所有權集中、執行長的津貼薪酬和股價同步運動：中國上市公司的驗證

Ownership Concentration, CEO Perquisite and Stock Price Synchronicity: The Examination from Chinese Listed Company

本文主要在探討中國資本市場的特殊現象，也就是大多數公司是從非流通股經過股權分置改革之後轉型為流通股，但仍保有國有股的特徵，這些公司普遍存在著管理者津貼薪酬，且這些津貼薪酬可以視為私有利益，會很快地被反應在股價非同步運動上。當股價具有非同步運動現象時，掌握訊息的控制股東可以獲取利益，因此控制股東會鼓勵執行長減少風險趨避的行為而佔據外部股東利益以得到較高的價格非同步運動，我們研究期間在2005年到2014年。我們的實證結果發現可以更穩健地納入其他關鍵變數以解釋股價非同步運動的現象。我們建立在9,022個帶有私有利益的執行長觀測值，本文發現個股特有波動度（以R平方進行羅吉斯轉換的相關係數）在管理者相互制衡與股權集中度同時考量下，較僅考慮股權集中度時為少。如果我們將股價同步運動與執行長津貼薪酬同時視為內生因素，運用聯立方程組的實證分析發現管理者相互制衡可以限制潛在的管理者自私牟利行為，且當所有權集中度傾向於與外部股東控股時，是可以降低股價非同步運動，可成為公司治理之最佳機制。

This paper investigates the effects of executive perquisites and CEO ownership concentration as the amount of private information on share prices and as the means to reduce the risk-aversion effect in the place of higher stock price synchronicity for Chinese-listed firms over the period from 2005-2014. In addition, the positive relation of the wealth effect to mutual monitoring is also examined. Based on data for 9,022 CEOs with private benefits (PERK), we find that there is a greater reduction in idiosyncratic volatility (estimated by taking the logit transformation of the R-square statistic) when both mutual monitoring and ownership concentration are present than if only ownership concentration exists. Both stock price synchronicity and executive perquisites are treated as endogenous variables in the simultaneous equations approach. We find that mutual monitoring can constrain potentially self-servicing behavior and substitute for other governance mechanisms in case of concentrated ownership with the inclination to offer perquisites for CEO compensation.