【作者】 朱广印；

【导师】 史永东；

【作者基本信息】 东北财经大学 ， 金融工程， 2010， 博士

【摘要】 企业金融决策是企业经营决策的重要内容,包括企业的融资决策、投资决策、并购决策等多方面的内容。传统金融理论对企业决策做了大量的研究,建立了很多的金融理论和金融模型,对企业金融决策行为做出了较好的解释。但是,传统金融学理论以新古典经济学理性范式为核心,该范式都隐含着一个默认的假设前提,认为市场参与主体都是理性的经济人,参与人不存在认知偏差,总能够对决策结果进行无偏好的估计,也总是具有足够大的计算能力,因此总是能够最大化期望价值。包括投资者和企业管理者在内的参与者非理性行为的影响在传统金融理论中都是被忽略的。在公司金融理论方面,传统理论都忽略了企业管理者的心理和行为对企业经营决策所产生的影响。然而,大量的心理学研究证实,人们普遍存在各种各样的认知偏差和非理性行为,而企业管理者作为一个特殊群体,其以过度自信为代表的非理性特征比普通人群更加普遍和严重。企业管理者通常要对企业的各种经营行为作出决策,其过度自信的非理性认知偏差必然会影响到企业的投资、融资、并购等各种企业行为,并对企业价值造成影响。20世纪80年代后,国外学者们将心理学研究成果应用到公司金融研究领域,研究管理者非理性对公司决策和资产定价的影响,逐步形成了行为公司金融理论。行为公司金融理论引人了参与者非理性,使得金融理论更加贴近资本市场和企业的现实,较为成功地解释了一些传统公司金融领域的所谓“异象”。然而在我国特殊的制度背景下,基于西方成熟市场经济基础的行为公司金融理论是否能够解释我国企业的金融决策问题,尚有待于进一步研究。本文借鉴和发展新兴的行为金融研究成果,并结合社会学、心理学等方面的理论,系统研究我国上市企业管理者过度自信的特征以及对企业各种金融决策的影响,回答我国企业管理者是否存在过度自信的行为偏差,管理者过度自信是否对企业金融决策产生影响,以及产生怎样的影响,在此基础上对企业契约设计和企业非效率决策的治理提供相应的政策建议。论文首先探讨了管理者过度自信的定义、表现和原因,结合我国上市企业的实际,进行了管理者过度自信相关决定因素的统计分析。分析结果表明,管理者过度自信和管理者年龄、性别之间存在较为显著的负相关关系。年轻的管理者更多地表现出过度自信,而年长者的过度自信程度要低一些。另外,企业过往业绩越好、托宾Q值越大的企业管理者越发自信,而股权制衡度越高、负债程度越高、独立董事比例越高的企业其管理者自信程度相对较低。其次,论文构建了一个管理者过度自信与企业决策模型,通过理论分析和模型推导,得出管理者过度自信对企业决策的影响规律。在投资决策方面：过度自信的管理者比理性的管理者进行更多的投资；过度自信管理者对自己项目以及公司的估值要高于外部市场。在企业融资及资本结构方面：和理性管理者的企业相比,管理者过度自信的企业会采用更高的负债率；管理者过度自信的公司更愿意借入短期负债并导致其债务期限结构更短。在其他财务决策方面：由于过度自信的管理者认为外部融资的成本很高,他们倾向于将内部资金用于项目投资,因此不愿意分配现金股利。在并购决策方面：和无行为偏差的管理者相比,过度自信的管理者会更多地进行企业并购活动。第三,论文以财务理论和企业理论为基础,运用行为公司金融理论,采用我国沪、深两市上市公司2006-2008年间财务报告数据,使用管理者持有本公司股票数量的变化和管理者的相对薪酬比例分别作为管理者过度自信的替代变量,实证检验了管理者过度自信和企业投资决策之间的关系,并检验了企业现金流对这种关系的影响。通过实证检验,本文发现：企业投资决策和管理者过度自信之间存在显著的正相关关系,管理者过度自信这一非理性行为显著地影响了企业投资决策。因此,相对于管理者非过度自信的企业,管理者过度自信的企业更容易发生过度投资行为。然而,企业充裕的现金流并没有加强管理者过度自信和企业投资决策之间的正相关关系。第四,企业资本结构和债务的期限结构是企业融资决策的重要内容。论文采用2006-2008年间我国沪、深两市的上市公司数据,实证检验了管理者过度自信和企业融资行为之间的关系。实证结果显示：企业的负债水平显著地受到了管理者过度自信行为偏差的影响。管理者过度自信的企业会实施更多的负债融资,管理者的过度自信程度与企业的负债水平显著正相关。同时,管理者过度自信显著地影响了企业融资的债务期限结构,管理者过度自信的企业更倾向于采用短期负债进行融资,管理者的过度自信程度与企业的债务期限结构显著正相关。第五,近年来我国上市企业并购浪潮不断涌现,并购行为不仅发生于国内企业之间,而且也频频发生于国内企业和国外企业之间,并购金额也逐年攀升。采用最高管理者的薪酬在所有管理者薪酬总额中所占的比例作为管理者过度自信的替代变量,采用我国2006-2008年间沪、深两市的上市企业数据,对管理者过度自信和企业并购行为之间的关系进行了实证检验。实证结果发现：企业并购决策受到了管理者过度自信的显著影响,二者之间的正相关关系是显著的,管理者过度自信企业的并购数量比管理者非过度自信企业的并购数量高20%左右。我国上市公司频繁地发生并购行为,而并购往往会有损于公司价值,这就引起了众多学者对于并购动因的思考。论文通过实证研究发现,在我国,管理者过度自信是企业发生过多并购行为的重要动力和原因。另外,研究中还发现,总体说来,我国公司治理结构并没有显著地影响企业各种决策行为,独立董事并没有起到明显的作用。在我国当前新兴加转型的特定历史阶段,我国企业的内外部监督制约机制还不够完善和有效。因此,对我国上市企业来说,独立董事不仅需要在项目评估、企业融资、兼并收购等企业决策中发挥更为有效的作用,也需要在管理层的选择方面发挥更为积极的作用。此外,我国仍应继续改革和发展市场经济体制,健全各种法律法规制度,建立有效的外部监督机制,改变国有或者国家控股企业为主的上市公司格局,促使企业形成真正有效的内部治理结构,不断提高企业的效率。过度自信行为偏差是特定人群在特定条件下表现出的一种心理特征和行为规律,过度自信现象客观地存在于部分上市公司高管人员中。因此,包括非效率投资、非效率融资、非效率并购在内的各种非效率企业决策的治理不能忽略管理者非理性心理的重要影响。本研究为提高企业决策效率,加强我国上市企业公司治理提供了新的政策建议：第一,以克服委托代理问题为核心的标准的激励合约不可能完全纠正管理者损害企业利益的行为,企业的监督激励机制需要适当调整。按照委托代理理论,企业管理者会为了自身的利益而努力地去扩大企业规模甚至试图建立自己的企业帝国,但如果管理者存在过度自信行为偏差,他们进行非效率决策的初衷并不一定是为了自身利益。与此相反,即便管理者相信自己是忠于股东的,并且相信他们能够最大化股东利益和企业价值,他们的决策却可能因为自己的过度自信认知偏差而给企业带来损害。因此,传统的着眼于解决代理冲突的激励机制不可能从根本上解决管理者的这类非效率行为,董事会需要采用其他约束措施来限制企业管理者的过度自信行为偏差,以及由这种偏差所引发的过于激进的投资、融资和并购行为。第二,改变我国存在的一股独大的股权结构,增强上市企业的股权制衡程度,可以在一定程度上制约管理者的过度自信行为,提高公司经营效率。由于我国特定的历史原因,上市企业中国有股的比例显著地高于其他股份,这在一定程度上加剧了管理者过度自信的倾向。我国应该进一步改变企业的股权结构,建立起更加有效的股权控制权体系。通过完善公司外部市场治理机制发挥控制权市场的功能。第三,建立完善的涵盖事前论证、事中监督、事后评价的公司决策管理制度,通过层层监督和反馈,最大限度地对管理者的个人偏好及个体特征所造成的不利影响加以克服和纠正。第四,充分发挥独立董事在公司治理中的作用,独立董事需要在选择企业管理层以及企业投资、融资、并购等方面发挥更为积极和有效的作用,可以在一定程度上降低管理者过度自信对企业决策的不利影响。更多还原

