ֻ30जֻ11௹(ሹֻ227௹) 系 统 工 程,୍11ᄅ````````````SystemsEngineeringNov.,2012໓ᅣщݼ:1001-4098(2012)11-0009-11ܢಃࢲܒؓཟ࿊ᄴaࢌၞࠃ֥႕ཙXiiࠎႿੀྟ֥ܴׄ储小俊(ଲࣘྐ༏۽ӱն࿐ࣜ࠶ܵ࿐ჽ,ࡾ්ଲࣘ`210044)ᅋ`ေ:基于中国证券实践的数据样本,通过面板数据研究了控制权、超额控制权、股权分置、机构持股等股权因素对股票流动性的影响。实证结果显示,控制权、超额控制权的增加导致逆向选择成分增加、交易活动降低,结果流动性降低。股权分置改革增加了股票交易流动性。流通股比例越高、解禁比例的增加有利于减小逆向选择、使交易趋于活跃,增强流动性。就机构投资者来说,在控制人拥有绝对控制权的背景下,其力量还不足以有效制衡控制人行为;但作为拥有信息优势者,加剧了信息不对称,降低了股票流动性。ܱՍ:股权结构;流动性;逆向选择;交易活动ᇏٳোݼ:F830```໓ངѓ്:A1 引言ܢௐࢌၞੀྟ֥႕ཙbݓຓགྷႵ֥࣮іૼ,ܢಃࢲܒ൞႕ཙܢௐ൧ӆੀੀྟ൞൧ӆັܴࢲܒ֥ނྏa൧ӆᇉਈ֥ᇗေᆷѓྟ֥ᇗေၹ,ٳ֥ܢಃࢲܒႵᇹႿᄹࡆੀྟᆭ၂,ၹՎ,၂ᆰ൞࿐ᆀ࣮֥၂۱ᇗေਵთbੀྟЧ(BoltonބvonThadden,1998;BrockmanބChung,ദ൞၂۱ၛૼಒקၬ֥ۀ,௴ђࢤ൳֥ܴׄ൞ᆷၛ2009[1-2])bܢಃࢲܒ႕ཙੀྟႵਆ۱ࠎЧࠏᇅ:ڿэ܄ࢠཬ֥ӮЧࠣࡎ۬Ԋࠌaࠣൈࣉྛࢌၞ֥ି৯,౼थႿྐඳ֥ࢌၞࠃࠇᆀڿэ܄ඳ֥ྐ༏ߌbStoll(2000)ࡼֻ༏ଉ҈(ཟ࿊ᄴ֥ᄹࡆ)ބࢌၞࠃଉ҈(ࢌၞࠃ֥ࢆ၂ᇕࠏᇅӫູoᆇൌଉ҈ིႋpaࡼֻؽᇕࠏᇅӫູoྐ༏֮)bੀྟ֥նཬᆰࢤ႕ཙ֞ࢌၞ֥ӮЧ,ၹՎ߶႕ཙଉ҈ིႋp[3]boᆇൌଉ҈pФקၬູੀྟิ܂ݖӱᇏoൌྐ༏ࢌၞᆀ֥ҕაa႕ཙྐ༏ವೆ֞ܢௐࡎ֥۬ݖӱ,ቋ࠽ሧჷ֥ݻٮp,္ӫູࢌၞࠃࡌඪboྐ༏ଉ҈pّ႘ਔᇔ႕ཙ֞ܢࡎ֥ྐ༏ིੱb෮ၛ,ᄝଖᇕၩၬഈ,ੀྟ٤ᆩ౦ᆀᄝაᆩ౦ᆀࢌၞൈູх૧ྐ༏҂ؓӫᄯӮ֥మь൞൧ӆ֥၂్bᄝാaສສҐ౼ཟ࿊ᄴ,ᄹࡆࡎҵaࢆ֮Бࡎധ؇֥ٚପહ,હॖၛ႕ཙܢௐੀྟ?ೂޅิۚܢௐੀم,ၹՎࢆ֮ਔܢௐ֥ੀྟ,္ӫູཟ࿊ᄴࡌඪbCao,ྟ?၂ٚ૫,ܥಖॖၛՖ൧ӆᇅ؇ೆ൭,২ೂቋཬБࡎֆFieldބHanka(2004)ࢹᇹႿIPO෭ק௹ཋٳљ࣮ਔᆇ໊֥ഡᇂa൧ӆ֥ো(ᆷ౺ߎ൞Бࡎ౺)֩;ਸ਼၂ൌଉ҈ིႋބྐ༏ଉ҈ིႋ[4]bᄝIPO෭ק௹ડު,Ⴕ۷ٚ૫,ܢ൧֥ࡲूؿᅚ۷౼थႿഈ൧܄ඳ֥ᇉਈ,܄ඳ֥؟֥ᆩ౦ᆀࣉೆ൧ӆ,ࢌၞࠃཁᇷᄹࡆ,ઙછࡎҵࠧඋྟหᆘ္߶႕ཙ֞ܢௐࢌၞ֥ੀྟ,২ೂܢಃࢲܒbੀྟѩໃཁᇷэ߄,ᆃၩሢᆇൌଉ҈֥ࢆַ֮ཨਔྐᄝ܄ඳࣁವ࿐ᇏ,ܢಃࢲܒФಪູ൞܄ඳᇍ֥ނ༏ଉ҈֥ᄹࡆbݓຓགྷႵ࣮໓ང္іૼ,҂ো֥ܢྏ,္൞႕ཙഈ൧܄ඳ൧ӆіགྷ֥ᇗေၹ,෮ၛ࿐ᆀૌתӻܢؓྐ༏ིႋބࢌၞࠃ֥႕ཙթᄝҵၳbSarin֩Ⴍఃᇗ൪ܢಃࢲܒ֥࣮,২ೂ,ܢಃࢲܒؓ܄ඳࡎᆴa܄(2000)ᆷԛۚܵӻܢބࠏܒӻܢᄀۚ,ᄵ൧ӆੀྟᄀඳथҦ֥႕ཙb୍࣍ট,ෛሢ൧ӆັܴࢲܒં֥࣮ಣҵ[5]bHeflinބShaw(2000)ؿགྷ॥ᇅದܢಃб২ᄀۚaઙׄᇯࡶറೆ֞܄ඳࣁವਵთ,ၘႵ࿐ᆀࠎႿ൧ӆັܴࢲܒછࡎҵᄀնaБࡎധ؇ᄀ֮aཟ࿊ᄴӮЧࡆն,ၹՎੀંषฐษܢಃࢲܒؓܢௐཟ࿊ᄴaࢌၞࠃࣉطؓྟࢆ֮[6]bRubin(2007)ؿགྷ,ཌྷؓႿଽ҆ܢಃ,ࠏܒӻܢX൬۠ರ௹:2012-03-27;ྩרರ௹:2012-06-06ࠎࣁཛଢ:ଲࣘྐ༏۽ӱն࿐ದ໓ഠ߶॓࿐࣮ཛଢ(SK20090165);࢝ტ҆ದ໓ഠ߶॓࿐࣮ཛଢ(09YJC630130);܄ၭྟྛြ(గའ)॓ህཛ(GYHY201106019)ቔᆀࡥࢺ:ԥཬम(1976-),ଳ,νߪ๚Ӭದ,Ѱൖ,ଲࣘྐ༏۽ӱն࿐ࢃഽ,࣮ٚཟ:ࣁವ۽ӱ,܄ඳࣁವb
