一损俱损:违规事件在企业集团内的传染效应研究
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摘要
本文以企业集团为对象,研究违规事件的传染效应。利用2003-2015年我国上市公司违规样本,本文发现:(1)当公司发生违规行为而被证监会等监管机构进行处罚公告后,违规公司股价显著下跌的同时,同一集团内其他公司的股价也显著下跌,即违规事件在集团内存在传染效应,而这一传染效应主要存在于与信息披露相关的财务违规事件中;(2)进一步的路径检验发现"被传染公司"较低的盈余质量和集团内财务公司的存在能够解释传染效应的发生;(3)分组检验结果表明:集团内的传染效应在地区市场化程度较低、分析师跟踪人数较少、股权集中度较高的公司和国有企业中更为明显。借助违规事件的传染效应研究视角,本文的研究结果有助于进一步认识新兴市场中的企业集团。
Group-affiliated companies are linked in various formal and informal ways. At the same time,with the acceleration of company diversification, the organizational structure of business groups has gradually developed into a network structure including vertical and horizontal relationships. The literature has extensively explored the advantages and disadvantages of business groups from the perspective of operating efficiency and firm value( Bertrand et al.,2002). However,limited attention has been paid to the economic consequences of the network structure among group-affiliated companies.This study examines the contagion effect of an irregularities announcement among group-affiliated companies in the capital market. First,companies in the same business group have similar organizational structure and corporate governance characteristics. As studies have shown that irregularities are related to organizational structure and weak corporate governance,an irregularity in one group-affiliated company may indicate a greater likelihood of irregular behavior among other companies in the group. In addition,group-affiliated companies are connected through various ties( i. e.,related party transactions,common personnel relations,and the establishment of financial companies). These ties provide group-affiliated companies with more channels through which to learn from and imitate each other,increasing the likelihood of a contagion effect within the group. Finally,an irregularities announcement provides new information to the market,based on which investors update their valuation of the other listed companies within the same business group( Chen and Goh,2010). Therefore,when one group-affiliated company announces an irregularity event,investors reassess the reliability of the corporate governance and accounting performance of other companies in the same group,causing a contagion effect.Using the data of firms listed on the Shanghai and Shenzhen Stock Exchanges from 2003 to 2015,we find that:( 1) a company's irregularity announcement can result in investor reassessment of other companies in the group and a significant decline in their stock prices. However,the contagion effect exists only when the irregularity relates to fraudulent financial reporting.( 2) Further channel tests of the contagion effect show that the low earning quality of contagion firms and the existence of financial companies within the group can explain the decline in the stock prices.( 3) Cross-sectional tests indicate that a company's internal and external governance can affect the contagion effect. Specifically,we find that contagion effects are stronger for state-owned enterprises and for companies operating in less-developed areas,covered by fewer analysts,and with higher ownership concentration.By studying the contagion effect of irregularities announcements within group-affiliated companies,our study makes three contributions. First,it provides richer and more robust evidence to better understand the organizational structure of business groups in emerging markets. The existing literature focuses on the contagion effect of performance or risk within a business group,and finds that the channel basically originates from related -party transactions,guarantees,and debt relationships among group-affiliated companies. In contrast,the irregularities data in this study is taken from the public disclosures of regulatory agencies such as the China Securities Regulatory Commission,the Ministry of Finance,and the exchange,thus our setting is more exogenous. Further,we use event study method to better identify causality and eliminate the influence of other factors. In the mechanism test,we find that the contagion effect within the group exists even with no related-party transaction or guarantee relationship,thus extending the prior literature.Second,this paper adds to the growing body of literature on the economic consequences of irregularities.Most existing studies only consider the impact of economic consequences for the irregularity company,while a few discuss the externalities of the irregularities announcement by listed companies through the joint auditors,the same industry,and the same region( Gleason et al.,2008; Beatty et al.,2013; Gul et al.,2018). On the other hand,Khanna and Rivkin( 2001) suggest that the existing research ignores the influence of business group factors on firm behavior. Our study shows that irregularities have externalities within a business group,indicating that the overall negative impact of irregularities on the market is greater than that on the irregularity companies themselves as documented in prior studies. This further indicates a need to increase the supervision of irregularities.Finally,the results of our study are expected to provide a corresponding explanation for stock price synchronicity in emerging markets. Exisiting studies have shown that stock price synchronicity is significantly higher in China( Morck et al.,2000),which relates to China's institutional background. Our study shows that the contagion effect of irregularities within a business group may provide a new explanation for China's higher stock price synchronicity.