【Abstract】 Financial decision-making is the important content in enterprise management. Traditional finance theory take the rational paradigm of the neo-classical economics as the core reason, the theoretical development and models are implicit assumption of a default, that is the market participants are rational, selfish, and Participation in decision making when the preference always to no way to subjectively estimate the results of decision-making, always seek to maximize the expected value. Traditional corporate finance theory has not considered the psychological and behavioral impact of managers on business decision-making. However, a lot of psychological research confirms that managers common cognitive bias of overconfidence. Managers usually act on a variety of business decision-making, its non-rational cognitive overconfidence bias is bound to affect business investment, financing, mergers and acquisitions and other corporate practices, and impact on enterprise value. Therefore, in considering the characteristics of management overconfidence, the traditional financial theory will lose some of the applicability of theoretical perspectives, but also makes business management and corporate governance theory and mechanisms ineffective. In market conditions, Correct business decision is the key to business success of the enterprise, and vice versa. Corporate decision-making is affected by a certain extent constrained of external conditions, but mainly decided by the behavior of managers in the decision. On the base of the development of new behavioral finance, combined with business management, psychology, sociology and other aspects of the theory, we do a research on the characteristics of self-confidence managers of listed companies and the impact on business decisions, and propose some recommendations of corporate governance on inefficient decision-making.Paper first explores the definition of manager overconfidence, performance and cause, according to the actual conditions of listed companies in China, conduct a statistical analysis of management-related determinants of overconfidence. The results show that the over-confident degree has a negative significant correlation to the age of administrators, and to sex of administrators. Young managers express more over-confident, over-confidence level of older people is lower. China’s proportion of female managers is not big, however, between female gender and overconfidence has shown a significant positive correlation. This shows that the female members of our managers is very over-confident, and its degree of over-confidence even more than usually considered biased towards the male members of overconfidence. In addition, the company better track record, the value of Tobin’s Q greater corporate managers increasingly confident, the higher the degree of equity balance, the higher the debt level, the higher the proportion of independent directors of the Company of its relatively low level of management confidence.Secondly, the paper constructs manager overconfidence and corporate decision-making model, the theoretical analysis and model derivation, to get the law of managerial overconfidence on the impact of the decision-making. In investment decisions:the managers with overconfidence invest more than managers without overconfidence; over-confident managers