FVA MVA I

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2 FVA MVA I

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8 Jenson and Murphy(1990) Kaplan(1994a,b) ( ).1. Jenson and Murphy(1990) (1976) (1988) (1989) (1990) ( (1991) 14 1% 5% 5% 0% 4

9 (1988) 0 5% 5% 5% 5% (1990) 40% 50% (1995) (1985) ( ) [5].1.3 Shleifer and Vishny 1997 Shleifer and Vishny (001) ( ) [5]

10 % 0.01% (000) (001)..3 (000) (1999) ( ) SPSS11.5 6

13 Y1 Y Y3 ( 9

14 ) Y1 Y i ( i = 1,,...,1) Y = β + β + β + L+ β + ε i 0 i 1i 1 i p i p i ( i = 1,,3 ) β ji j = 0,1,, L p, i = 1,,3) p ε i ( i =1,,3 ) 1 Pearson Y * 0.175** 0.108** 0.068* 0.116** 0.137** 0.119** (0.035) (0.000) (0.001) (0.001) (0.000) (0.000) (0.000) N=970 N=977 N=974 N=970 N=939 N=975 N=981 Y * 0.076* 0.76** 0.17** (0.015) (0.017) (0.000) (0.000) N=981 N=970 N=976 N=981 10

15 Y * 0.169** 0.104** 0.069* 0.17* 0.158* 0.159** (0.03) (0.000) (0.001) (0.033) (0.000) (0.000) (0.000) N=978 N=975 N=97 N=968 N=937 N=973 N=979 Y ** 0.107** 0.143** 0.34** 0.59** (0.010) (0.010) (0.000) (0.000) (0.000) Y 3 0 N=979 N=97 N=968 N=974 N= * (0.044) N=910 [6] * 5% ** 1% p 1.. Gauss-Markov E( ε ij ) = 0 j = 1,,..., n cov( ε ij, ε ik ) = σ i, j = k cov( ε, ε ) ij ik = 0, i = 1,, 3 i = 1,, 3 j k, j, k = 1,,..., n i = 1,, 3 3. ε ij ~ N(0, σ i ), j = 1,,..., n ε i1, ε i, ε in i = 1,,3 i ( i = 1,,3,4,5,6,7) stepwise [6] 1. Exclude cases pariwise. Excluede cases listwise 1 11

16 methods [7] , 4 5 Y = , 4 5 Y = (1) P-P 4 Normal P-P Plot of Regression Standardi Scatterplot Dependent Variable: Y1 Dependent Variable: Y Regression Standardized Predicted Value Expected Cum Prob Regression Standardized Residual Observed Cum Prob 1 1 P-P 1 [7] 1 Use probability of F F 0.05 Sig <<0.05 Sig >>0.10 Use F value F Entry F >>3.84 F <<.71 1

17 B B t -4.8 t p p B B t t t p p F B t p p B B t t 3.84 p B B t 4.74 t p p B B t t p p F F p p R R R

18 Scatterplot 10 Dependent Variable: Y Normal P-P Plot of Regression Standard Regression Standardized Predicted Value Expected Cum Prob Dependent Variable: Y Regression Standardized Residual Observed Cum Prob 3 4 P-P Tolerance Tol Variance Inflation Index, VIF (Condition Index,CI) Tol i = 1 Ri 1 VIFi =,1 = 1,,..., n 1 R i R i i CI i = / i Scatterplot Dependent Variable: Y1 Scatterplot Dependent Variable: Y Regression Standardized Predicted Value Regression Standardized Predicted Value Regression Studentized Residual Regression Studentized Residual

19 Tol VIF CI Durbin-Watson D-W DW. = n t= ( e e t n et t= t 1 ) e t OLS D-W d 14 1 =. d =

21 % -1.8% % 17

22 [8] [8] 18

23 4 4.1, β, 4. 19

24 4..1 FV 1. EVA 0 (stem stewart &co ) EVAQ EVA(economic value added) : : EVA NOPAT TC WACC NOPAT TC WACC Dm Em WACC Kd (1 T) + R D + E D + E m m m m D m E m K d T R NOPAT EVA NOPAT EVA 0

25 EVA EVA Stephen O Byrne(1996) EVA (R 0.56) NOPAT (R 0.17) James L Grant(1996) EVA MVA Gary C Biddle (1997) ~1994 EVA (residual income) (earnings) (operating cash flow) EVA Shimin Chen James L Dodd(1997) EVA S R Rajan(1999) 1998 ( EVA ) ( MVA) EVA Farzad Farslo (000) EVA EVA (1997) EVA (1997) (REVA) REVA EVA [9] 40 EVA EVA 50, EVA EVA EVA EVA EVA EVA. FVA EVA [9] EVA

26 FVA= { } MV 1 MVA MVA = MV MV + IV t+1 t t~ t+ 1 MVA MV MV IV t +1 t t~ t+1 T~T+1

27 FVA MVA - FVA /3 3

28 / Hawitt % 9% % 65% 5.3 4

29 (Baumol(1959) Maris(1964) Jenson(1986) etc.) Grossman Hart(1988) (Shleifer Vishny(1989)) Y Y1 Y Y 1 = A* α i A 1 3 α i Y = FVA t β 1 5

30 FVA t β1 FVA t , 1/3 /3 6

31 6.. 7

33 ( ) 59

35 [10] : 1. [10]

39 7.3.3 ( )

