QFII制度改革与中国上市公司的投资现金流敏感性
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摘要
自中国引入QFII(合格境外机构投资者)制度以来,QFII基金的"巨额收益"与"神秘持仓"一直广受关注。以QFII制度的建立和历次改革为背景,通过建立投资现金流敏感性模型,研究QFII对中国上市公司投资现金流敏感性的影响。结果表明,QFII制度的建立和历次改革确实可以显著降低上市公司的投资现金流敏感性。而且,QFII制度的建立和历次改革对上市公司投资现金流敏感性的影响不尽相同,且这些制度改革不能完全消除这种低效率融资现象。此外,QFII对不同类型公司投资现金流敏感性减弱程度存在差异:其对资产规模较大或被其多次重仓持有的公司投资现金流敏感性的减弱程度更加显著。
Since China introduced the Qualified Foreign Institutional Investor(QFII) scheme,QFII funds' " high returns" and " secret holdings" have continuously attracted attention. Based on the establishment and several reforms of the QFII scheme,this paper builds investment cash flow sensitivity(ICS) model to analyze QFII scheme's influence on ICS of listed firms in China. The result shows that QFII scheme's establishment and reforms do significantly reduce ICS of listed firms.The influence is not identical and the reforms cannot completely eliminate inefficient financing. Besides,QFII cannot equally reduce ICS for different types of firms whose influence of reducing ICS is more significant on firms withlarge sizes or being highly held by QFII funds for many times.
Since China introduced the Qualified Foreign Institutional Investor(QFII) scheme,QFII funds' " high returns" and " secret holdings" have continuously attracted attention. Based on the establishment and several reforms of the QFII scheme,this paper builds investment cash flow sensitivity(ICS) model to analyze QFII scheme's influence on ICS of listed firms in China. The result shows that QFII scheme's establishment and reforms do significantly reduce ICS of listed firms.The influence is not identical and the reforms cannot completely eliminate inefficient financing. Besides,QFII cannot equally reduce ICS for different types of firms whose influence of reducing ICS is more significant on firms withlarge sizes or being highly held by QFII funds for many times.
引文
[1]孙立,林丽. QFII投资中国内地证券市场的实证分析[J].金融研究,2006,(07):123-133.
[2]段云,李菲. QFII对上市公司持股偏好研究:社会责任视角[J].南开管理评论,2014,(01):44-50.
[3]Liu N,Bredin D,Wang L,et al. Domestic and foreign institutional investors’behavior in China[J]. TheEuropean Journal of Finance,2014,20(7-9):728-751.
[4]Zou L,Tang T,Li X. The stock preferences of domestic versus foreign investors:Evidence from qualified for-eign institutional investors(QFIIs)in China[J]. Journal of Multinational Financial Management,2016,(37):12-28.
[5]刘成彦,胡枫,王皓. QFII也存在羊群行为吗?[J].金融研究,2007,(10):111-122.
[6]李学峰,张舰,茅勇峰.我国开放式证券投资基金与QFII行为比较研究———基于交易策略视角的实证研究[J].财经研究,2008,(03):73-80.
[7]Huang W,Zhu T. Foreign institutional investors and corporate governance in emerging markets:Evidence ofa split-share structure reform in China[J]. Journal of Corporate Finance,2015,(32):312-326.
[8]Modigliani F,Miller M H. The cost of capital,corporation finance and the theory of investment[J]. Ameri-can Economic Review,1958,48(3):261-297.
[9]Myers S C,Majluf N S. Corporate financing decisions when firms have information investors do not have[J].Journal of Financial Economics,1984,13(2):187-221.
[10]Jensen M C. Agency costs of free cash flow,corporate finance,and takeovers[J]. American Economic Re-view,1986,76(2):323-329.
[11]张涛,郭潇.高管薪酬契约与融资约束研究[J].经济与管理评论,2018,(01):96-107.
[12]Fazzari S M,Hubbard R G,Petersen B C,et al. Financing constraints and corporate investment[J].Brookings Papers on Economic Activity,1988(1):141-206.
[13]Tan M N T. Has the QFII scheme strengthened corporate governance in China?[J]. China An Internation-al Journal,2011,7(2):353-369.
[14]Aggarwal R,Erel I,Ferreira M,et al. Does governance travel around the world? Evidence from institution-al investors[J]. Journal of Financial Economics,2011,100(1):154-181.
[15]Leckie S,Xiao R. Investment funds in China-A new look[M].Hong Kong:Stirling Finance Ltd,2012.
[16]Beatson S A,Chen J. Foreign investment,corporate governance and performance in the Chinese listed ashare companies[J]. Journal of Chinese Economic and Business Studies,2018,16(1):59-93.
[17]Wu W,Johan S A,Rui O M. Institutional investors,political connections,and the incidence of regulatoryenforcement against corporate fraud[J]. Journal of Business Ethics,2016,134(4):709-726.
[18]Firth M,Gao J,Shen J,et al. Institutional stock ownership and firms’cash dividend policies:Evidencefrom China[J]. Journal of Banking&Finance,2016,(65):91-107.
[19]Jiang F,Cai W,Wang X,et al. Multiple large shareholders and corporate investment:Evidence from Chi-na[J]. Journal of Corporate Finance,2018,(50):66-83.
[20]连玉君,程建.投资—现金流敏感性:融资约束还是代理成本?[J].财经研究,2007,(02):37-46.