evaluate their project and the company’s valuation higher than the external market. And capital structure in corporate finance: the enterprises managed by over-confident managers will adopt a higher debt ratio than the ones led by normal managers; overconfident managers are more willing to borrow short-term liabilities of the company and lead to more debt maturity structure short. In other financial decision-making:As managers of over-confident that the high cost of external financing, they tend to internal funds for project investment, reluctant to distribution of cash dividends. Decision-making in mergers and acquisitions: compared to no bias managers, managers of over-confidence will act on more mergers and acquisitions activity.Third, based on finance theory and corporate theory, using behavioral corporate finance theory, we test the relationship between the managerial overconfidence and enterprise investment, and also the infulence of cash flow to this relationship. We take Managerial Ownership Change and the respective ratios of the relative pay as management’s proxy for overconfidence, adopts A share in Shanghai and Shenzhen stock listed company data between 2006-2008. Our results show that:managerial Overconfidence significantly affect business investment decisions, existing a significantly positive relationship. Compared to managers with overconfidence, the overconfidence managers more likely to carry out over-investment behavior of enterprises. However, the company’s cash flow is not sufficient to enhance self-confidence and business investment managers over the positive relationship between decision-making.Fourth, capital structure and debt maturity structure is an important part of corporate financial decision-making. Using the data of listed company in the Shanghai Stock Exchange and Shenzhen Stock Exchange between 2006-2008, we studies the relationship between managerial overconfidence and financing behavior. Empirical results show that:managers act Overconfidence bias significantly affected the company’s debt level. Those enterprises with overconfident implemented more debt financing, the degree of overconfidence managers and corporate debt levels significantly correlated. At the same time, managers Overconfidence significantly affect the debt maturity structure of corporate finance; corporate led by overconfident managers, preference for short-term debt financing, the degree of overconfidence of managers and corporate debt maturity structure significantly correlated.Fifth, the recent wave of mergers and acquisitions continue to emerge in China, M & A took place not only among domestic firms, but also frequent among overseas mergers and acquisitions, M & A amount year by year. Using the data of listed company in the Shanghai Stock Exchange and Shenzhen Stock Exchange between the year 2006-2008, we study the relationship between managerial overconfidence and M & A decision-making. Our results show that:managerial overconfidence significantly affect the M & A decision-making, existing significantly positive correlation between the managerial over-confidence and the corporate mergers and acquisitions, the number of mergers and acquisitions of company with overconfident managers over the number of mergers and acquisitions of company without overconfident managers by 