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上市公司控股股东的资金占用、违规关联担保等掏空行为屡禁不止，是资本市场持续存在的风险因素。基于中国上市公司2003—2020年数据，采用面板双向固定效应模型考察控股股东掏空对企业风险承担的影响。研究发现，控股股东掏空行为显著提升企业风险承担水平。机制分析表明，从融资决策来看，掏空行为导致企业杠杆率与过度负债程度上升、营运资本下降；从投资决策来看，掏空行为会挤出实业资本支出。异质性分析发现，与掏空较少的企业相比，掏空行为严重的企业其风险承担水平的上升伴随着其绩效的下降。鉴于此，应强化对掏空的监查，提高掏空行为的处罚力度，开发数字化监管手段监测与预警掏空风险。
Abstract：The persistent practices of asset appropriation, irregular related-party guarantees, and other forms of tunneling by controlling shareholders of listed companies pose ongoing risks in the capital market.This study explored the impact of controlling shareholder tunnelling on corporate risk assumption by utilizing panel data from 2003 to 2020 for Chinese listed companies and employing a panel two-way fixed-effects model.The study revealed that tunneling practices by controlling shareholders significantly elevate firms' risk assumption levels.Mechanism analysis showed that, from a financing standpoint, tunneling increases firms' leverage ratios and their degree of excessive indebtedness while crowding out working capital.From an investment standpoint, tunneling displaces capital expenditures in real industries.Heterogeneity analysis indicates that firms with more severe tunneling practices experience a corresponding increase in risk assumption levels, coupled with a decline in performance, compared with firms with less tunneling.Given these findings, enhanced scrutiny of tunneling practices is warranted, along with more severe penalties for such behavior and the development of digital regulatory mechanisms for monitoring and issuing early warnings about tunneling risks.
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(1)考虑上市公司在基期的一项投资投入资金I,下一期以概率q获得回报L,以概率1-q获得回报H,该项投资的净现值NPV=q×L+(1-q)×H-I。当存在掏空时,每单位现金流的掏空成本为τ,掏空收益即为1-τ。假设掏空成本随着现金流增加而递减,且为凹函数(concave function),则掏空收益是随着现金流递增的凸函数(convex function)。此时,该项投资的净现值NPV′=q×L×(1-τL)+(1-q)×H×(1-τH)-I×(1-τI)。根据凸函数的定义,可推导出NPV′>NPV。因此,对于一项净现值NPV为零或者负数的投资I,当存在掏空时,其净现值NPV′可以为正,这样一来该项目也值得投资。
(2)2007年实施《新会计准则》之后,多数中国上市公司才开始披露研发费用数据,因此该变量的观测值相对较少。
(3)掏空变量的估计系数为0.124,如果掏空增加0.021,提升盈利波动的幅度约为0.0026(0.124×0.021),该值相对于盈利波动均值0.046的幅度为(0.124×0.021)/0.045,约等于5.79%。
(4)限于篇幅,省略了基于Shock-IV的回归结果,留存备索。
(1)根据CSMAR数据库中的违规数据统计得到。
基本信息:
DOI：
中图分类号:F275;F272.3;F271;F832.51
引用信息:
[1]方胜,田敏,冯山.控股股东掏空、投融资决策与风险承担[J].金融经济学研究,2023,38(06):97-113.
基金信息:
国家自然科学青年科学基金项目(71902195); 国家社会科学基金青年项目(22CJL030); 湖南省自然科学基金青年项目(2020JJ5108); 湖南省教育厅优秀青年项目(22B0667)