Group-affiliated companies are linked in various formal and informal ways. At the same time,with the acceleration of company diversification, the organizational structure of business groups has gradually developed into a network structure including vertical and horizontal relationships. The literature has extensively explored the advantages and disadvantages of business groups from the perspective of operating efficiency and firm value( Bertrand et al.,2002). However,limited attention has been paid to the economic consequences of the network structure among group-affiliated companies.This study examines the contagion effect of an irregularities announcement among group-affiliated companies in the capital market. First,companies in the same business group have similar organizational structure and corporate governance characteristics. As studies have shown that irregularities are related to organizational structure and weak corporate governance,an irregularity in one group-affiliated company may indicate a greater likelihood of irregular behavior among other companies in the group. In addition,group-affiliated companies are connected through various ties( i. e.,related party transactions,common personnel relations,and the establishment of financial companies). These ties provide group-affiliated companies with more channels through which to learn from and imitate each other,increasing the likelihood of a contagion effect within the group. Finally,an irregularities announcement provides new information to the market,based on which investors update their valuation of the other listed companies within the same business group( Chen and Goh,2010). Therefore,when one group-affiliated company announces an irregularity event,investors reassess the reliability of the corporate governance and accounting performance of other companies in the same group,causing a contagion effect.Using the data of firms listed on the Shanghai and Shenzhen Stock Exchanges from 2003 to 2015,we find that:( 1) a company's irregularity announcement can result in investor reassessment of other companies in the group and a significant decline in their stock prices. However,the contagion effect exists only when the irregularity relates to fraudulent financial reporting.( 2) Further channel tests of the contagion effect show that the low earning quality of contagion firms and the existence of financial companies within the group can explain the decline in the stock prices.( 3) Cross-sectional tests indicate that a company's internal and external governance can affect the contagion effect. Specifically,we find that contagion effects are stronger for state-owned enterprises and for companies operating in less-developed areas,covered by fewer analysts,and with higher ownership concentration.By studying the contagion effect of irregularities announcements within group-affiliated companies,our study makes three contributions. First,it provides richer and more robust evidence to better understand the organizational structure of business groups in emerging markets. The existing literature focuses on the contagion effect of performance or risk within a business group,and finds that the channel basically originates from related -party transactions,guarantees,and debt relationships among group-affiliated companies. In contrast,the irregularities data in this study is taken from the public disclosures of regulatory agencies such as the China Securities Regulatory Commission,the Ministry of Finance,and the exchange,thus our setting is more exogenous. Further,we use event study method to better identify causality and eliminate the influence of other factors. In the mechanism test,we find that the contagion effect within the group exists even with no related-party transaction or guarantee relationship,thus extending the prior literature.Second,this paper adds to the growing body of literature on the economic consequences of irregularities.Most existing studies only consider the impact of economic consequences for the irregularity company,while a few discuss the externalities of the irregularities announcement by listed companies through the joint auditors,the same industry,and the same region( Gleason et al.,2008; Beatty et al.,2013; Gul et al.,2018). On the other hand,Khanna and Rivkin( 2001) suggest that the existing research ignores the influence of business group factors on firm behavior. Our study shows that irregularities have externalities within a business group,indicating that the overall negative impact of irregularities on the market is greater than that on the irregularity companies themselves as documented in prior studies. This further indicates a need to increase the supervision of irregularities.Finally,the results of our study are expected to provide a corresponding explanation for stock price synchronicity in emerging markets. Exisiting studies have shown that stock price synchronicity is significantly higher in China( Morck et al.,2000),which relates to China's institutional background. Our study shows that the contagion effect of irregularities within a business group may provide a new explanation for China's higher stock price synchronicity.