10༢``۽`ӱ``````````````````2012୍۷߶႕ཙੀྟ;ੀྟაࠏܒӻܢඣᆞཌྷܱaაࠏܒקၬэਈ;ֻ4ࢫູൌᆣٳ༅;ֻ5ࢫ൞ࢲંbӻܢࠢᇏ؇ڵཌྷܱ[7]bഈඍܢಃࢲܒؓੀྟ႕ཙ֥࣮ᇶေ൞ࠎႿᆰࢤ2 独特的中国上市公司ܢಃࢲܒ,ൌ࠽ഈ,LaPorta֩(1998,2000)ؿགྷൗࢸഈྸ股权结构及检验假说؟ഈ൧܄ඳ҂൞Ⴎ܄ඳֻ၂նܢת॥ᇅ,ط൞൳ᇔࠞܢת``Чൌᆣဒ֥ଢѓᄝႿᇏݓഈ൧܄ඳ֥ܢಃࢲܒ֥ؓ॥ᇅ[8i9]bᇔࠞܢת๙ݖࣁሳෳൔܢಃࢲܒ֩ࡆ఼ؓഈؽࠩ൧ӆੀྟӁളޅᇕ႕ཙ,ၛࠣଧུܢಃࢲܒหᆘэ൧܄ඳ֥॥ᇅbׅ֥ࣁሳෳൔӻܢࢲܒ߶֝ᇁᇔࠞܢתਈ൞ᇗေၹbა༆ٚؿղݓࡅ҂,ᇏݓࣜ࠶ԩႿoྍ֥གྷࣁੀಃބ॥ᇅಃ֥҂၂ᇁ,ᆃᇕӑح॥ᇅಃ֥թᄝॖྖࡆሇ݅pࢨ؍bܢௐ൧ӆࡹ৫֥ൈࡗࣇ20୍,ᄝԷ৫Ԛି߶֝ᇁ॥ܢܢתݝᇏཬܢתطሔሱദ০ၭbູਔൌ௹ऎႵૼཁ֥ྛᆟґ,၂ུದູ֥ᇅ؇νஆ֤ഈ൧܄ീሱ০֥࠹߃,॥ܢܢת߶Ґ౼ߏྐ༏aࡨഒඳܢಃࢲܒऎႵљႿః൧ӆ֥ཁᇷหᆘb൮༵,॥ᇅଽಸ֥ٚൔቅθఃܢתྐ༏ࠆ౼(FanބWong,2002;ಃۚ؇ࠢᇏaࣁሳෳൔӻܢࢲܒ൞ᇏݓAܢഈ൧܄ඳ֥ChauބGray0i11],2002[1),ҵ֥ྐ༏ބ܄ඳᇍсಖׅหᆘ;ఃՑ,ܢಃٳᇂ൞ᇏݓᆣಊ൧ӆ֥หႵӁ,ѩ߶ࡆᇗྐ༏҂ؓӫ໙ี](Chung֩,2010[12)b෮ၛᄝ࣮Фܼٗಪູቅθਔᆣಊ൧ӆ֥ؿᅚ;ֻ۱หׄ൞ෙಖᇏܢಃࢲܒؓੀྟ֥႕ཙൈ,ᇔࠞܢת֥႕ཙ҂ॖޭ൪bݓၘࣜྙӮਔၛܢௐሧࠎࣁູᇶ֥؟ჭ߄ࠏܒሧᆀAttig֩(2006)ၹՎิԛࡌഡ,॥ᇅಃބགྷࣁੀಃ֥ொؒ,ఃሧྛູaሧഈߎીႵປಆӮඃ,Ⴍః൞ᄀնaᇔࠞ॥ᇅᆀႵᄀ؟֥ሱ০ྛູ,Ⴈࡆଦն֥ဢЧᄝ॥ᇅದႚႵधؓႪ൝Мࣟ༯,ࠏܒሧᆀ֥ᇍቔႨིൌᆣဒ֥ࢲݔᆣൌਔ॥ᇅಃބགྷࣁੀಃ֥ொᄀն,ྐݔߎ҂֤طᆩb෮ၛ,ၛ༯หљབྷ༥ٳ༅ᇏݓᆣಊ൧ӆ֥༏҂ؓӫᄀᇗaઙછࡎҵ۷ն[13]bഈ൧܄ඳܢಃࢲܒหׄaѩऌՎิԛཌྷႋဒࡌഡbᄝݓଽ,ၛࣁವ൧ӆັܴࢲܒ൪࢘ؓܢಃࢲܒࣉྛֻ၂,॥ᇅಃۚ؇ࠢᇏbֻ၂նܢת๙ӈႚႵഈ൧܄࣮֥൝ᆞᄝྖఏ(౹໓ᇝ֩,2011[14]),࣮ؓྐ༏҂ඳ֥धؓ॥ᇅಃ,ఃܢת֥ܢಃᇅޙቔႨັbႚႵؓӫaੀྟ႕ཙ֥ܢಃэਈᇶေЇওܢಃࠢᇏ؇(࣡50%ၛഈधؓ॥ܢٺح֥ܢת൞܄ඳ֥धؓ॥ܢܢת,ሱބဗຣ,2008;โթᆽބݚफ,2011[15-16])aଽ҆ದܢඋၐb҂ᅝधؓ॥ܢٺحֻ֥၂նܢת,ೂఃӻܢбಃ(࣡ބဗຣ,2008;โթᆽބݚफ,2011;ሀᄎݚ২ཌྷؓႿఃܢתႭః൞ֻؽնܢתԩႿૼཁႪ൝,ط2011;โթᆽބྍԽ5-18],2010[1)aࠏܒܢಃ(࣡ބဗఃܢתթᄝุࠢྛ֥֥߅,ପહ,ھֻ၂նܢתຣ,2008;โթᆽބྍԽ,2010[15,18])֩,ࢲંಏѩ҂ᄝ܄ඳᇏ္ဢି౼֤ཌྷؓ॥ܢֹ໊bਸ਼ຓ,ൌ࠽॥ܢܢ၂ᇁ,മᇀ൞ປಆཌྷّbӧߩ֩(2011)ࠎႿᇔࠞ॥ᇅದਆת҂ࣇ๙ݖֻ၂նܢת॥ᇅഈ൧܄ඳ,္ॖିҐႨ؟৽॥ಃٳ࣮ਔఃაੀྟ֥ܱ༢,࣮ࢲݔіૼਆಃٳᇅ֥ٚൔ۷ࣉ၂҄ࡆ఼ؓഈ൧܄ඳ֥॥ᇅb؇ᄀۚ,ᄵܢௐੀྟᄀ֮[19]b౹໓ᇝ֩(2011)ؿགྷܢಃᇔࠞ॥ܢܢתູਔЌӻ܄ඳ֥॥ᇅಃ,ສສࠎႿᅞࢲܒэਈᄝ2004୍ᇶေቔႨႿྐ༏ӮЧট႕ཙੀྟ,طྟӻܢ,෮ၛᄝؽࠩ൧ӆ֥ࢌၞࠃཌྷؓࢠഒ,ପહࢌၞ2007୍ᄵᇶေ๙ݖڿэࢌၞӮЧট႕ཙੀྟ[14]bࠃ֥ࢆ֮ࡼ߶ᄹࡆᆇൌଉ҈ӮЧaࢆ֮ੀྟbఃՑ,ሹ֥ुট,࿐ᆀૌؓܢಃࢲܒؓੀྟ႕ཙིႋࣉྛᇔࠞ॥ܢܢתູਔࠆ౼॥ᇅಃႵ০ၭൈ,෮၇ঠ֥൞ఃਔሜႵӮི֥࣮,္Ⴕॖ࿃ฐ෬ॢࡗ:൮༵,ᆌؓ෮ႚႵ֥ӑ఼॥ᇅಃ,طෛሢ॥ᇅಃб২֥ഈശॖି֝ᇏݓഈ൧܄ඳ֥ൌᆣဒࢲંթᄝࢠնҵၳ,ഉླࣉ၂҄ᇁ۷ն֥a۷ູᇗ֥ᅝྛູ,ݝᇏཬܢת֥০ၭ,ၹဒᆣ;ఃՑ,նࠎႿᆰࢤܢಃࢲܒ,҂ॉ੮ᇔࠞ॥ܢܢՎܢௐࢌၞ֥ཟ࿊ᄴӮٳࡆն,ੀྟࢆ֮bת֥႕ཙ,૧߶Ⴕാொbֻ,Ԣਔ౹໓ᇝ֩ٳљࡌඪ၂(a):ᇔࠞ॥ܢܢת֥॥ᇅಃб২ᄀۚaྐ༏҂ဒਔ҂ࠏᇅຓ,ఃໃടࠣ,ط്љؓੀྟ႕ཙ֥ؓӫᄀᇗaࢌၞᄀ҂ࠃᄁ,ၹՎᇔࠞ॥ܢܢת֥॥ᇅಃਆᇕࠏᇅ൞ٳсေ֥bၹູᆇൌଉ҈߶֝ᇁࢠ֥֮ࡎб২აܢௐੀྟӮّбb۬ބࢠ֥ۚ൬ၭၛҀӊᆇൌࢌၞӮЧ,෮ၛაሧӁקࡎࣅਸ਼ຓ,ᇏݓ֥مੰุ༢ߎ҂ປ,ીႵิ܂Ќຓ҆ૡཌྷܱ;طྐ༏ଉ҈ടࠣ֞ؓᇏཬሧᆀ֥Ќaࢌၞ֥ሧᆀ֥၂༢ਙሸކمੰمܿ,ીႵႵིൌീ܄ඳᇍࠇ܄ྟb൧ӆᄎྛ֥مੰܿٓ(Kato֩,2005[20])bࣼمੰᇅ؇ؓܢ෮ၛ,ᄝЧ໓ᇏࠎႿᇏݓܢௐ൧ӆ֥ൌa࣮ਔ܄ת֥Ќٚ૫টु,ંބLaPorta֩(1998)ဢЧᇏ֥ؿඳܢಃ(Їওᇔࠞ॥ᇅದ֥॥ᇅಃࠇӑح॥ᇅಃa॥ᇅದղݓࡅߎ൞ؿᅚᇏݓࡅཌྷб,ᇏݓ֥مੰᇅ؇ބᆳྛ৯؇֥ܢಃٳᇂࠣࢳ࣌aࠏܒӻܢ)ؓܢௐ൧ӆੀྟ֥႕ཙԩႿਜ൝(Allen֩,2005[21])bᄝሧᆀمੰЌ҂ࡲӱ؇ࠣ႕ཙࠏᇅbಆ֥ᇅ؇Мࣟ༯,॥ᇅಃބ෮Ⴕಃ֥ٳ߶ᄹ఼ቋᇔ॥ᇅЧ໓ଽಸνஆೂ༯:ֻ2ࢫษંᇏݓഈ൧܄ඳห֥ದؠຓ҆ሧᆀ֥ࠏbܢಃࢲܒѩऌՎิԛ࣮ࡌഡ;ֻ3ࢫ૭ඍ࣮֥ဢЧࠣࡌඪ၂(b):॥ᇅಃބ෮Ⴕಃ֥ٳ߶ࡆᇗྐ༏҂ؓ
