交叉上市能提升投资-股价敏感性吗？
——基于管理学习假说的检验

商业研究

交叉上市能提升投资-股价敏感性吗？ ——基于管理学习假说的检验

王译晗1,2，汪振坤1

（1.南京财经大学会计学院，南京 210023;2.中南财经政法大学会计学院，武汉 430073）

收稿日期:2020-04-01 出版日期:2020-06-10
作者简介:王译晗（1984-），女，辽宁辽阳人，南京财经大学会计学院讲师，中南财经政法大学会计学院博士研究生，研究方向：公司财务与资本市场、会计信息技术；汪振坤（1983-），男，安徽霍邱人，南京财经大学会计学院讲师，管理学博士，研究方向：会计理论与实务、财务共享。

Can Cross Listing Enhance the Investment Sensitivity to Stock Price? A Test based on the Management Learning Hypothesis

WANG Yi-han1,2,WANG Zhen-kun1

(1. School of Accounting, Nanjing University of Finance and Economics, Nanjing 210023,China; 2. School of Accounting, Central South University of Finance and Law, Wuhan 430073,China)

Received:2020-04-01 Online:2020-06-10

摘要/Abstract

摘要： 本文利用股改后近十年的中国上市公司数据分析交叉上市对投资-股价敏感性的影响。研究发现，实现A+H交叉上市能够提升公司的投资-股价敏感性，说明交叉上市后公司管理层可以从股价中获得更多有助于评估投资决策的相关信息，这一结论符合管理学习假说。进一步考虑从股价到投资的信号传递作用，发现A+H交叉上市对投资-股价敏感性的影响在机构持股比例高、分析师关注度高以及股价信息含量高的企业组中更为显著。根据管理者的学习能力假说，高管团队总体的任职时间越长，交叉上市后企业投资对股价越为敏感。

关键词: 交叉上市, 投资-股价敏感性, 管理学习假说, 股价信息含量

Abstract: This paper analyzes the impact of cross listing on investment sensitivity to stock price by using the data of Chinese listed companies in the past ten years after the reform.The results show that the implementation of A+H cross listing can enhance the investment sensitivity to stock price of the company, which indicates that the management of the company can obtain more relevant information from the stock price which is helpful to evaluate the investment decision. This conclusion is consistent with the management learning hypothesis.Further considering the signaling effect from stock price to investment, we find that the effect of A+H cross-listing on investment sensitivity to stock price is more significant in the enterprise group with high institutional shareholding ratio, high analyst attention and high stock price information content. According to the management learning ability hypothesis, the longer the executive team′s overall tenure, the more sensitive the firm′s investment is to the stock price after cross listing.

Key words: cross-listing, investment sensitivity to stock price, management learning hypothesis, stock price information content

王译晗1,2，汪振坤1. 交叉上市能提升投资-股价敏感性吗？ ——基于管理学习假说的检验 [J]. 商业研究.

WANG Yi-han1,2,WANG Zhen-kun1. Can Cross Listing Enhance the Investment Sensitivity to Stock Price? A Test based on the Management Learning Hypothesis [J]. 商业研究.