20% about. Listed companies in China M & A occur frequently, and mergers and acquisitions often fail to bring value to the company’s upgrade, and even undermining the value of the company. Empirical studies indicate that in China, managerial overconfidence is the major driving force and reason of M & A business.In addition, the research also found that, in general, our business decisions and corporate governance structure does not exist significant correlation. In the current economic restructuring and the specific stage of emerging markets, the governance structure of China listed companies is also not perfect and effective, independent directors have not play a significant role in Decision-making in the listed companies. Independent directors should play a important role in project evaluation, corporate finance, mergers and acquisitions and other corporate decision-making, and also play a more active and effective role in the choice of management, in order to counteract the excessive confidence of the managers. China should gradually improve the market economic system, and continuously improve the systems of various laws and regulations to promote the formation of a truly effective corporate governance structure of the internal and external oversight mechanisms, and constantly enhance the efficiency and competitiveness, protect the interests of business owners and investors.This study provide a new policy proposals for corporate governance of listed companies:Firstly, Overconfidence as a category inherent in the psychological characteristics and behavior patterns, objectively exist in the management of some listed companies. Enterprise decision management, including non-efficient investments, non-efficient financing, non-efficient mergers and acquisitions, the important influence of the non-rational psychology of managers can not be ignored. Secondly, the standard incentive contract manager can not correct the damage to business interests, the company’s supervisory incentives need to be adjusted. In agency theory, regardless of the interests of shareholders, managers keen to establish their own business empire. However, the over-confident managers believe that they are loyal to shareholders, and believe that they can maximize shareholder value and enterprise value. Therefore, the focus on incentives to resolve agency conflict can not fundamentally solve the non-efficient management of such acts, The Board need to adopt measures to restrict other constraints overconfidence of managers in deviant behavior, as well as bias caused by such overly aggressive investment, financing and M & A. Thirdly, in the selection of business management talent, business owners and the Board should avoid overconfident persons being taken to into the ranks of corporate managers. Fourthly, changing our existing "An sole extremely large share"ownership structure, enhance the company’s shares listed on the extent of checks and balances, to a certain extent, can restricts the behavior of managers over-confidence, increase enterprise efficiency. Fifthly, the independent directors need play a more active and effective role in selecting business management, making corporate investment, financing, mergers and acquisitions, in order to counteract over-confident managers on the impact of business decisions.更多还原