ֻ11௹```````````ԥཬम:ܢಃࢲܒؓཟ࿊ᄴaࢌၞࠃ֥႕ཙ11ӫaࡨഒܢௐࢌၞࠃ,ၹՎ,॥ᇅಃބ෮Ⴕಃ֥ٳაੀႵᇹႿࢆ֮սӮЧ,ิۚ܄ඳࡎᆴ,ՖطิۚܢௐੀྟӮّбbྟbᇏݓሧЧ൧ӆߎԩႿoྍྖࡆሇ݅p֥ࢨ؍,ᄝᇅ؇ࡏֻؽ,ܢಃٳᇂbܢಃٳᇂ൞ᇏݓܢௐ൧ӆႵ֥གྷܒބ൧ӆࠎԤഈ,აӮඃ൧ӆݓࡅߎթᄝޓն֥ҵၳbෙའ,ᆷ֥൞ഈ൧܄ඳܢಃᄝؽࠩ൧ӆഈႵॖࢌၞ֥ੀ๙ܢಖࠏܒሧᆀᄝܿଆഈᄹӉࢠॹ,ሧྛູaሧބ҂ॖࢌၞ֥٤ੀ๙ܢbᄝᇏݓܢௐ൧ӆ֏ളԚ௹,ᄝഠഈߎીႵປಆӮඃ,Ⴍః൞ᄝ॥ᇅದႚႵधؓႪ൝Мࣟ߶ᇶၬ൧ӆࣜ࠶֥۲ཛᇅ؇ഉ҂Ӯඃ֥౦ঃ༯,ႄࣉܢ༯,ࠏܒሧᆀ֥৯ਈߎ҂ቀၛႵིᇅޙaࡓ॥ᇅದྛٺࣜ࠶ؿᅚሧЧ൧ӆ,ఒြหљ൞ݓႵఒြିܔᆰࢤವູ;෮ၛᄝمႵིࡓ֥౦ঃ༯,ࠏܒሧᆀթᄝა॥ሧ,ႻေЌᆣഠ߶ᇶၬ܄Ⴕᇅ֥ࠎԤֹ໊,෮ၛ֒Ԛ࿊ᇅದaܵҪކଔ֥ॖି,ཌྷؓႿᇏཬሧᆀط,ࠏܒӻᄴਔܢಃٳᇂ֥ٚൔb൞֝ᇁഈ൧܄ඳ॥ᇅದބᇏཬܢႚႵྐ༏Ⴊ൝,ّط߶ࡆखྐ༏҂ؓӫ,ࢆ֮ܢௐੀܢתᆭࡗ֥০ၭࠎԤ҂၂ᇁ,ᇁܱ৳ࢌၞ֩॥ᇅದᅝྟbᇏཬܢת০ၭ֥ྛູӮູ၂ᆰಠᇏݓሧЧ൧ӆؿᅚ֥ࡌඪ:ࠏܒӻܢб২֥ᄹࡆ߶ࡆखྐ༏҂ؓӫ,აี(ᄹಅ֩,2004[22])bၹູܢಃٳᇂ֥թᄝ,॥ᇅದੀྟӮّбbم๙ݖؽࠩ൧ӆэགྷ,ᄝ٤ੀ๙֥ݓႵܢᅝऌधؓ॥ܢֹ໊aطੀ๙ܢܢתીႵؿಃ౦ঃ༯,ၞӁളྐ༏҂ؓ3 样本描述与变量定义ӫ,҂০Ⴟ་ႄ۷؟֥ሧᆀࣉೆ൧ӆbၹՎิԛࡌഡ:`ဢЧაэਈקၬࡌඪؽ(a):ੀ๙ܢб২ᄀ֮aྐ༏҂ؓӫᄀᇗaࢌЧ໓ҐႨ֥ܢௐဢЧູ2007j2009୍ധᎪܢௐࢌၞၞᄀ҂ࠃᄁ,ၹՎੀ๙ܢб২აੀྟӮᆞбb෮ഈ൧֥ಆ҆ᇶϰഈ൧܄ඳ֥૫ϰඔऌbࡎҵඔऌᇶေࣜݖؽ؟୍֥ؿᅚ,ܢಃٳᇂၘૼཁ҂ൡႋᇏݓሧটჷႿധᎪݓν܄ඳ֥ۚࢌၞඔऌ९b൮༵ؓܢௐЧ൧ӆ֥ؿᅚ,20ൗࡀ90୍սଌ,ᇏနᆟکषᇗ൪ѩथࠣჰඔऌቔೂ༯ყԩ:(1)ัԢ୍ࢌၞ҂ቀ200฿֥ܢྏࢳथᆃ၂໙ี,ಖطభՑӇ൫नۡാϧ,ᆃՑ֥ܢಃௐ;(2)҂Їওᄝૄರཋקࢌၞൈࡗ(ࠧ9÷30j11÷30ބ13÷ٳᇂڿ۪Ֆ2005୍षᇯ҄ൌྛ,ཋ൲ܢࢳ࣌གྷའෛުᄝ00j15÷00)ၛຓ֥ඔऌ࠺;(3)ԢӮࢌਈaӮࢌࡎࠣઙ2006୍ԛགྷ,ѩ၂ᆰ࿃ᇀࣂbՖൌ࠽ིݔটु,၂ٚ૫,છБࡎ٤ᆞ֥ඔऌ࠺;(4)Ԣഈ൧܄ඳ॥ᇅದඔऌ९ܢಃٳᇂڿ۪ࠆ֤ਔӮۿ,ၹູࢳथਔᇏݓሧЧ൧ӆ၂ᆰᇏൌ࠽॥ᇅದ֥܄ඳbቋު֤֞428ࡅഈ൧܄ඳ૫ϰඔթᄝ֥ቋնр؊,҂ܵ൞ᄝંࢸߎ൞ܢௐൌᇏ,֤ऌဢЧb֞ਔ၂ᇁ֥ड़ק,ᄹ఼ਔ൧ӆ֥ࠃ৯,ၛສܢתᆭࡗ֥ྐ۴ऌOnH3]ara(1995)֥ੀྟקၬ[2,ઙછࡎҵ൞ؓ༏҂ؓӫགྷའ֤֞ڿbਸ਼၂ٚ૫,ջটਔնཬ٤ࢳ࣌ؓቓ൧അิ܂ࠧൈྟڛༀ෮ڱԛ֥Ҁӊ,սіሢ৫ࠧປӮࢌ൧ӆԊࠌ֥ऍն৯bऌгᆀ࠹,2007୍1ᄅᇀ2009୍12ၞ෮ླ֥ӮЧ,ၹՎ൞ቋᇗေ֥ੀྟᆷѓᆭ၂,ѩФܼᄅ௹ࡗႵնཬ٤4825ၡܢᇯ҄ࢳ࣌bෙಖܢٺࢳ࣌ᄹࡆਔٗႨbઙછࡎҵᇶေЇওቓ൧അ֥թࠊӮЧaᆷԩܢௐ܂۳,ᆃაIPOཋ൲ܢࢳ࣌Ⴕཌྷරᆭԩ,ؓ൧ӆഈӮЧၛࠣॖିაᆩ౦ᆀࢌၞ֥ཟ࿊ᄴӮЧbෙಖઙછ֥ሧᆀটඪ,ཋ൲ܢࢳ֥࣌ྐ༏ᄝܢڿٚσᇏၘࣜิభࡎҵቋԚটሱႿቓ൧അ൧ӆ,ؓႿᆷ౺ࢌၞ൧ӆඪૼbაIPOཋ൲ܢٺੀ๙֥ྐ༏၂ဢ,Ֆ൙ࡱؿളರট္ဢّ႘ਔࢌၞӮЧ֥ۀbၹູᄝᆷ౺൧ӆु,උႿൎ܄षྐ༏,ೂݔ൧ӆ൞Ⴕི֥,ପહܢٺഈ,ੀྟႮཋࡎກֆथק,ໃӮࢌ֥ቋۚઙࡎބቋ֮ࢳ࣌ರࣼ҂߶ᄹࡆྐ༏҂ؓӫӮٳbછࡎᆭࡗྙӮઙછࡎҵ,ఃᆴᄀཬ,ࢌၞචٚ෮ିࢤ൳֥ࡌඪؽ(b):ཋ൲ܢ֥ࢳ࣌҂߶ؓܢௐࢌၞᄯӮྐ༏ቋႪࡎ۬ࣼᄀࢤ࣍,ࢌၞປӮ֥؇ࣼᄀॹ,൧ӆ֥ੀ҂ؓӫ֥ڵ૫႕ཙ,ཋ൲ܢ֥ࢳ࣌ᄹࡆਔࢌၞࠃ,ࠃྟ္ࣼᄀݺb෮ၛᄝᆷ౺൧ӆ,ઙછࡎҵ္๙ӈႨᄁਔ൧ӆࢌၞ,ၹՎ,ཋ൲ܢ֥ࢳ࣌Ⴕ০Ⴟᄹ఼ܢௐࢌၞቔੀྟ֥؇ਈᆷѓb֥ੀྟbෙಖઙછБࡎࡎҵᄝޙਈࢌၞӮЧٚ૫٤ӈᆰࢤaࡥֻ,Ֆࠏܒሧᆀु,ᇏݓၘࣜྙӮਔၛܢௐሧь,ಖط္թᄝૼཁ֥अཋྟ,Ⴕིࡎҵॖᄝ၂קӱ؇ഈࠎࣁູᇶ֥؟