引文
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[5]樊纲、王小鲁和朱恒鹏,2010,《中国市场化指数——各地区市场化相对进程报告2009年报告》,经济科学出版社。
[6]黄俊、陈信元和张天舒,2013,《公司经营绩效传染效应的研究》,《管理世界》第3期,第111～118页。
[7]蒋琰和陆正飞,2009,《公司治理与股权融资成本——单一与综合机制的治理效应研究》,《数量经济技术经济研究》第2期,第60～75页。
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[10]罗彪和余杰杰,2012,《企业集团依赖关系、战略一致性与绩效:一个网络视角的研究》,《经济管理》第8期,第40～52页。
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[12]潘红波和余明桂,2010,《集团化、银行贷款与资金配置效率》,《金融研究》第10期,第83～102页。
[13]王小鲁、樊纲和余静文,2017,《中国分省份市场化指数报告(2016)》,社会科学文献出版社。
[14]吴秋生和黄贤环,2017,《财务公司的职能配置与集团成员上市公司融资约束缓解》,《中国工业经》第9期,第156～173页。
[15]徐艳萍和王琨,2015,《审计师联结与财务报表重述的传染效应研究》,《审计研究》第4期,第97～104页。
[16]于晓强和刘善存,2012,《治理结构与信息披露违规行为——来自我国A股上市公司的经验证据》,《系统工程》第6期,第43～52页。
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[18]张文魁,2014,《中国大企业集团年度发展报告(紫皮书)·2013》,中国发展出版社。
[19]甄红线、杨慧芳和王晓枫,2015,《金字塔结构下企业集团的支撑效应——来自中国集团上市公司盈余公告效应的经验研究》,《会计研究》第8期,第73～79页。
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[21]Bae,K. H.,J. K. Kang and J. M. Kim,2002,“Tunneling or Value Added? Evidence from Mergers by Korean Business Groups”,Journal of Finance,57(6),pp. 2695～2740.
[22]Beatty,A.,S. Liao and J. J. Yu,2013,“The Spillover Effect of Fraudulent Financial Reporting on Peer Firms'Investments”,Journal of Accounting and Economics,55(2),pp. 183～205.
[23]Bertrand,M.,P. Mehta and S. Mullainathan,2002,“Ferreting out Tunneling:An Application to Indian Business Groups”,Quarterly Journal of Economics,117(1),pp. 121～148.
[24]Chen,C. Y. and B. W. Goh,2010,“Contagion Effect of Restatements through Common Directorships”,Working Paper.
[25]Chen,T.,J. Harford and C. Lin,2015,“Do Analysts Matter for Governance? Evidence from Natural Experiments”,Journal of Financial Economics,115(2),pp. 383～410.
[26]Claessens,S.,J. P. H. Fan and L. H. P. Lang,2006,“The Benefits and Costs of Group Affiliation:Evidence from East Asia”,Emerging Markets Review,7(1),pp. 1～26.
