资本市场开放对公司价值的影响及其机制研究——基于沪港通的经验证据

Capital market opening promotes the globalization of resource allocation and has deep impact on investors, listed firms and market intermediaries. Taking advantage of the unique opportunity provided by Shanghai-Hong Kong Stock Connect program (SHSCP), this project aims to examine the impact of capital market opening on firm value and its underlying mechanisms. In particular, we plan to investigate whether capital market opening helps reduce stock price volatility, increase stock liquidity, mitigate firms’ myopic investment behavior, and promote more information generation from financial analysts, all of which together lead to decrease in the cost of equity capital, increase in future cash flow and finally increase in firm value. In addition, capital market opening can increase the harmonization of valuation systems across stock exchanges and reduce the stock price difference of cross-listed firms. The evidence on these questions is going to 1) enrich current literature on economic consequence of capital market opening, especially about its impact on managerial myopia and analyst behavior; 2) provide evidence for regulators on the effectiveness of SHSCP, helping them decide whether to adjust Shenzhen-Hong Kong Stock Connect program and continue the plan of Shanghai-London Stock Connect program; and 3) provide guidance on how to solve some key problems in our stock market, including high market volatility, the lack of liquidity during stock crisis period, high financing cost, sever speculative atmosphere among investors, and the insufficiency of fundamental information available to investors.

资本市场开放推进资源配置的全球化，对投资者、上市公司和市场中介产生深远的影响。本项目计划借助沪港通提供的独特研究机会，系统地研究资本市场开放对公司价值的影响及其内在机制。具体来说，我们计划研究资本市场开放是否降低股价波动性和增加股票流动性，是否减少上市公司短视投资行为，以及是否促使分析师提供更多信息。这些因素有助于降低权益资本成本和增加未来现金流，从而提升上市公司价值。另外，资本市场开放可能促进境内外估值体系趋同，降低交叉上市公司股价差。本项目的研究结果将丰富有关资本市场开放经济后果的文献，特别是填补其对短视投资行为和分析师行为影响的文献空白；为我国市场监管机构提供沪港通实施效果的证据，对近期开展的深港通以及正在推进的沪伦通提供政策建议；为解决我国股票市场中存在的稳定性不足、股灾期间流动性不足、融资成本高、投机氛围重、以及市场有效信息不足等问题提供启示。

资本市场开放推进资源配置的全球化，对投资者、上市公司和市场中介产生深远的影响。本项目借助陆港通和债券通提供的独特研究机会，系统地研究资本市场开放的影响及其内在机制。我们发现，股票市场开放降低股价波动性和增加股票流动性，减少上市公司短视投资行为，这有助于降低权益资本成本和增加未来现金流，从而提升上市公司价值；债券市场开放通过促使管理层降低投资和减少现金分红来降低债券违约风险，以及通过提高管理层诉讼风险来促使管理层在信息披露时变得更加谨慎。另外，信息披露通过增加管理层压力来增强管理层短视行为和减少企业创新，以及政府干预会降低企业运营效率和公司价值。本项目的研究结果丰富有关资本市场开放经济后果的文献；为我国市场监管机构提供资本市场开放实施效果的证据，对近期开展的“沪伦通”、“沪东通”和其他国际间互联互通机制的政策优化提供经验参考。