ჭ߄ࠏܒሧᆀؒbࢩᇀ2010୍11ᄅָ,क़ڛઙછБࡎࡎҵ҂ିّ႘רֆᄝБࡎࡎҵᆭຓބᆭଽࠏܒሧᆀӻܢ൧ᆴᅝಆ҆Aܢੀ๙൧ᆴ֥70%.෮ၛ,Ӯࢌ֥౦ঃ,ၹطॖႨটޙਈרֆࡎ֥۬ڿ,ࠧൌ࠽ᆳᄝ࣮ܢௐ֥ࡎ۬ྙӮaྐ༏ঔൈ,ࠏܒሧᆀ֥ӻܢྛӮЧbࠎႿՎ,Ч໓ٳљၛБࡎࡎҵބႵིࡎҵটޙਈ൞၂۱҂ॖࠇಌ֥ၹb൞,ࠏܒሧᆀ֥ॹؿᅚିੀྟbࡎҵᄀնaܢௐࢌၞ֥ੀྟᄀ֮bܢௐ୍؇ੀڎ఼߄ഈ൧܄ඳຓ҆ᇍࠏᇅ?Ֆؿղ൧ӆ֥ൌࣜဒটྟၛ۲ࢌၞರࡎҵ֥नඔ؇ਈ;܄ඳ֥ࢌၞࠃၛु,ཌྷؓႿᇏཬሧᆀটඪ,ࠏܒሧᆀႚႵྦި֥ሧࣁ,ߐ൭ੱ؇ਈ;ྐ༏ଉ҈ིႋၛGlostenބHarris(1988)֥ᄝሧथҦᄎቔaྐ༏ෆࠢٳ༅aഈ൧܄ඳ࣮֩ٚطႚཟ࿊ᄴӮٳ؇ਈ[24]bႵႪ൝,ၹՎಪູࠏܒሧᆀؓ܄ඳᇍऎႵࡓቔႨ,ᇔࠞ॥ܢܢת֥॥ᇅಃႻФӫູௐಃ,֩Ⴟ॥ᇅ৽
12༢``۽`ӱ``````````````````2012୍่ഈቋ༯؊aቋࢤ࣍ഈ൧܄ඳପ၂Ҫ֥෮Ⴕಃbᇔࠞ॥ܢॖ֤ྟ,࿊ᄴࠎࣁӻܢᅝሹܢЧ֥б২սіࠏܒሧᆀӻܢת֥෮ႵಃႻФӫູགྷࣁੀಃ,֩Ⴟ॥ᇅ৽่ഈ۲෮Ⴕܢbܢಃٳᇂэਈٳљ࿊ᄴੀ๙ܢб২ބ٤ੀ๙ܢࢳ࣌ಃб২֥Ӱࠒbቋᇔ॥ᇅದ॥ᇅಃބ෮ႵಃᆭҵູࠧӑܿଆᅝሹܢЧ֥б২(ࢳ࣌ၩሢܢಃٳᇂགྷའ֥ᇯ҄ཨح॥ᇅಃ(္ӫູٳӱ؇)bԢ)bఃჅ॥ᇅэਈٳљ࿊ᄴܢௐܿଆa൬൧ࡎ۬ၛࠣܢௐၹູᄝࠏܒሧᆀᇏ,ࠎࣁᅝᇶุ,෮ၛ۴ऌඔऌ֥൬ၭbэਈژݼקၬೂі1bі1`эਈקၬэਈӫэਈژݼඪ``````ૼБࡎࡎҵQSPa-Pb,Paіൕછ၂Бࡎ,Pbіൕઙ၂БࡎႵིࡎҵES2ûP-(Pa-Pb)/2û,PіൕӮࢌࡎ۬ཟ࿊ᄴӮٳб২GHҕᅶGlostenބHarris(1988)֥ཟ࿊ᄴଆ࠹ෘࢌၞࠃT୍ӮࢌਈაሹܢЧᆭб॥ᇅಃ%CONTROL॥ᇅ৽่ഈቋ༯؊aࢤ࣍ഈ൧܄ඳପ၂Ҫ֥෮Ⴕಃӑح॥ᇅಃ%ECON॥ᇅಃބ෮Ⴕಃᆭҵੀ๙ܢб২%Traੀ๙ܢᅝሹܢЧᆭбཋ൲ܢࢳ࣌б২%EXPIRATION୍ࢳ֥࣌ཋ൲ܢᅝሹܢЧб২ࠏܒሧᆀ%IO୍ଌࠎࣁӻܢᅝሹܢЧб২ࡎ۬P൬൧ࡎ۬൬ၭRܢௐ୍൬ၭܢௐሹܿଆSize୍ଌܢௐሹ൧ᆴ`ဢЧ࠹૭ඍᆷѓбࢠࢤ࣍;۷ࣉ၂ֹ҄,Ֆ۱ܢ֥3୍࠹ࢲݔটु,і2۳ԛਔ࣮эਈ֥࠹ྟ૭ඍࢲݔbᄝဢЧ௹ଽ,മᇀ192ࡅ܄ඳ(ᅝ45%)॥ᇅಃᄝ୍ဢЧ௹ଽીႵޅБࡎࡎҵaႵིࡎҵनඔູ,ቋնᆴղ֞0.э߄bࠎࣁӻܢनູ%,ቋնࠎࣁӻܢކ࠹ᅝ܄211();۴ऌGH(1988)ଆ࠹ෘ֤֥֞ཟ࿊ᄴӮඳሹܢЧ%,ቋཬູ֥0,ఃᇏ,107ࡅ(ᅝ25%)܄ඳٳनᅝࡎҵ֥%;ߐ൭ੱनູ%.॥ᇅಃܢௐᄝဢЧ௹৵࿃୍ଽીႵޅ၂ࡅࠎࣁӻႵbੀ๙ܢބӑح॥ᇅಃ֥नඔٳљູ%ބ%,ቋնб২नູ%,ੀ๙б২ቋ֥֮ࣇႵ%(2007୍ᆴٳљູ%ބ%,॥ᇅಃቋཬб২ࣇݓჭᆣಊp)bࢳ࣌ܢٺᅝሹܢЧ֥नᆴູ%,୍؇47%;ӑح॥ᇅಃ֥ᇏ໊ඔູ0,թᄝӑح॥ᇅ֥܄ඳᅝࢳ࣌ܿଆቋն֥ղ֞ሹܢЧ֥80%(2009୍o၂చ༱০p)%.Ֆٳ୍؇࠹টु,॥ᇅಃބӑح॥ᇅಃ֥࠹і2`эਈ֥࠹૭ඍQSESGHTCONTROL%ECON%IO%EXPIRATION%PRSizeTra%++++ѓሙҵ+
ֻ11௹```````````ԥཬम:ܢಃࢲܒؓཟ࿊ᄴaࢌၞࠃ֥႕ཙ13``Ֆі3ཌྷܱ༢ඔु,ࢳэਈೂ॥ᇅಃaӑح॥ᇅಃaᇅಃaӑح॥ᇅಃaၛࠣࠎࣁӻܢაࡎҵᆞཌྷܱaაੀྟࢳ࣌ܿଆaੀ๙ܢб২ၛࠣࠎࣁӻܢनაੀྟᆷѓQSaӮّб;ࢳ࣌ܿଆaੀ๙ܢб২აࡎҵڵཌྷܱaაੀྟESၛࠣཟ࿊ᄴӮٳGHaߐ൭ੱTۚ؇ཁᇷཌྷܱb॥Ӯᆞбbі3`ཌྷܱ༢ඔཌྷܱ༢ඔ**********************************************************************************************************************************************ᇿ:***a**ބ*ٳљіൕᄝ1%a5%ބ10%֥ඣ༯ཌྷܱ༢ඔཁᇷྟb4 实证分析॥ᇅಃၛဒࡌඪ၂֥ੀྟིႋ,սіൌ࠽॥ᇅದ֥॥ᇅಃࠇӑح॥ᇅಃؓੀྟ֥႕ཙbࢳэਈX2սіܢ4ಃٳᇂэਈ,ٳљၛੀ๙ܢб২ࠇཋ൲ܢࢳ࣌ܿଆቔູ؇.1`ܢಃэਈ֥ੀྟིႋiiֆٚӱ؟