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1资料来源:上海证券报http://news. cnstock. com/paper,2016-12-20,758787. htm。
2其他事件公告包括:高管变更和年报、季报披露,数据来自于CSMAR数据库。
3根据Gleason et al.(2008),若公告日的异常收益率为正值,则并没有向市场传递不利的消息。
4Piotroski and Roulstone(2004)指出股价同步性分为市场同步性与行业同步性,虽然在短期市场反应中,累计超额收益率的计算已经剔除了正常回报率,但是剔除的主要是市场的趋势,并未考虑到行业的因素,因此本文参照Gul et al.(2018)的研究,为“被传染公司”选取了控制组公司进行主假设的检验。
1由于样本筛选导致部分被传染公司没有匹配上控制组公司,我们的研究结论在删掉这部分“被传染公司”后仍然成立。由于篇幅限制,结果未报告,感兴趣的读者可向我们索取。
2对于披露中有缺失的观测或者存在多个控制人的情况,通过翻阅年报进行核对。
3其中,2003-2007年的数据从《中国市场化指数——各地区市场化相对进程2009年报告》中获得,2008-2014年的数据从《中国分省份市场化指数报告(2016)》中获得。
1限于篇幅,我们未汇报窗口[-10,+10]间异常收益率的图,感兴趣的读者可向我们索取。
1其中有45个事件同时包含了财务违规和非财务违规。
1根据对窗口[-10,+10]期间的日异常收益率的分析可知市场在事件后的第2天还有反应,这可能是回归结果在财务违规样本中窗口期为[-1,+1]中不显著的原因。
2为了节省篇幅,后文报告的表格中省略了控制变量SIZE、LEV、MB、ROA、INST、SIZE_SAN、CAR_SAN的系数和相应的参数检验值,用Controls表示。
1此外,考虑到市场化指数报告的计算口径问题,我们将2009年以后的数据用2009年的数值替代作为稳健性检验,发现结论不受任何影响。由于篇幅限制,结果未报告,感兴趣的读者可向我们索取。
1由于篇幅限制,稳健性检验及排除替代性假说的结果均未报告,感兴趣的读者可向我们索取。
[2]陈国进、赵向琴和林辉,2005,《上市公司违法违规处罚和投资者利益保护效果》,《财经研究》第8期,第48～58页。
[3]陈志军,2010,《集团公司管理》,经济科学出版社。
[4]窦欢、张会丽和陆正飞,2014,《企业集团、大股东监督与过度投资》,《管理世界》第7期,第134～143页。
[5]樊纲、王小鲁和朱恒鹏,2010,《中国市场化指数——各地区市场化相对进程报告2009年报告》,经济科学出版社。
[6]黄俊、陈信元和张天舒,2013,《公司经营绩效传染效应的研究》,《管理世界》第3期,第111～118页。
[7]蒋琰和陆正飞,2009,《公司治理与股权融资成本——单一与综合机制的治理效应研究》,《数量经济技术经济研究》第2期,第60～75页。
[8]李增泉、孙铮和王志伟,2004,《"掏空"与所有权安排——来自我国上市公司大股东资金占用的经验证据》,《会计研究》第12期,第3～13页。
[9]陆蓉和常维,2018,《近墨者黑:上市公司违规行为的“同群效应”》,《金融研究》第8期,第172～189页。
[10]罗彪和余杰杰,2012,《企业集团依赖关系、战略一致性与绩效:一个网络视角的研究》,《经济管理》第8期,第40～52页。
[11]纳鹏杰、雨田木子和纳超洪,2017,《企业集团风险传染效应研究—来自集团控股上市公司的经验证据》,《会计研究》第3期,第53～60页。
[12]潘红波和余明桂,2010,《集团化、银行贷款与资金配置效率》,《金融研究》第10期,第83～102页。
[13]王小鲁、樊纲和余静文,2017,《中国分省份市场化指数报告(2016)》,社会科学文献出版社。
[14]吴秋生和黄贤环,2017,《财务公司的职能配置与集团成员上市公司融资约束缓解》,《中国工业经》第9期,第156～173页。
[15]徐艳萍和王琨,2015,《审计师联结与财务报表重述的传染效应研究》,《审计研究》第4期,第97～104页。
[16]于晓强和刘善存,2012,《治理结构与信息披露违规行为——来自我国A股上市公司的经验证据》,《系统工程》第6期,第43～52页。
[17]张程睿和蹇静,2008,《我国上市公司违规信息披露的影响因素研究》,《审计研究》第1期,第75～81页。
[18]张文魁,2014,《中国大企业集团年度发展报告(紫皮书)·2013》,中国发展出版社。
[19]甄红线、杨慧芳和王晓枫,2015,《金字塔结构下企业集团的支撑效应——来自中国集团上市公司盈余公告效应的经验研究》,《会计研究》第8期,第73～79页。
[20]Aharony,J. and I. Swary,1983,“Contagion Effects of Bank Failures:Evidence from Capital Markets”,Journal of Business,56(3),pp. 305～322.
