福.上市公司定向增发公告效应及其影响因素研究[J].证券市场导报,2010(5)：65-72”
47 具体参见：周运兰.中小企业股权融资和股权再融资研究[D].华中农业大学博士学位论文,2008
48 模型主要参考'Dittmar, Amy and Anjan V. Thakor,2007, Why Do Finns Issue Equity [J]? Journal of Finance 62,1-54."
51 专家：直面资本市场“制度缺陷”,原载《人民日报》2011年5月9日第18版
52 详见“大力推进创业板制度创新”,资本市场,2011年第2期,14-15页
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