终极控股权、控制层级与资本成本
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摘要
上市公司股权集中已经成为一种普遍现象，伴随而生了第二类代理问题：终极控股股东运用复杂的股权结构，实现了对上市公司的超额控制，对上市公司进行利益挖掘，形成隧道效应。投资者面对收益的可能性变化，是否会调整其要求的最低报酬率？这是本文研究的逻辑起点。资本成本反应了投资者对报酬率的最低要求，是企业融资选择、投资决策、业绩评价的基础，是企业价值估算的重要依据。文章选用William. F. Sharpe等提出的资本资产定价模型（CAPM）、Ohlson和Juettner提出的OJ模型和Easton提出的ES模型等对资本成本进行估算。
以往对于股权结构的研究多数停留在上市公司的直接产权归属层面，本文的研究是从上市公司的终极产权归属层面展开的。上市公司的终极控股股东必须是拥有投票权超过固定阈值的第一大股东，终极控股股东通过构建股权结构实现对上市公司的终极控股。终极股权结构的长度即从上市公司到终极控股股东的控制层级数，终极股权结构的宽度即终极控股股东实现控股的链条数量。终极控股股东的投票权和现金流权的分离正是通过控制层级的增加和控股链条数的增多来实现的，正是因为两权分离使得终极控股股东更容易、更有动力侵占中小股东利益。
文章选用股权结构图谱公布首年（2004年）至2011年的数据作为研究样本，首先，筛选掉没有终极控股股东和数据不全的样本，最终得到11321个有效样本。有终极控股股东的上市公司的终极所有权均值为36.80%，终极控股权均值为42.53%，两权分离度（差值）为5.73%，两权分离度（比值）为1.37，控制层级为2.32。终极控股股东普遍采用单链条实现对上市公司的控制，占79.41%，政府更倾向于利用单链条实现对上市公司的控制。有44%的样本公司的股权结构是金字塔结构，个人或家族终极控股的上市公司更倾向于选择金字塔结构。从数量上来看，从2004年到2011年，个人或家族终极控股的上市公司所占比重呈逐年递增的趋势，甚至在2011年，超过政府终极控股的上市公司数量。
三模型估算的股权资本成本中，OJ模型估算的结果最高，CAPM模型估算的结果最低，ES模型估算结果居中。筛选三模型共同样本，共得到2254个有效样本，经计算得出我国上市公司的平均股权资本成本水平为0.137，这远高于一年定期存款的利率。进一步检验终极控股比例区间、终极控股股东性质、政府层级、控股链条数、控制层级对平均股权资本成本划分的显著性，结果发现在0.1的显著水平上，不同政府层级控股的上市公司的平均股权资本成本是有显著差异的，政府（省级）资本成本水平最高，政府（中央）资本成本水平最低。并通过方差分析得出：金字塔结构的股权资本成本水平显著高于水平结构。
通过对平均股权资本成本与终极控股权比例、两权分离度、控制层级和控股链条数的多元线性回归发现：终极控股股东性质不同，结论就有差异。个人或家族终极控股的上市公司的平均股权资本成本与两权分离度在方向上是负向关系，与控制层级在方向上是正向关系；政府终极控股的上市公司的平均股权资本成本与两权分离度显著正线性相关，与控制层级显著负线性相关。终极控股权比例、控股链条数与平均股权资本成本的相关性不显著。通过稳健性检验得出的结论支持上述分析结果。
Ownership concentration of listed companies had become a universal phenomenon,accompanied bored a second agency problem: the ultimate controlling shareholder gotexcess control rights over its ownership through a complex ownership structure, minedthe interests of listed companies and formed a tunnel effect.Then, the investors mightloss profits,will they raise the minimum required rate of return? That’s the logicalstarting point of our study. The cost of capital reflects investors’ minimum required rateof return, helped corporate make investment decisions, the best financing choice andperformance evaluation, and was the basis to estimate the enterprises valuation. ThreeModels-Capital Asset Pricing Model (CAPM), Ohlson-Juettner Model (OJ) and EastonModel (ES)-were used to estimate the cost of capital.
In the past, the majority of researches on the equity structure based on the directownership of listed companies.However,this paper based on the ultimate equitystructure.The ultimate shareholder must be the largest one owned the voting right morethan the fixed threshold, they controlled the listed company through the complex equitystructure.The width of the equity structure is the number of controlling chains, the lengthof it is the number of levels from the listed company to the ultimate shareholders. Theseparation of ownership and controlling stake comes true through the increasing ofcontrol levels and the controlling chains,and it makes the ultimate controllingshareholders occupied the interests of minority shareholders more easily and moremotivatedly.