[21]Bae,K. H.,J. K. Kang and J. M. Kim,2002,“Tunneling or Value Added? Evidence from Mergers by Korean Business Groups”,Journal of Finance,57(6),pp. 2695～2740.
[22]Beatty,A.,S. Liao and J. J. Yu,2013,“The Spillover Effect of Fraudulent Financial Reporting on Peer Firms'Investments”,Journal of Accounting and Economics,55(2),pp. 183～205.
[23]Bertrand,M.,P. Mehta and S. Mullainathan,2002,“Ferreting out Tunneling:An Application to Indian Business Groups”,Quarterly Journal of Economics,117(1),pp. 121～148.
[24]Chen,C. Y. and B. W. Goh,2010,“Contagion Effect of Restatements through Common Directorships”,Working Paper.
[25]Chen,T.,J. Harford and C. Lin,2015,“Do Analysts Matter for Governance? Evidence from Natural Experiments”,Journal of Financial Economics,115(2),pp. 383～410.
[26]Claessens,S.,J. P. H. Fan and L. H. P. Lang,2006,“The Benefits and Costs of Group Affiliation:Evidence from East Asia”,Emerging Markets Review,7(1),pp. 1～26.
[27]Dechow,P.,R. Sloan and A. Sweeney,1995,“Detecting Earnings Management”,The Accounting Review,70(2),pp. 193～225.
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1资料来源:上海证券报http://news. cnstock. com/paper,2016-12-20,758787. htm。
2其他事件公告包括:高管变更和年报、季报披露,数据来自于CSMAR数据库。
3根据Gleason et al.(2008),若公告日的异常收益率为正值,则并没有向市场传递不利的消息。
4Piotroski and Roulstone(2004)指出股价同步性分为市场同步性与行业同步性,虽然在短期市场反应中,累计超额收益率的计算已经剔除了正常回报率,但是剔除的主要是市场的趋势,并未考虑到行业的因素,因此本文参照Gul et al.(2018)的研究,为“被传染公司”选取了控制组公司进行主假设的检验。
1由于样本筛选导致部分被传染公司没有匹配上控制组公司,我们的研究结论在删掉这部分“被传染公司”后仍然成立。由于篇幅限制,结果未报告,感兴趣的读者可向我们索取。
2对于披露中有缺失的观测或者存在多个控制人的情况,通过翻阅年报进行核对。
3其中,2003-2007年的数据从《中国市场化指数——各地区市场化相对进程2009年报告》中获得,2008-2014年的数据从《中国分省份市场化指数报告(2016)》中获得。
1限于篇幅,我们未汇报窗口[-10,+10]间异常收益率的图,感兴趣的读者可向我们索取。
1其中有45个事件同时包含了财务违规和非财务违规。
1根据对窗口[-10,+10]期间的日异常收益率的分析可知市场在事件后的第2天还有反应,这可能是回归结果在财务违规样本中窗口期为[-1,+1]中不显著的原因。
2为了节省篇幅,后文报告的表格中省略了控制变量SIZE、LEV、MB、ROA、INST、SIZE_SAN、CAR_SAN的系数和相应的参数检验值,用Controls表示。
1此外,考虑到市场化指数报告的计算口径问题,我们将2009年以后的数据用2009年的数值替代作为稳健性检验,发现结论不受任何影响。由于篇幅限制,结果未报告,感兴趣的读者可向我们索取。
1由于篇幅限制,稳健性检验及排除替代性假说的结果均未报告,感兴趣的读者可向我们索取。
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