[21]Hung J H,Tseng T Y. Impact of the QFII Scheme on Investment-Cash Flow Sensitivity[J]. Asia-PacificJournal of Financial Studies,2009,38(3):311-335.
[22]汪冬梅,李欣欣.我国房地产业投资现金流敏感性动因之谜[J].经济与管理评论,2015,(04):61-67.
[23]杨华军,胡奕明.制度环境与自由现金流的过度投资[J].管理世界,2007,(09):99-106.
[24]屈文洲,谢雅璐,叶玉妹.信息不对称,融资约束与投资—现金流敏感性———基于市场微观结构理论的实证研究[J].经济研究,2011,(06):105-117.
[25]Hoshi T,Kashyap A,Scharfstein D. The role of banks in reducing the costs of financial distress in Japan[J]. Journal of Financial Economics,1990,27(1):67-88.
[26]Chow G C. Tests of equality between sets of coefficients in two linear regressions[J]. Econometrica,1960,28(3):591-605.
(1)限于篇幅,我们同样没有对这个结果进行列示。
[2]段云,李菲. QFII对上市公司持股偏好研究:社会责任视角[J].南开管理评论,2014,(01):44-50.
[3]Liu N,Bredin D,Wang L,et al. Domestic and foreign institutional investors’behavior in China[J]. TheEuropean Journal of Finance,2014,20(7-9):728-751.
[4]Zou L,Tang T,Li X. The stock preferences of domestic versus foreign investors:Evidence from qualified for-eign institutional investors(QFIIs)in China[J]. Journal of Multinational Financial Management,2016,(37):12-28.
[5]刘成彦,胡枫,王皓. QFII也存在羊群行为吗?[J].金融研究,2007,(10):111-122.
[6]李学峰,张舰,茅勇峰.我国开放式证券投资基金与QFII行为比较研究———基于交易策略视角的实证研究[J].财经研究,2008,(03):73-80.
[7]Huang W,Zhu T. Foreign institutional investors and corporate governance in emerging markets:Evidence ofa split-share structure reform in China[J]. Journal of Corporate Finance,2015,(32):312-326.
[8]Modigliani F,Miller M H. The cost of capital,corporation finance and the theory of investment[J]. Ameri-can Economic Review,1958,48(3):261-297.
[9]Myers S C,Majluf N S. Corporate financing decisions when firms have information investors do not have[J].Journal of Financial Economics,1984,13(2):187-221.
[10]Jensen M C. Agency costs of free cash flow,corporate finance,and takeovers[J]. American Economic Re-view,1986,76(2):323-329.
[11]张涛,郭潇.高管薪酬契约与融资约束研究[J].经济与管理评论,2018,(01):96-107.
[12]Fazzari S M,Hubbard R G,Petersen B C,et al. Financing constraints and corporate investment[J].Brookings Papers on Economic Activity,1988(1):141-206.
[13]Tan M N T. Has the QFII scheme strengthened corporate governance in China?[J]. China An Internation-al Journal,2011,7(2):353-369.
[14]Aggarwal R,Erel I,Ferreira M,et al. Does governance travel around the world? Evidence from institution-al investors[J]. Journal of Financial Economics,2011,100(1):154-181.
[15]Leckie S,Xiao R. Investment funds in China-A new look[M].Hong Kong:Stirling Finance Ltd,2012.
[16]Beatson S A,Chen J. Foreign investment,corporate governance and performance in the Chinese listed ashare companies[J]. Journal of Chinese Economic and Business Studies,2018,16(1):59-93.
[17]Wu W,Johan S A,Rui O M. Institutional investors,political connections,and the incidence of regulatoryenforcement against corporate fraud[J]. Journal of Business Ethics,2016,134(4):709-726.
[18]Firth M,Gao J,Shen J,et al. Institutional stock ownership and firms’cash dividend policies:Evidencefrom China[J]. Journal of Banking&Finance,2016,(65):91-107.
[19]Jiang F,Cai W,Wang X,et al. Multiple large shareholders and corporate investment:Evidence from Chi-na[J]. Journal of Corporate Finance,2018,(50):66-83.
[20]连玉君,程建.投资—现金流敏感性:融资约束还是代理成本?[J].财经研究,2007,(02):37-46.
[21]Hung J H,Tseng T Y. Impact of the QFII Scheme on Investment-Cash Flow Sensitivity[J]. Asia-PacificJournal of Financial Studies,2009,38(3):311-335.
[22]汪冬梅,李欣欣.我国房地产业投资现金流敏感性动因之谜[J].经济与管理评论,2015,(04):61-67.
[23]杨华军,胡奕明.制度环境与自由现金流的过度投资[J].管理世界,2007,(09):99-106.
[24]屈文洲,谢雅璐,叶玉妹.信息不对称,融资约束与投资—现金流敏感性———基于市场微观结构理论的实证研究[J].经济研究,2011,(06):105-117.
[25]Hoshi T,Kashyap A,Scharfstein D. The role of banks in reducing the costs of financial distress in Japan[J]. Journal of Financial Economics,1990,27(1):67-88.
[26]Chow G C. Tests of equality between sets of coefficients in two linear regressions[J]. Econometrica,1960,28(3):591-605.
(1)限于篇幅,我们同样没有对这个结果进行列示。