外资战略持股能否创造价值——中国上市公司的实证

上海交通大学硕士学位论文外资战略持股能否创造价值——中国上市公司的实证姓名：陈文翰申请学位级别：硕士专业：金融学指导教师：欧阳令南2007010168200711769200711720071173199520054ABSTRACTAsChina’seconomykeepsgrowingfastandpersistsinit’sopeningupdrive,wecanfindthatmoreforeignstrategicshareholdersexitinChina’slistedcompaniesthaneverbefore,whichhassignificantimpactonoureconomy.Andtherecomesthequestionwhetherforeignstrategicshareholderswillcreatevalue?Inourstudy,onthebaseofanalyzingdifferentmotivationfromtherelevantparts,wefirstlymadethehypothesisthattheywilltheoreticallycreatevalue.Aftertheempiricalstudyofbothshorttermandlongtermeffectbroughtaboutbytheforeignstrategicshareholders,weverifiedourhypothesis.Intheeventstudyapproach,wefoundthatthereexitspositivecumulativeabnormalturnforthestockpriceduringtheperiodaroundannouncement,whichbroughtvaluetoordinaryinvestors.Andintheaccountingstudyapproach,wefoundthatthefinancialperformanceoflistedcompanieshaschangedforbetterandoutperformstheaveragelevel.Althoughthereexitssomedifferencebetweentwogroupsofsamplingcompanies,itgenerallysupportedourargument.Whileacceptingtheargument,westillpointedoutthepotentialproblemsbroughtaboutbytheforeignstrategicshareholderandprovidedoursuggestionsintermsofnationaleconomy;sectorpolicy;antitrustregulationandinformationdisclosureproceduresinourstockmarket.KEYWORDS:ForeignInvestment,StrategicShareholding,InvestmentMotivation,AbnormalReturn,FinancialPerformance711.1,WTO200210,,2006,(),,,,,,,,——,1.28199520051.391-1Figure1-1:Frameworkofthestudy101.4141AA142.111(100)250%325%-50%425%AAA14312()1442006731()50%()30%()()()A1322.1211ABABBAB14212213Jensen(19861988)152.2221()20%30%JensenRuback(1983)30%20%Datta(1992)21.8%16GeoffreyMeeks(1977)19641971233ROA2/3Mueller(1980)7()MeeksMuellerMuellerRavenscraftScherer(1987)1950197747112Healy,PalepuRuback(1992)197919845022217(1999)1997200020001993-1995[-10,10][-5,5][-1,1]20031993-2002199819971999199919982.318WTO2.41234.193313113-1()/19957()2519959,B199591998101.381.2B,1998821.37,19993HolchinB.V.7700B,20011019998200110200111200271200210200211200211(QFII)20021120200212200332003744.43,20041110.55000,200614,20063,A20064B,B51%31221BHHolderbankFinancialGMsLtd.HOLCHINB.V.223EverwideIndustrialLtd.3.232123TobinQ243222.253323.264411242421A18020210344A1272Wind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vent-studyMethodology)1969229;(AbnormalReturn)(AverageAbnormalReturn,ARR)(CumulativeAbnormalReturn.CAR)CAPMCAPMCARCAR-2020302020-80,-218021-80,-21it)1()1(−−−=titiititPPPRtPitPit-1iti=1,,nRmtCAPMRmt11−−−=tttmtIIIR4itR^-20,20itR^-20,20Rmt-80,-21CAPM-80,-21-80,-21imtiiitRRεβα++=∧iαiβiβiiαiεiαiβi^αi^βi^αi^β31tiitR^CAPMCAPMβCopelandWeston19831988CAPMCAPMCAPMCAPMCAPMCAPM5-20,20ARitit∧−=itititRRAR6-20,20,tAARtnARAARniitt∑==17-20,20CAR∑=AARCARCAR32AARt,CARtAARt,CARt0AARt,CARt0H0AARt0CARt0nAARSAARtttAAR/)(=∑−−−=nitittAARARnAARS122)(11)(nCARSCARtttCAR/)(=∑−−−=nitittCARCARnCARS122)(11)(t=-20020tAAR,tCARn-1t-434314-1AAR202041AAR2356AAR1844AAR1.78%3AAR-0.81%12Ta=0.0516AAR2017331514972191218207AAR9AAR5AAR016AAR7AAR9438AAR03AARAAR21AAR,(,)AAR404AAR017AAR8AAR934t-1.00-0.500.000.501.001.502.00D-20D-18D-16D-14D-12D-10D-8D-6D-4D-2D-0D2D4D6D8D10D12D14D16D18D20AAR-6-4-2024681012t-AARAAR(%)t-AAR4-1Figure4-1:AAR&T-statistic(Marketmodel)AARCAR4-24CAR-2.058%,08-2.058%3CAR4-1.03%34.37%438AAR3CAR0,4.40%174.40%Ta=0.056CAR2017161436TCAR14-1.82%34.37%CAR356103,4.40%20CAR3.53%CARCAR36t-3.00-2.00-1.000.001.002.003.004.005.00D-20D-18D-16D-14D-12D-10D-8D-6D-4D-2D-0D2D4D6D8D10D12D14D16D18D20CAR-6-4-20246810t-CARCAR(%)t-CAR4-2Figure4-2:CAR&T-statistic(Marketmodel)4-3AARCAR-3.00-2.00-1.000.001.002.003.004.005.00D-20D-17D-14D-11D-8D-5D-2D1D4D7D10D13D16D19%AARCAR4-3Figure4-3:AAR&CAR(Marketmodel)43237(4-1)22AAR19AARAAR1.70%3AAR-0.84%20Ta=0.0511AAR1.24%220-0.84%337CARCAR4.2911CAR-2.23%9t-1.00-0.500.000.501.001.502.00D-20D-18D-16D-14D-12D-10D-8D-6D-4D-2D-0D2D4D6D8D10D12D14D16D18D20AAR-6-4-2024681012t-AARAAR(%)t-AAR4-4Figure4-4:AAR&T-statistic(Marketadjustment)38t-3.00-2.00-1.000.001.002.003.004.005.00D-20D-18D-16D-14D-12D-10D-8D-6D-4D-2D-0D2D4D6D8D10D12D14D16D18D20CAR-6-4-20246810t-CARCAR(%)t-CAR4-5Figure4-5:CAR&T-statistic(Marketadjustment)-3.00-2.00-1.000.001.002.003.004.005.00D-20D-17D-14D-11D-8D-5D-2D1D4D7D10D13D16D19AAR(%)CAR(%)4-6Figure4-4:AAR&CAR(Marketadjustment)39551511405-11.(MBP)/2.(ROE)/3.(ROA)/4.(EPS)/5.TA()/6.TE()/7.MR()/8.(IT)/9.(AT)/10.LR/11.(BS)/512,Wind4152A5215-218ROE4ROAEPS2022.7ROE12ROAEPS205425-2:Y-2Y-1Y+0Y+1Y-2Y-1Y+0Y+11.(MBP)7.MR424444444244444418.81018.27520.06122.65314.52215.92320.62621.52111.08814.60512.49411.85730.45645.74943.92945.401t10.