эਈ݂߭ਈᆷѓ,ဒࡌඪؽ֥ੀྟིႋbࠏܒܢಃ֥ੀྟི൮༵ႋࠧࡌඪ๙ݖଆᇏ֥ࠎࣁӻܢб২IOဒb۴ऌభ,Ⴈೂ༯؟эਈ݂߭ଆ:`໓ࡌඪ֥ٳ༅,ყ௹॥ᇅಃބӑح॥ᇅಃ֥༢ඔູᆞ,ੀlog(Liquidity)it๙ܢб২ބཋ൲ܢࢳ࣌ܿଆ֥༢ඔູڵ,ࠎࣁӻܢб২֥=B0+B1X1it+B2X2it+B3IOit+B4Rit(1)`༢ඔູᆞb+B5Pit+B6log(Size)it+Eit``Фࢳэਈၛ൬ၭRaࡎ۬Pބܿଆؓඔlog(Size)ቔູ॥ᇅэlog(Liquidity)սіੀྟ,ၛБࡎࡎҵࠇႵིࡎҵ֥ؓඔ؇ਈbࢳэਈਈb؟эਈ݂߭ࢲݔі4bX1іൕ॥ᇅಃࠇӑحі4`ESބQS֥؟эਈ݂߭ࢲݔlog(ES)log(ES)log(QS)log(QS)()()()()()()()()
14༢``۽`ӱ``````````````````2012୍()()()()()()()()()()()()(Size)()()()()()()()()````````ᇿ:ওݼ֥ඔіൕэਈ༢ඔtဒ֥ཁᇷྟۀੱb``і4ཁൕ,෮Ⴕࢳэਈؓࡎҵ֥႕ཙაყ௹൞၂ᇁࡎҵཁᇷڵཌྷܱ,ࠧ൬ၭ֥ᄹࡆ߶ิۚܢௐࢌၞ֥ੀ֥bᄝ॥ᇅཌྷܱэਈު,҂ંੀྟᆷѓ൞Бࡎࡎҵߎ൞ྟbႵིࡎҵ,॥ᇅಃб২CONTROLaੀ๙ܢб২Traaཋ`ܢಃэਈ֥႕ཙࠏᇅ൲ܢࢳ࣌ܿଆᅝሹܢЧб২EXPIRATIONनᄝ1%֥iiൌ࠽ଉ҈ߎ൞ྐ༏ଉ҈?ཁᇷྟඣ༯ۚ؇ཁᇷb॥ᇅಃэਈ༢ඔູᆞ(ࣉ၂ֹ҄,๙ݖၛ༯ٚӱট࣮ഈඍ۲ࢳэਈؓੀ),ඪૼ॥ᇅಃб২ᄀۚ,ܢௐࢌၞ֥ࡎҵᄀնaੀྟ႕ཙ֥ࠏᇅ,ࠧ൞႕ཙྐ༏ଉ҈ིႋߎ൞ൌ࠽ଉ҈ིྟᄀb൞ࡎҵაܢಃٳᇂэਈڵཌྷܱ,ၹູੀ๙ܢႋ,ߎ൞ؽᆀ࡙Ⴕbб২ᄀۚ,ࠧ٤ੀ๙ܢб২ᄀ֮,ࡎҵᄀཬ,ඪૼੀྟᄀ`log(GH)itۚbܢಃٳᇂ֥ڿ۪֤ܢௐੀྟᄹ఼,֒Фࢳэਈ=B0+B1X1it+B2X2it+B3IOit+B4Rit(2)൞log(ES)(ࠇlog(QS))ൈ,ࢳ࣌б২֥༢ඔູ`+B5Pit+B6log(Size)it+Eit(ࠇ)bӑح॥ᇅಃ༢ඔٳљູ,ᄝ`log(T)it10%֥ཁᇷྟඣ༯აႵིࡎҵཁᇷᆞཌྷܱaᄝ5%֥ཁ=B7+B8X1it+B9X2it+B10IOit+B11Rit(3)ᇷྟඣ༯აБࡎࡎҵཁᇷᆞཌྷܱb෮ၛ,ӑح॥ᇅಃ֥`+B12Pit+B13log(shares)it+Eitթᄝࢆ֮ਔ൧ӆੀྟbൌᆣဒ֥ࢲݔᆣൌਔభ໓֥ࡌఃᇏ,log(GH)ބlog(T)ٳљіൕཟ࿊ᄴӮٳб২֥ؓഡ,ၹՎ,ݖٳࠢᇏ֥॥ᇅಃaӑح॥ᇅಃၛࠣܢಃٳᇂ֥ඔބߐ൭ੱ֥ؓඔbఃჅэਈקၬႿభ໓b֒ࢳэਈթᄝࢆ֮ਔ൧ӆ֥ੀྟ;ܢಃٳᇂڿ۪ᄹࡆਔܢௐ֥X1ູ॥ᇅಃൈ,༢ඔB1aB8սі॥ᇅಃ֥ྐ༏ଉ҈ིႋބੀྟbࢌၞࠃིႋaဒࡌඪ၂(a)֥႕ཙࠏᇅ;֒ࢳэਈෙಖRubin(2007[7])֥ࢲݔіૼ,ࠏܒӻܢඣაੀXྟᆞཌྷܱ,і1ູӑح॥ᇅಃൈ,༢ඔB1aB8սіӑح॥ᇅಃ֥ྐ༏ଉ4֥ࢲݔཁൕ,ᄝᇏݓAܢ൧ӆഈ,ࠏܒ҈ིႋބࢌၞࠃིႋaဒࡌඪ၂(ӻܢ֥ᄹࡆཁᇷֹࢆ֮ਔܢௐࢌၞ֥ੀྟ,ၹູb)֥႕ཙࠏᇅ;X2IO༢սіܢಃٳᇂэਈ,ٳљၛੀ๙ܢб২ࠇཋ൲ܢࢳ࣌ܿଆඔંᄝહ౦ঃ༯ᇔູᆞ,नᄝ1%֥ཁᇷྟඣቔູ؇ਈᆷѓ,༢ඔB2aB9սіܢಃٳᇂ֥႕ཙࠏᇅ,ࠧ༯ۚ؇ཁᇷbᆃ۱ࢲݔژކᇏݓགྷൌ,ၹູᄝᇏݓ,ࠏܒဒࡌඪؽ(a)ބ(b)ྐ༏ଉ҈ིႋބࢌၞࠃིႋ;༢ඔሧᆀഉ҂Ӯඃ,҂ऎСႵིࡓ॥ᇅದ่֥ࡱ,෮ၛࠏBܒሧᆀሇطა॥ᇅದaܵҪކଔӮູ၂۱ॖି࿊ᄴ3aB10սіࠏܒӻܢ֥ྐ༏ଉ҈ིႋބࢌၞࠃིႋbᄝ,ଆ(3)ᇏ,॥ᇅэਈીႵႨሹ൧ᆴܿଆэਈsize,طࠧીႵؿߨຓ҆ᇍིႋ,ၹՎቔູྐ༏Ⴊ൝ႚႵᆀ,҂Ⴈੀ๙ࣇીႵᄹࡆaّط൞ࢆ֮ਔܢௐੀྟbAܢሹ൧ᆴshares.ၹູᆺႵੀ๙ܢҌ߶ؓࢌၞ॥ᇅэਈ֥ژݼაགྷႵ࣮ࠎЧ၂ᇁ,২ೂ,ࡎ۬ᄀࠃӁള႕ཙbֆٚӱ݂߭ࢲݔਙႿі5b֥ۚܢௐੀྟᄀҵ;ܿଆᄀնᄵੀྟᄀ఼;൬ၭ္ა
