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| 文件名称： | 公司治理机制与公平价格.pdf |
| 所属大类： | 国外动态 |
| 行业分类： | J:金融业 |
| 生效日期： | 2004-04-01 00:00:00 |
| 文件星级： | ★★★ |
| 文件字数： | 9898 |
| 文件页数： | 59 |
| 文件图表： | 2 |
| 资料语言： | 英文 |
| 文件大小： | 312KB |
| 文件简介： | 公司治理机制与公平价格 April 2004 This paper can be downloaded without charge from the Social Science Research Network Electronic Paper Collection at: http://papers.ssrn.com/abstract=412140 New York University Center for Law and Business Research Paper Series Research Paper No. CLB 03-09 Working Paper No. 03-15 K.J. Martijn Cremers and Vinay B. Nair Governance Mechanisms and Equity Prices Yale International Center for Finance (ICF) Governance Mechanisms and Equity Prices Abstract We investigate how the market for corporate control (external governance) and shareholder activism (internal governance) interact. A portfolio that buys firms with the highest level of takeover vulnerability and shorts firms with the lowest level of takeover vulnerability generates an annualized abnormal return of 10 - 15% only when public pension fund (blockholder) ownership is high as well. A similar portfolio created to capture the importance of internal governance generates annualized abnormal returns of 8%, though only in the presence of ‘high’ vulnerability to takeovers. Further, we show that the complementary relation exists for firms with lower industry-adjusted leverage and is stronger for smaller firms. The complementary relation is confirmed using accounting measures of profitability. Using data on acquisitions, firm level Q’s and accounting performance, we explore possible interpretations, providing preliminary evidence for a risk e?ect as well. 1 A variety of firm-level mechanisms are associated with the governance of the public corporation.1 These firm-level mechanisms can be classified into two broad categories - internal and external governance mechanisms. Blockholders and the board of directors are often seen as the primary internal monitoring mechanism,2 while takeovers and the market for corporate control are the primary external mechanism.3 These di?erent mechanisms work together in a system to a?ect governance in firms. This paper attempts to provide a better understanding of how these governance mechanisms interact. In an attempt to do so we ask three questions - How do the internal and external governance mechanisms interact to a?ect equity prices? How does this interaction depend on firm characteristics such as size and leverage? What implications does this have for the design of corporate governance? Two theoretical viewpoints guide us in our investigation of how internal and external governance mechanisms interact. As per one view, internal and external governance mechanisms might be substitutes if internal control mechanisms evolve to o?set changes in external control (Pound, 1992). Accordingly, a firm with strong monitoring shareholders and a large number of takeover defense provisions would then have a similar quality of corporate governance as a firm with no monitoring shareholder but a low number of takeover defenses. Indeed, Gillan, Hartzell and Starks (2003) document that greater board independence is found in firms that are less exposed to takeovers. However, this documented use of internal and external governance mechanisms does not answer the question of whether firms with both strong internal and strong external governance mechanisms perform di?erently from firms that have only one of these two mechanisms. In another viewpoint, the literature 2 provides reasons why such performance di?erences may indeed exist. As pointed by Shleifer and Vishny (1986), a large shareholder has incentives to monitor the management and pay for part of the gains that occur through takeovers, thus making the appearance of a bidder more likely. Hence, the presence of a large shareholder can be crucial to facilitate takeovers. Consequently, firms that lack a large monitoring shareholder might not be taken over even if they lack takeover defense provisions. Thus, large shareholders, by facilitating takeovers, may work in tandem with the market for corporate control (see also John and Kedia (2000)). In such a scenario, the internal governance mechanism is required for the external mechanism to function, leading to a complementary relation between these mechanisms. As a result, firms that only have the external mechanism (lack of takeover defenses) could di?er in their governance standards from firms that have both internal and external mechanisms. However, the argument above does not preclude the possibility that internal governance mechanisms still function in isolation. Hence, a firm with only strong internal governance mechanisms might not di?er in performance from a firm with both strong internal and strong external governance mechanisms. Finally, Jensen (1993) expresses skepticism about this latter case by noting the failure of the internal control mechanisms during 1970’s and 1980’s. He suggests that the main form of governance is through the market for corporate control. In this paper, we document the interaction between governance mechanisms and empirically investigate if firms with either strong internal or strong external governance mechanisms perform di?erently from firms with both strong internal and strong external governance mechanisms. 3 Recent empirical work to investigate this interaction has relied on top management turnover to detect the ‘e?ectiveness’ of governance and hence conclude how these governance mechanisms interact. However, using top management turnover to detect the importance of corporate governance mechanisms leads to a selection bias. While e?ective corporate governance provides a higher ex-ante threat of dismissal, using top management turnover detects only those firms where the threat is ex-post exercised. Huson et. al. (2003) discuss other issues associated with the use of top management turnover to detect the e?ectiveness of corporate governance. While these papers have documented interesting and insightful results on top management dismissal and performance changes, their conclusions on how governance mechanisms interact have been limited by the use of top management turnover. The results have been mixed as well. Hadlock and Lumer (1997) and Mikkelson and Partch (1997) suggest that the e?ectiveness of internal mechanisms depends on external control (complements) where as Denis and Kruse (2000) and Huson, Parrino and Starks (2001) suggest that e?ectiveness of internal monitoring is independent of external control (substitutes). In this paper, we investigate how these governance mechanisms interact in being associated with equity returns. This enables us to circumvent the aforementioned issues of using top management turnover to detect how these governance mechanisms interact.4 Further we document how governance mechanisms interact alongside two additional dimensions - firm values (Q’s) and accounting measures of performance. To the best of our knowledge, this is the first study to document the interaction of governance mechanisms along these dimensions. This approach has its limitations as well - the results are prone to di?erent in- 4 terpretations which in turn have di?erent implications for the e?ectiveness of governance. We discuss several alternative interpretations and provide evidence - using firm Q’s, accounting measures of profitability and data on mergers - to either support or reject the alternatives. Following Gompers, Ishi and Metrick (2003, henceforth GIM), we look at long term equity prices to study how these governance mechanisms interact. Using the classifications from the governance index they develop, GIM show that a portfolio that buys firms with the highest level of shareholder rights and sells firms with the lowest level of shareholder rights generates an annualized abnormal return of 8.5% from 1990 to 1999. They explain the result by suggesting that investors, in 1990, were not aware of the gains to good governance. Using a similar approach, a new 2-step methodology and equity prices of firms from 1990 to 2001, we analyze the relationship between abnormal returns and our governance proxies. We measure the takeover vulnerability of a firm (external governance) by using data on anti-takeover provisions adopted by a firm. Our first external governance proxy uses the index developed by GIM as an anti-takeover index.5 We corroborate our findings by constructing an alternative index of takeover protection (ATI), which focuses on only 3 key anti-takeover provisions - the presence of staggered boards, of a preferred blank check (‘poison pill’), and of restrictions on shareholder voting to call special meetings or act through written consent. Furthermore, we consider two di?erent proxies for internal governance - the percentage share ownership by institutional blockholders, defined to be an institutional shareholder with equity ownership greater than 5%, and the percentage of share ownership by public pension funds - who tend to be active shareholders...... |
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