40 7.4,

42 1. Brain J.Hall Kevin J.Murphy B-S 100. p 0 R R= P/ p 0 38

43 = R p 0 R p p 0 p p 0 p 0 p p 0 1 p 0 <p p 0 p 0 R R R [11] 1+i t, t t [11] i t 39

44 1. 5 S S= + S 5 S 1/3 S [1]. S 1 t S 3 S n S 3 [1] 40

45 3. B S R p R p n 1, p 1, n, R(p 1 ) n 1, n p 1 p 0, Y R(p 1 ) n 1 + n p 1 p 0 Y p ( MVA - FVA ) O R ( MVA - FVA ) O R ( MVA - FVA ) β β O R C S T P Q i 1 O R C S T P S T P Q i 41

46 Black-Scholes [13] B S rt C S T P S N d ) Pe N( ) ( 1 d d 1 S σ ln( ) + ( r + ) T = P σ T d S σ ln( ) + ( r ) T = P = d1 σ σ T T [14] S T P r N ( d ) ( ) 1 N d d1 d σ B S 1 Q i= O R /C S T P Q i i 1 + = j 1 θ Q j j Q Z j=1, I-1 Qi [13] Black-Scholes Black.F and M.Scholes,1973 Political Economy. The Pricing of Option and Corporate Liablilities, Journal of [14] Hull.J.C 1993, Option,Futures and other Derivative Securities, Preutice Hall, Inc. 4

47 Q j QZ θ j θ j 1 Q i Q Q = min{q i (Q Z θ jq j )} i j 1 i-1 j= 1 O R O R C F S T P q F +C c (U T V) q c C F S T P q F C c (U T V) q c U V q F = A q q F A q c c O R C F S T P A q c +C c (U T V) q c q = O( R) [ C ( S, T, P) A C ( U, T, V )] c F + c q = A O( R) [ C ( S, T, K ) A C ( U, T, V )] F F + c 43

48 α i I β i I q i = α i * β i * Q / α i * β i ( )

50 = 1+ = / 1+. = 1+ = + / A) B) C) D). 46

51 3. A) B), ( ) Pearson Pearson

52 3 4 /3 5 FVA MVA-FVA 6 Y1 = A* α i FVA Y = FVA t β 1 MVA-FVA B-S Q i= ( MVA - FVA ) β /C S T P

53 [1] Andrei Shleifer and Robert W.Vishny 1997 A survey of corporate governance The Journal of Finance,54(), [] Fama, Eugene, and Michael Jenson, 1983a,Separation of Ownership and control, Journal of Law and Economics 6, [3] Fama, Eugene, and Michael Jenson,1983b, Agency problems and residuals claims, Journal of Law and Economics 6, [4] Fama, Engene, 1980, Agency problems annd the theory of the firm, Journal of Political Economy, 88, [5] Hart, Oliver, and Moore, 1990, Property rights and the nature of the firm, Journal of Political Economy, 98, [6] Jenson, Michael, 1986, Agency costs of free cash flow, corporate finance, and takeovers, American Economic Review, 76, [7] Jenson, Michael, and Kevin Murphy, 1990,Performance pay and top management incentives, Journal of Political Economy, 98, [8] Kaplan, Steven, 1994a, Top executives, turnovers, and firm performance in Germany, Journal of aw, Economics, and Organization, 10, [9] Shleifer, Andrei, and Robert Vishny, 1986a, Grennmail, white knights, and shareholder s interest, Rand Journal Eeconomics, 17, [10] Robert M.Bushman, and Abbie J.Smith, Financial Accounting Information and Corporate Gvernance, Working Paper, 001. [11] Kaplan, Steven, 1994b, Top executives rewards and firm performance:an comparison of Japan and the United States, Journal of Political Economy 10, [1] McConell, john, and Chris Muscarella, 1986, Corporate capital expenditure decisions and the market value of the firm, Journal of Financial Economics, 14, [13] Kaplan, Steven, 1989, The effects of management buyouts on operating performance and value, Journal of Financial Economics, 4, [14] Kaplan, Steven, 1991, The statying power of leveraged buyouts, Journal of Financial Economics,9, I

54 [15] Andrei Shleifer and Robert W.Vishny 1986a, Greenmail, white knights, and shareholder s interest, Rand Journal of Economics, 17, [16] Andrei Shleifer and Robert W.Vishny 1986b, Large shareholders and corporate control, Journal of Political Economy 94, [17] [18] [19] [0] -A- [ ] [1] [] 000 [3] [4] 00 7 [5] 00 5 [6] [7] 1996 [8] [9] [ ].J [30] [31] [3] 00 7 [33] [34] [35] [36] 001 [37] 00 II

55 [38] [39] [40] [41] EVA [4] [43] [44] [45] [46] [47] 000 [48] [49] [50] [51] [5] [53] ( ) [54] [55] : 1999 [56] [57] [58] 19 III

56 [59] [60] [61] [6] [63] 000 [64] 00 7 [65] [66] [67] [68] [69] [70] [71] [7] IV

07D5.FIT\)

$07D5.FIT\)$ 股权结构与信息披露 : 国外文献回顾魏文君 ( 长江大学管理学院, 湖北荆州 434023) 摘要 : 关于股权结构与信息披露关系的研究, 国外文献主要是从股权分散管理层 ( 内部人 ) 持股机构投资者持股和大股东持股等四种不同类型股东持