Take2004, which was the year ownership structure map was required to release,to2011China A-stock listed companies in Shenzhen&Shanghai Exchange assamples.11321valid datas were got through filtering without ulmate shareholders andcomplete datas. The ultimate shareholders’ average vote right(ultimate controlling stake)was42.53%， average cash flow right(ultimate ownership) was36.80%， averagedifference between ultimate shareholders’ average vote rights and average cash flowrights was5.73%,the average ratio of them was1.37, average control level was2.32.79.41%ultimate shareholders controlled the listed companies through onechain.Compared with the companies controlled by one person or a family,thegovernment was more inclined to use one chain to control the listed companies.44%ofequity structures were pyramid structure, the companies controlled by one operson or afamily were more likely to choose pyramid structure. The quantity of listed companies controlled by one person or a family increases smoothly from2004to2011, andexceeded the quantity controlled by government in2011.
The cost of capital estimated by three models, the one estimated by OJ model wasthe highest, the one estimated by CAPM was the lowest, ES model’s result was in themiddle.2254valid datas was got through choosing the same datas of three models，theaverage cost of capital is0.137,was much higher than a one-year time deposit rates. Atthe0.05significant level, only the identity of the ultimate controller and governmentlevel could significantly distinguish the average cost of capital, the ultimate controllingstake ratio interval, the number of controlling chains,control level couldnot distinguishthe cost of capital.The pyramid structures’ cost of capital was definitely higher than thatof horizontal structure.
The multiple linear regression was done beween the cost of capital and shareholders’average vote rights, the separation of shareholders’ average vote rights(controlling stake)and average cash flow rights(ownership),the control levels and the number of controllingchains,it was found the different of ultimate shareholders,the result was different, thelisted companies controlled by person and family,the cost of capital had negativecorrelation with the separation of shareholders’ average vote rights and average cashflow rights,and positive correlation with control level,while the companies controlled bygovernment had the opposite conclusion.The ratio of vote rights and the number ofcontrolling chains had no significant correlativity with the cost of capital. The conclusionof robustness test supported the result above.
以往对于股权结构的研究多数停留在上市公司的直接产权归属层面，本文的研究是从上市公司的终极产权归属层面展开的。上市公司的终极控股股东必须是拥有投票权超过固定阈值的第一大股东，终极控股股东通过构建股权结构实现对上市公司的终极控股。终极股权结构的长度即从上市公司到终极控股股东的控制层级数，终极股权结构的宽度即终极控股股东实现控股的链条数量。终极控股股东的投票权和现金流权的分离正是通过控制层级的增加和控股链条数的增多来实现的，正是因为两权分离使得终极控股股东更容易、更有动力侵占中小股东利益。
文章选用股权结构图谱公布首年（2004年）至2011年的数据作为研究样本，首先，筛选掉没有终极控股股东和数据不全的样本，最终得到11321个有效样本。有终极控股股东的上市公司的终极所有权均值为36.80%，终极控股权均值为42.53%，两权分离度（差值）为5.73%，两权分离度（比值）为1.37，控制层级为2.32。终极控股股东普遍采用单链条实现对上市公司的控制，占79.41%，政府更倾向于利用单链条实现对上市公司的控制。有44%的样本公司的股权结构是金字塔结构，个人或家族终极控股的上市公司更倾向于选择金字塔结构。从数量上来看，从2004年到2011年，个人或家族终极控股的上市公司所占比重呈逐年递增的趋势，甚至在2011年，超过政府终极控股的上市公司数量。
三模型估算的股权资本成本中，OJ模型估算的结果最高，CAPM模型估算的结果最低，ES模型估算结果居中。筛选三模型共同样本，共得到2254个有效样本，经计算得出我国上市公司的平均股权资本成本水平为0.137，这远高于一年定期存款的利率。进一步检验终极控股比例区间、终极控股股东性质、政府层级、控股链条数、控制层级对平均股权资本成本划分的显著性，结果发现在0.1的显著水平上，不同政府层级控股的上市公司的平均股权资本成本是有显著差异的，政府（省级）资本成本水平最高，政府（中央）资本成本水平最低。并通过方差分析得出：金字塔结构的股权资本成本水平显著高于水平结构。
通过对平均股权资本成本与终极控股权比例、两权分离度、控制层级和控股链条数的多元线性回归发现：终极控股股东性质不同，结论就有差异。个人或家族终极控股的上市公司的平均股权资本成本与两权分离度在方向上是负向关系，与控制层级在方向上是正向关系；政府终极控股的上市公司的平均股权资本成本与两权分离度显著正线性相关，与控制层级显著负线性相关。终极控股权比例、控股链条数与平均股权资本成本的相关性不显著。通过稳健性检验得出的结论支持上述分析结果。
Ownership concentration of listed companies had become a universal phenomenon,accompanied bored a second agency problem: the ultimate controlling shareholder gotexcess control rights over its ownership through a complex ownership structure, minedthe interests of listed companies and formed a tunnel effect.Then, the investors mightloss profits,will they raise the minimum required rate of return? That’s the logicalstarting point of our study. The cost of capital reflects investors’ minimum required rateof return, helped corporate make investment decisions, the best financing choice andperformance evaluation, and was the basis to estimate the enterprises valuation. ThreeModels-Capital Asset Pricing Model (CAPM), Ohlson-Juettner Model (OJ) and EastonModel (ES)-were used to estimate the cost of capital.
