股权比例、过度担保与隐蔽掏空——来自我国上市公司对子公司担保的证据

本文借鉴LLSv的掏空模型,模型化推导了控股股东对上市公司的隐蔽掏空模式,建立了控股股东持股比例与掏空程度的分段函数关系.以2004年我国沪深A股上市公司对子公司担保的386起事件为样本,并把样本分为过度担保组和适度担保组,运用事件研究法进行实证检验.发现过度担保样本组累计超额收益率显著为负,而适度担保组的市场反应为正但不显著,由此推测过度担保的上市公司具有向控股股东输送利益的倾向.多元回归结果表明,对于第一大股东持股比例和国家持股比例的回归系数而言,60%均是其有效的临界点.当大股东持股比例低于60%时,大股东存在通过上市公司对子公司担保的方式掏空上市公司的现象,但回归系数不显著;当持股比例高于60%时,则产生了显著的利益协调效应.能有效地抑制掏空.通过分类变量和股权临界变量的多种组合,回归发现,国有性质的上市公司被控股股东掏空程度更高;与第一大股东持股比例变量相比.国家持股比例变量的股权临界值对CAR的影响更加显著.

Holding Proportion, Over Guarantee and Tunneling: Evidence from the Guarantee of Chinese Listed Companies to Their Subsidiaries

Based on the tunneling model of LLSV, we model the way controlling shareholders tunnel the listed companies by guarantees to the subsidiaries, and put forward a section-function to analyze the relationship between the holding proportion of shareholdings and tunneling. The sample of this paper includes 386 deals of guarantees which were provided by the listed companies to their subsidiaries in Chinese A-Share markets of Shanghai and Shenzhen in 2004. By dividing the sample into two sets as over guarantees and appropriate guarantees, the paper uses the event study method to examine the market reaction of the guarantee events, and finds that over guaran- tees has a significantly negative relation with CAR, while appropriate guarantees has a positive but not significant relation with CAR. We can then infer that controlling shareholders tend to transport benefit from the listed companies by over guarantees to their subsidiaries. We conduct a regression analysis between the share proportion and CAR. The results show that 60% of share proportion is a turning point for the relationship between tunneling and the holding propor- tion of the first largest shareholders or state-owned shareholders. It means that when the holding proportion of the largest shareholders is lower than 60%, there exists the tunneling from the listed companies by guarantees to subsidiaries. While when the proportion is higher than 60%, it can result in an alignment effect which effectively re- strains the controlling shareholders from tunneling. Combining the classifying variables and critical variables of shareholdings, we find that: (1) the state-owned listed companies have a higher possibility of tunneling by over guarantees, and; (2) compared with the variables between holding proportion of the largest shareholders and the state- owned shareholdings, we find the latter has more significant relation- ship between the share proportion and CAR.