ֻ11௹```````````ԥཬम:ܢಃࢲܒؓཟ࿊ᄴaࢌၞࠃ֥႕ཙ15і5`ཟ࿊ᄴބࢌၞࠃ֥ֆٚӱ؟эਈ݂߭ࢲݔlog(GH)log(GH)log(T)log(T)()()()()`()()()()()()()()()()()()`()()()()(Size)()()(Shares)()()()()()()```````ᇿ:ওݼඔіൕэਈ༢ඔtဒ֥ཁᇷྟۀੱb``і5ࢲݔཁൕ,॥ᇅಃaӑح॥ᇅಃაཟ࿊ᄴӮܢಃٳᇂ֥թᄝ္֤ཟ࿊ᄴӮٳࡆնbੀ๙ܢٳۚ؇ཁᇷᆞཌྷܱ()bᆃіૼ॥ᇅಃaӑحб২აlog(GH)ཁᇷڵཌྷܱ,ཌྷܱ༢ඔູෛሢ॥ᇅಃ֥б২ᄀۚ,ྐ༏҂ؓӫᄀᇗ,ၹՎᄝذ߄֥ܢಃٳᇂڿ۪֥ࣉྛ,ࢳ࣌ܿଆ֥ᄹࡆ܄ඳܢௐࢲܒᇯྐ༏ߌ༯,ຓ҆ሧᆀҐ౼۷؟֥ཟ࿊ᄴၛЌሱࡶэ֤ކ,ྐ༏ߌ֤֞ڿ,ཟ࿊ᄴӮٳࢆ֮bޙਈ࠭bൈ,॥ᇅಃaӑح॥ᇅಃ္აࢌၞࠃཁᇷڵཌྷܱࢳ࣌ܿଆ֥эਈEXPIRATIONაlog(GH)֥ཌྷܱ༢ඔ(),ࠧෛሢ॥ᇅಃބӑح॥ᇅಃб২ູ֥,ۚ؇ཁᇷbਸ਼၂ٚ૫,ෛሢ٤ੀ๙ܢ֥ᇯഈശ,ࢌၞࠃᄀ҂ࠃᄁbᆃॖି၂ٚ૫൳ྐ༏ߌ֥႕҄ࢳ࣌,൧ӆ֥ࢌၞࠃ္ᇯࡶᄹࡆ,EXPIRATIONؓཙ,ਸ਼၂ٚ૫,ᇔࠞ॥ܢܢתູਔЌӻ܄ඳ֥॥ᇅಃ,ᄝؽlog(T)֥݂߭༢ඔູ,ဢ္൞ۚ؇ཁᇷbࠩ൧ӆ֥ࢌၞࠃཌྷؓࢠഒ,෮ၛ॥ᇅಃб২֥ᄹࡆ,ࠏܒ֥ӻܢაཟ࿊ᄴބࢌၞࠃनۚ؇ཁᇷཌྷܱb֤ࢌၞࠃࢆ֮,ᄹࡆᆇൌଉ҈ӮЧaࢆ֮ਔੀྟbՖაభඍࡌഡ၂ᇁ,ࠏܒ֥թᄝᇹႿڿྐ༏ߌ,ّطؽᆀ֥ؓбটु,ં൞ؓཟ࿊ᄴߎ൞ؓࢌၞࠃ֥႕൞ᄹࡆਔཟ࿊ᄴ;ൈ,ෛሢࠏܒӻܢб২֥ᄹࡆ္ᄯཙ,॥ᇅಃؓૌ֥႕ཙིႋ఼֥؇ေնႿӑح॥ᇅಃིӮࢌၞࠃ֥༯ࢆbၹູࠏܒӻܢᇛ௹ӉႿ௴๙֥bႋ(;),і4֥ࢲݔ္ሹᆭ,ൌᆣࢲݔაࡌඪཌྷ၂ᇁ,ܢಃࢲܒэਈ,ೂ॥ᇅཁൕ॥ᇅಃؓੀྟ႕ཙ֥ሸކིႋնႿӑح॥ᇅಃ(0.ಃaӑح॥ᇅಃaܢಃٳᇂၛࠣࠏܒӻܢन൞๙ݖྐ༏ଉ;)b҈ބࢌၞࠃଉ҈ਆᇕࠏᇅ႕ཙਔܢௐ֥ੀྟbᇔࠞ
16༢``۽`ӱ``````````````````2012୍॥ܢܢת֥॥ᇅಃб২a॥ᇅಃބ෮Ⴕಃ֥ٳӱ؇ᄀ2005୍a2006୍ປӮ֥(࠹ཁൕ,ࢩᇀ2006୍ָ,ധਆۚaੀ๙ܢб২ᄀ֮aࠏܒӻܢб২֥ᄹࡆ֤ྐ༏҂ؓ൧ၘປӮࠇࣉೆܢಃٳᇂڿ۪ӱ֥ഈ൧܄ඳ܋1301ࡅ,ӫᄀᇗaࢌၞᄀ҂ࠃᄁ,ၹՎੀྟࢆ֮bཋ൲ܢ֥ࢳᅝႋܢڿ֥97%),ࠧᄝဢЧ௹భၘࣜಒק,෮ၛ,ဢॖ࣌ᄹࡆਔࢌၞࠃ,ࠃᄁਔ൧ӆࢌၞ,ၹՎ,ཋ൲ܢ֥ࢳ࣌ၛࡼఃቔູຓളэਈԩb൞,ࠏܒሧᆀ֥ӻܢ,ა൧Ⴕ০Ⴟᄹ఼ܢௐࢌၞ֥ੀྟbӆ֥э߄ࣅૡཌྷܱ,ॖିऎႵଽളྟ,২ೂ,ࠏܒሧᆀऎ`ଽളྟა৳৫ྟႵoੀྟொݺp,ࠧொݺႿӻႵੀྟ఼֥ܢௐ;܄ඳ֥¹ٚӱ(1)ᇏࢳэਈ֥ଽളྟൌ࠽॥ᇅಃaӑح॥ᇅಃaܢಃٳᇂ֩ၹ္߶႕ཙࠏܒᄝᇏݓܢௐ൧ӆഈ,ᇔࠞ॥ܢܢת֥॥ᇅಃބӑح॥ሧᆀ֥ӻܢbູਔ॥ᇅࠏܒӻܢ֥ଽളྟaႨ2SLS.ᇅಃޓն၂҆ٳটሱႿ٤ੀ๙ܢ,طᄝဢЧ௹ଽ,ֻࠧ၂҄,ࡼࠏܒӻܢIOؓ෮Ⴕຓളэਈၛࠣੀྟᄝܢಃٳᇂڿ۪ު,॥ᇅದ֥٤ੀ๙ܢࠆ֤ਔੀ๙֥ಃэਈ֥ᇌުᆴቔ݂߭,֤֞ࠏܒӻܢ֥ܙ࠹ᆴdIO:০,ൌ࠽॥ᇅದࡨӻб২ཌྷؓႿః෮ႚႵ֥ٺحѩ҂`dIOitۚbਸ਼၂ٚ૫,Ֆඔऌु,ֆ۱܄ඳ֥ᇔࠞ॥ܢܢת֥॥ᇅ=D0+D1Econit-1+D2Conit-1+D3Tra1it-1+D4Exp2it-1ಃބӑح॥ᇅಃ֥э߄ޓཬaമᇀဢЧ௹ଽႵ192ࡅ܄ඳ`+D5Rit-1+D6Pit-1+D7log(Size)it-1+D8log(ES)it-1(ᅝ45%)a୍ଽીႵޅэ߄(ཌྷؓটࢃ,նཬ٤ࢳ࣌`+D9log(QS)it-1+Eitު,oཬ٤p֥ࡨӻಣ౦ࢠۚ),෮ၛॖၛಪູ,ᇔࠞ॥ܢܢ``ֻؽ҄,ࡼࠏܒӻܢ֥ܙ࠹ᆴdIOูսଆ(1)ᇏIOת֥॥ᇅಃބӑح॥ᇅಃ҂ऎႵଽളྟbਸ਼ຓ,ܢಃٳᇂᇗྍܙ࠹,ࢲݔೂі6b֥ྙӮ൞ൎჰၹᄯӮ֥,طܢಃٳᇂڿ۪ٚσᇶေ൞ᄝі6`ॉ੮ࠏܒӻܢଽളྟު֥؟эਈ݂߭log(ES)log(ES)log(QS)log(QS)()()()()()()()()()()()()()()()()()()()()(Size)()()()()()()()()```````ᇿ:ওݼ֥ඔіൕэਈ༢ඔtဒ֥ཁᇷྟۀੱb