参考文献

［1］Busaba, W. Y., Guo, L., Sun, Z.,et al. The dark side of cross-listing: A new perspective from China［J］．Journal of Banking & Finance, 2015,57: 1-16. ［2］覃家琦,邵新建. 交叉上市、政府干预与资本配置效率［J］．经济研究,2015(6): 117-130. ［3］覃家琦,邵新建. 中国交叉上市公司的投资效率与市场价值——绑定假说还是政府干预假说?［J］．经济学:季刊,2016(2): 1137-1176. ［4］Coffee,J. C. The Future as History: The Prospects for Global Convergence in Corporate Governance and Its Implications［J］．Northwestern University Law Review,1999,93(3): 641-707. ［5］Coffee,J. C. Racing towards the Top?: The Impact of Cross-Listings and Stock Market Competition on International Corporate Governance［J］．Columbia Law Review,2002,102(7): 1757-1831. ［6］Stulz,R. Globalization,corporate finance,and the cost of capital［J］．Journal of Applied Corporate Finance,1999,12(3): 8-25. ［7］Lang,M. H.,Lins,K. V.,&Miller,D. P. ADRs,Analysts,and Accuracy: Does Cross Listing in the U.S. Improve a Firm’s Information Environment and Increase Market Value?［J］．Journal of Accounting Research,2003,41(2): 317-345. ［8］Lee,H. W.,&Valero,M. Cross-listing effect on information environment of foreign firms: ADR type and country characteristics［J］．Journal of Multinational Financial Management,2010,20(4-5),178-196. ［9］Baker,H. K.,Nofsinger,J. R.,&Weaver,D. G. International and Visibility Cross-Listing［J］．Journal of Financial and Quantitative Analysis,2002,37(3): 495-521. ［10］Abdallah,A.A. Do regulations matter? The effects of cross-listing on analysts’coverage and forecast errors.［J］．Review of Accounting and Finance,2008,7(3): 285-307. ［11］董秀良,张婷,孙佳辉. 中国企业跨境交叉上市改善了公司治理水平吗?——基于分析师预测准确度的实证检验［J］．中国软科学,2016(9): 99-111. ［12］Khanna,T.,Palepu,K. G.,&Srinivasan,S. Disclosure practices of foreign companies interacting with U.S. markets［J］．Journal of Accounting Research,2004,42(2): 475-508. ［13］Bailey,W.,Andrew Karolyi,G.,&Salva,C. The economic consequences of increased disclosure: Evidence from international cross-listings［J］．Journal of Financial Economics,2006,81(1): 175-213. ［14］Chemmanur,T. J.,&Fulghieri,P. Competition and cooperation among exchanges: A theory of cross-listing and endogenous listing standards［J］．Journal of Financial Economics,2006,82(2): 455-489. ［15］Fernandes,N.,&Ferreira,M. A. Does international cross-listing improve the information environment［J］．Journal of Financial Economics,2008,88(2): 216-244. ［16］Dodd,O.,&Gilbert,A. The Impact of Cross-Listing on the Home Market’s Information Environment and Stock Price Efficiency［J］．Financial Review,2016,51(3): 299-328. ［17］王亚星,叶玲,杨立. 交叉上市、信息环境与经济后果——来自A股、H股市场的经验证据［J］．证券市场导报,2012(12): 35-41. ［18］周开国,周铭山. 交叉上市能降低信息不对称吗?——基于AH股的实证分析［J］．证券市场导报,2014(12): 51-59. ［19］Foucault,T.,&Gehrig,T. Stock price informativeness,cross-listings,and investment decisions［J］．Journal of Financial Economics,2008,88(1): 146-168. ［20］Foucault,T.,&Frésard,L. Cross-listing,investment sensitivity to stock price,and the learning hypothesis［J］．Review of Financial Studies,2012,25(11): 3305-3350. ［21］Bakke,T. E.,&Whited,T. M. Which firms follow the market? An analysis of corporate investment decisions［J］．Review of Financial Studies,2010,23(5): 1941-1980. ［22］Chen,Q.,Goldstein,I.,&Jiang,W. Price informativeness and investment sensitivity to stock price［J］．Review of Financial Studies,2007,20(3): 619-650. ［23］Kusnadi,Y. Cross-listings and corporate cash savings: International evidence［J］．Journal of Corporate Finance,2015,32: 91-107. ［24］Ghadhab,I.,&Hellara,S. Cross-listing and value creation［J］．Journal of Multinational Financial Management,2016,37-38: 1-11. ［25］Abdallah,A.N.,&Abdallah,W. Does cross-listing increase managers’ propensity to listen to the market in M&A deals?［J］．Journal of Corporate Finance,2017,46: 97-120. ［26］陈培如,田存志. 交叉上市、股价信息含量与公司价值——基于面板数据联立方程模型［J］．经济与管理研究,2013(11): 40-50. ［27］于丽峰,唐涯,徐建国. 融资约束、股价信息含量与投资-股价敏感性［J］．金融研究,2014(11): 159-174. ［28］钟覃琳,陆正飞. 资本市场开放能提高股价信息含量吗?——基于“沪港通”效应的实证检验［J］．管理世界,2018,34(1): 169-179. ［29］Boehmer,E.,& Kelley,E. K. Institutional investors and the informational efficiency of prices［J］．Review of Financial Studies,2009,22(9): 3563-3594. ［30］陈康,刘琦. 股价信息含量与投资-股价敏感性——基于融资融券的准自然实验［J］．金融研究,2018(9): 126-142. ［31］Roll,R. R2［J］．Journal of Finance,1988,43(3): 541-566.