Jan. 25, 2009
外国人投資家の株式所有と企業価値の因果関係―分散不均一性による同時方程式の識別―
Foreign Ownership and Firm Value -Identification through Heteroskedasticity-
要旨Abstract
1990年代以降，金融機関や事業法人が上場企業の株式保有を減少させる一方で，外国人投資家の株式保有は堅調に増加している．外国人投資家は議決権の行使(Voice)と株式の売却(Exit)の両面で経営に対する影響力が強く，外国人の株式所有比率が高い企業ほど企業価値が高いという研究結果が多いが，これは海外の機関投資家が高パフォーマンス企業の株式を多く保有している結果だと逆の因果関係を強調する見方もある．本稿はRigobon (2003)の分散不均一性を用いた同時方程式の識別を利用して，外資比率と企業価値の因果関係の解明を試みる．この推計方法の特徴は外資比率とトービンのQの分布が右に歪んでいることから生じる分散不均一性を推計に利用できることと，説明変数に除外制約を課す必要がないことである．推計の結果，外国人投資家は企業価値が低くなると所有株式を増やす一方で，外資比率の上昇は企業価値の上昇をもたらすことが分かった．外国人投資家の企業価値向上効果は内生性を考慮しない場合よりもはるかに高く，外資比率と企業価値の関係を分析する際には両者の内生性を考慮することの重要性が確認された．
Over the past decade, Japanese financial institutions and corporations have decreased their stock holdings in Japanese listed companies, while holdings by foreign investors have increased steadily. Recent studies argue that foreign ownership can enhance firm value, but this argument has been questioned due to potential reverse causality in that foreign institutional investors tend to possess stocks of high performing firms. This paper uses the identification of simultaneous equations through heteroskedasticity from Rigobon (2003) to investigate the causal relationship between foreign ownership and firm value. The main features of this estimation method are that we do not need to impose exclusion restrictions on explanatory variables and that we can utilize the heteroskedasticity resulting from the positive skewness of distributions of the foreign ownership ratio and Tobin's Q (a proxy for firm value). We find that foreign investors increase their stock holdings as firm value declines, while an increase in foreign ownership leads to higher firm value. We also confirm the importance of taking the endogeneity of both variables into account in the estimation, since the effect of foreign ownership on firm valuation is much greater than when this is not taken into account.
書誌情報Bibliographic information
Vol. 58, No. 1, 2007 , pp. 47-60
HERMES-IR（一橋大学機関リポジトリ）: https://doi.org/10.15057/21252