ֻ11௹```````````ԥཬम:ܢಃࢲܒؓཟ࿊ᄴaࢌၞࠃ֥႕ཙ17``і6֥ࢲݔაі4ࠎЧ၂ᇁ,॥ᇅಃaӑح॥ᇅಃб২a`log(T)itࠏܒӻܢб২֥ᄹࡆ֝ᇁࡎҵᄹն;ੀ๙ܢб২ᄀۚaࢳ=B0+B1X1it+B2X2it+B3IOit+B4Rit+B5Pit࣌ܿଆ֥ᄹࡆࡎҵࡨཬb෮ၛ,ॉ੮ࠏܒӻܢଽളྟު,`+B6log(Shares)it+B7log(GH)it+Eit҂ڿэభඍࢲંb`log(GH)itºཟ࿊ᄴބࢌၞࠃ֥৳৫=B8+B9X1it+B10X2it+B11IOit+B12Rit+B13Pitᄝܙ࠹ଆ(2)a(3)ൈ,ႨਔֆٚӱOLSٚم,ી`+B14log(Size)it+B15log(T)it+Lit`````(4)Ⴕॉ੮ཟ࿊ᄴބࢌၞࠃ֥ཌྷ႕ཙbൌ࠽ഈ,ཟ``ֻ၂҄,ٳљႨlog(T)alog(GH)ؓ෮Ⴕ॥ᇅэਈᇌ࿊ᄴބࢌၞࠃᆭࡗॖିӁളཌྷ႕ཙ,ऎႵ௹ܱ༢bު၂௹݂֤߭֞log(T)alog(GH)֥ܙ࠹ᆴ;෮ၛᄝٚӱ(2)ᇏࡆೆlog(T)aᄝٚӱ(3)ᇏࡆೆlogֻؽ҄,ࡼlog(GH)alog(T)֥ܙ࠹ᆴٳљսೆଆ(GH)ࡹ৫৳৫ٚӱ(4)aႨ2SLSٚمটॉҳՎིႋ֥(4)ֻ֥1a2۱ٚӱ,ᄜႨֆٚӱ֥ٚمܙ࠹bܙ࠹ࢲݔ႕ཙb`ਙᄝі7ᇏbі7`ཟ࿊ᄴބࢌၞࠃ֥৳৫ٚӱܙ࠹ࢲݔlog(GH)log(GH)log(T)log(T)()()()()()()()()()()()()()()()()()()()()(Size)()()(T)()()(GH)()()(Shares)()()()()()()``````ᇿ:ওݼ֥ඔіൕэਈ༢ඔtဒ֥ཁᇷྟۀੱb
18༢``۽`ӱ``````````````````2012୍``і7֥ࢲݔཁൕ,॥ᇅಃaӑح॥ᇅಃaࠏܒӻܢა၇1479j514.ಖაཟ࿊ᄴᆞཌྷܱaაࢌၞࠃߐ൭ੱڵཌྷܱbੀ๙ܢ[4]`CaoC,FieldL,б২აཟ࿊ᄴڵཌྷܱaაࢌၞࠃߐ൭ੱᆞཌྷܱ,ᆃུimpairmarketliquidity?EvidencefromlockupࢲંႿі5bაі5҂֥൞,ࢳ࣌ܿଆэਈ༢ඔཁᇷྟexpirations[J].JournalofFinancialandQuantitativeඣิۚਔ,ೂݔၛ10%ቔູࢸཋ,ࠎЧഈߎॖၛಪູAnalysis,2004,39:25j46.ؓࢌၞࠃӁളཁᇷ႕ཙbෙಖEXPIRATIONؓlog[5]`SarinA,ShastriKA,(GH)֥༢ඔtဒཁᇷྟղ֞ਔ11%,༢ඔಯಖູڵstructureandstockmarketliquidity[Z].SantaClara(),෮ၛॖၛड़ק֥൞ࢳ࣌ѩીႵջটྐ༏ߌUniversity,2000.֥ذ߄aીႵᄹࡆཟ࿊ᄴӮٳb[6]`HeflinF,[J].JournalofFinancialand5 结论QuantitativeAnalysis,2000,35:621j633.ა༆ٚؿղݓࡅ҂,ᇏݓඋႿoྍྖࡆሇ݅pbܢௐ[7]`,ownershipconcentration൧ӆࡹ৫֥ൈࡗࣇ20୍,ᄝԷ৫Ԛ௹ऎႵૼཁ֥ྛᆟandliquidity[J].JournalofFinancialMarkets,2007,ґ,၂ུದູ֥ᇅ؇νஆ֤ഈ൧܄ඳܢಃࢲܒऎႵљ10:219j248.Ⴟః൧ӆ֥ཁᇷหᆘbЧ໓ҐႨᇏݓห֥ඔऌဢЧ,[8]`LaPortaR,Lopez-de-SilanesF,ShleiferA,Vishny๙ݖֆٚӱၛࠣ৳৫ٚӱ֥ྙൔ࣮ਔ܄ඳܢಃ(Їওᇔ[J].JournalofPoliticalࠞ॥ᇅದ֥॥ᇅಃࠇӑح॥ᇅಃaܢಃٳᇂaࠏܒӻܢ)ؓEconomy,1998,106:1113j1155.ܢௐ൧ӆੀྟ֥႕ཙb[9]`LaPortaR,Lopes-de-SilanesF,ShleiferA,Vishnyൌᆣࢲݔཁൕ,॥ᇅಃaӑح॥ᇅಃaࠏܒӻܢ֥ᄹࡆ[J].֝ᇁཟ࿊ᄴӮٳᄹࡆaࢌၞࠃࢆ֮,ੀྟࢆ֮bܢJournalofFinancialEconomics,2000,58:3j27.ಃٳᇂؓੀྟఏ֞ਔڵ૫႕ཙ,ੀ๙ܢб২ᄀۚaࢳ࣌[10]`FanJPH,ܿଆ֥ᄹࡆႵ০Ⴟࡨཬཟ࿊ᄴaطࢌၞႿࠃᄁ,ቋᇔstructureandtheinformativenessofaccounting֝ᇁࡎҵࡨཬaੀྟᄹ఼bൌᆣ֥ࢲݔაંٳ༅֥ࡌearninginEastAsia[J].JournalofAccountingandഡ൞၂ᇁ֥,ّ႘ਔᇏݓܢௐ൧ӆഈܢಃݖ؇ࠢᇏაห൹Economics,2002,35:401j425.֥oܢಃٳᇂpМࣟؓܢௐࢌၞੀྟ֥႕ཙ,Їওࢌၞࠃ[11]`ChauGK,ބྐ༏ߌbෛሢܢಃٳᇂڿ۪֥ധೆ,҂ᄜႵੀ๙ܢcorporatevoluntarydisclosureinHongKongandބ٤ੀ๙ܢᆭٳ,Ⴕ০Ⴟ॥