In the past, the majority of researches on the equity structure based on the directownership of listed companies.However,this paper based on the ultimate equitystructure.The ultimate shareholder must be the largest one owned the voting right morethan the fixed threshold, they controlled the listed company through the complex equitystructure.The width of the equity structure is the number of controlling chains, the lengthof it is the number of levels from the listed company to the ultimate shareholders. Theseparation of ownership and controlling stake comes true through the increasing ofcontrol levels and the controlling chains,and it makes the ultimate controllingshareholders occupied the interests of minority shareholders more easily and moremotivatedly.
Take2004, which was the year ownership structure map was required to release,to2011China A-stock listed companies in Shenzhen&Shanghai Exchange assamples.11321valid datas were got through filtering without ulmate shareholders andcomplete datas. The ultimate shareholders’ average vote right(ultimate controlling stake)was42.53%， average cash flow right(ultimate ownership) was36.80%， averagedifference between ultimate shareholders’ average vote rights and average cash flowrights was5.73%,the average ratio of them was1.37, average control level was2.32.79.41%ultimate shareholders controlled the listed companies through onechain.Compared with the companies controlled by one person or a family,thegovernment was more inclined to use one chain to control the listed companies.44%ofequity structures were pyramid structure, the companies controlled by one operson or afamily were more likely to choose pyramid structure. The quantity of listed companies controlled by one person or a family increases smoothly from2004to2011, andexceeded the quantity controlled by government in2011.
The cost of capital estimated by three models, the one estimated by OJ model wasthe highest, the one estimated by CAPM was the lowest, ES model’s result was in themiddle.2254valid datas was got through choosing the same datas of three models，theaverage cost of capital is0.137,was much higher than a one-year time deposit rates. Atthe0.05significant level, only the identity of the ultimate controller and governmentlevel could significantly distinguish the average cost of capital, the ultimate controllingstake ratio interval, the number of controlling chains,control level couldnot distinguishthe cost of capital.The pyramid structures’ cost of capital was definitely higher than thatof horizontal structure.
The multiple linear regression was done beween the cost of capital and shareholders’average vote rights, the separation of shareholders’ average vote rights(controlling stake)and average cash flow rights(ownership),the control levels and the number of controllingchains,it was found the different of ultimate shareholders,the result was different, thelisted companies controlled by person and family,the cost of capital had negativecorrelation with the separation of shareholders’ average vote rights and average cashflow rights,and positive correlation with control level,while the companies controlled bygovernment had the opposite conclusion.The ratio of vote rights and the number ofcontrolling chains had no significant correlativity with the cost of capital. The conclusionof robustness test supported the result above.
引文
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214叶康涛,陆正飞.中国上市公司股权融资成本影响因素分析[J].管理世界,2004(5):128-131。
215陈晓,单鑫.债务融资是否会增加上市企业的融资成本[J].经济研究,1999(9):39-46。
216姜付秀,陆正飞.多元化与资本成本的关系——来自中国股票市场的证据[J].会计研究,2006(6):48-55。
217汪平,李光贵,巩方亮.资本成本、股东财富最大化及其实现程度研究——基于中国上市公司的经验检验[J].中国工业经济,2008(4):110-118。
218间接持股比例是指当控制层级大于等于2时，通过层层追溯，取各链条上控股比例的最小值并将其相加得到的持股比例。
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222安烨,钟廷勇.股权集中度、股权制衡与公司绩效关联性研究——基于中国制造业上市公司的实证分析[J].东部师大学报（哲学社会科学版）,2011(6):46-52。
223林建秀.第一大股东性质、控制模式与公司绩效[J].证券市场导报,2007(10):49-54。
224根据蒲自立等、林建秀运用概率投票模型的经验，如果与计算达到控股所需的控股比例，必须对以下因素做出假设：1第一大股东在股东会层面赢得投票权的概率（一般取99.9%）；2股权集中度（一般以前十大股东的赫菲德尔系数替代，即H值取H10）；3除第一大股东外其他股东参与投票的概率（一般取1）。
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236沈红波.市场分割、跨境上市与预期资金成本——来自Ohlson—Juettner模型的经验证据[J].金融研究,2007(2):146-155。
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