ᇅದაఃܢת০ၭࠎԤླྀטSingapore[J].TheInternationalJournalof၂ᇁ;ൈ,॥ᇅದᄝؽࠩ൧ӆࡨӻܢٺ,ࢆ֮॥ᇅಃႻAccounting,2002,37:247j265.ႵᇹႿؿߨఃܢתᇅޙቔႨ,ࡨഒྐ༏҂ؓӫbࣼࠏܒ[12]`ChungD,:ሧᆀটඪ,ෙಖᄝܿଆഈᄹӉࢠॹ,ሧྛູaሧAlargesamplestudy[J].JournalofBanking&ഈߎીႵປಆӮඃ,Ⴍః൞ᄝ॥ᇅದႚႵधؓႪ൝МࣟFinance,2010,34:2346j2357.༯,ࠏܒሧᆀ֥৯ਈߎ҂ቀၛႵིᇅޙaࡓ॥ᇅದྛ[13]`AttigN,ູ;෮ၛᄝمႵིࡓ֥౦ঃ༯,ࠏܒሧᆀթᄝა॥informationasymmetryandstockliquidity[J].ᇅದaܵҪކଔ֥ॖି,ّط߶ࡆखྐ༏҂ؓӫ,ࢆ֮ਔJournalofBanking&Finance,2006,30:2875jܢௐੀྟbၹՎ,ࣉ၂҄ᆞಒܿٓބႄ֝ࠏܒሧᆀ֥2892.ؿᅚٳсေ,҂ࣇሔܿଆ֥ሐն,۷ေఃӮູຓ҆[14]`౹໓ᇝ,྆ᡊ,ۚं༵.ྐ༏҂ؓӫaੀྟაܢᇍࠏᇅ֥ނྏ৯ਈbಃࢲܒiiࠎႿധᎪᆣಊ൧ӆ֥ൌᆣ࣮[J].ଲҕॉ໓ངषܵં,2011,(1):44j53.:[15]`࣡,ဗຣ.৵࿃ࣩࡎ൧ӆ֥ܢಃࢲܒa٤ؓӫྐ[1]`BoltonP,,liquidityand༏აੀྟ[J].ࣜ࠶ܵ,2008,(8):[J].JournalofFinance,1998,53:1[16]`โթᆽ,ݚफ.ܢಃࢲܒބྐ༏٤ؓӫ:ᇏݓܢ൧j26.֥ࣜဒᆣऌ[J].ࣁವંაൌ,2011,(3).[2]`BrockmanP,[17]`ሀᄎݚ.ଽ҆ದࢌၞؓܢௐੀྟ႕ཙൌᆣ࣮activityandmarketliquidity[J].JournalofFinancial[J].ᇗ౩ն࿐࿐Б(ഠ߶॓࿐ϱ),2011,(2):66jandQuantitativeAnalysis,2009,44:.[3]`[J].JournalofFinance,2000,55:[18]`โթᆽ,ྍԽ.܄ඳܢಃބܵҪࠗৣؓྐ༏٤
ֻ11௹```````````ԥཬम:ܢಃࢲܒؓཟ࿊ᄴaࢌၞࠃ֥႕ཙ19ؓӫӱ؇֥႕ཙ࣮[J].ଲषܵં,2010,Economics,2005,77:57j116.(4):28j34.[22]`ᄹಅ,᫋,ᆽ.oภॢpა෮Ⴕಃνஆiiট[19]`ӧߩ֩.ᇔࠞ॥ᇅದਆಃٳa෮Ⴕಃྟᇉაܢௐሱݓഈ൧܄ඳ॥ᇅದሧࣁᅝႨ֥ࣜဒᆣऌ[J].ੀྟ[J].ܼתࣁವ࿐ჽ࿐Б,2011,(9):90j߶࠹࣮,2004,(12):.[23]`[M].[20]`KaotoT,,firmperformance,Cambridge,MA:BlackwellPublisherInc.,[24]`GlostenL,[R].SSRNWorkingPaper,-askspread[J].JournalofFinancial[21]`AllenE,QianJ,,finance,andEconomics,1988,21:[J].JournalofFinancialTheEffectofCorporateOwnershipStructureonAdverseSelectionandTradingActivitiesiTheViewpointofLiquidityCHUXiao-jun(NanjingUniversityofInformationScience&Technology,Nanjing210044,China)Abstract:Thispaperexaminestheimpactofcontrolrights,excesscontrolrights,:(1);(2)thehigherproportionoftradablesharesishelpfultoreduceadverseselectionandenhanceliquidity;(3)asfarasinstitutionalinvestorsareconcerned,,:OwnershipStructure;Liquidity;AdverseSelection;TradingActivities
