1 Introduction
2 Institutional background
2.1 Tunneling in China
2.2 Mutual funds in China
3 Theories and hypothesis development
4 Methodology
4.1 Logistic models
4.2 Multivariate models
4.3 Unexplained tunneling behavior: the two-stage least squares (2SLS) analysis
4.4 Data and sample
Variable | Obs. | Mean | Median | SD | Min | P25 | P75 | Max |
---|---|---|---|---|---|---|---|---|
Panel A: summary statistics | ||||||||
ROA | 15,131 | 0.039 | 0.036 | 0.053 | − 0.184 | 0.014 | 0.065 | 0.156 |
ROA_ADJ | 15,131 | 0.004 | 0.002 | 0.052 | − 0.215 | − 0.019 | 0.030 | 0.122 |
ROE | 15,075 | 0.069 | 0.073 | 0.108 | − 0.437 | 0.031 | 0.121 | 0.278 |
ROE_ADJ | 15,075 | 0.001 | 0.004 | 0.106 | − 0.497 | − 0.035 | 0.052 | 0.209 |
ROS | 15,131 | 0.115 | 0.094 | 0.155 | − 0.589 | 0.047 | 0.172 | 0.589 |
ROS_ADJ | 15,131 | 0.014 | 0.001 | 0.147 | − 0.689 | − 0.044 | 0.069 | 0.443 |
TOBIN_Q | 15,131 | 1.662 | 1.298 | 1.074 | 0.414 | 0.998 | 1.979 | 5.404 |
TOBIN_Q_ADJ | 15,131 | 0.230 | − 0.012 | 0.972 | − 1.034 | − 0.284 | 0.450 | 3.679 |
OPNIC | 15,131 | 0.029 | 0.028 | 0.043 | − 0.131 | 0.010 | 0.050 | 0.122 |
OPNIC_ADJ | 15,131 | 0.003 | 0.003 | 0.042 | − 0.156 | − 0.015 | 0.023 | 0.093 |
MF_PER | 15,131 | 0.047 | 0.015 | 0.068 | 0.000 | 0.002 | 0.063 | 0.267 |
MF_MV_PER | 15,131 | 0.047 | 0.014 | 0.072 | 0.000 | 0.002 | 0.060 | 0.290 |
TUL | 15,131 | 0.027 | 0.011 | 0.046 | 0.000 | 0.004 | 0.028 | 0.318 |
DTUL | 15,131 | 0.282 | 0.000 | 0.450 | 0.000 | 0.000 | 0.000 | 1.000 |
TUL_LAR | 7504 | 0.014 | 0.001 | 0.039 | 0.000 | 0.000 | 0.008 | 0.305 |
PAY | 15,131 | 8.080 | 12.562 | 6.608 | 0.000 | 0.014 | 13.667 | 16.794 |
TOP_1 | 15,131 | 0.377 | 0.361 | 0.155 | 0.119 | 0.250 | 0.497 | 0.708 |
IND | 15,131 | 0.363 | 0.333 | 0.054 | 0.000 | 0.333 | 0.375 | 0.800 |
DSUP_NUM | 15,131 | 0.951 | 1.000 | 0.217 | 0.000 | 1.000 | 1.000 | 1.000 |
BIG4 | 15,131 | 0.075 | 0.000 | 0.263 | 0.000 | 0.000 | 0.000 | 1.000 |
TS | 15,131 | 0.672 | 0.650 | 0.269 | 0.025 | 0.431 | 0.997 | 1.000 |
REFORM | 15,131 | 0.587 | 1.000 | 0.492 | 0.000 | 0.000 | 1.000 | 1.000 |
RET_ADJ | 15,131 | 0.056 | − 0.027 | 0.447 | − 0.776 | − 0.199 | 0.228 | 1.423 |
STATE | 15,131 | 0.558 | 1.000 | 0.497 | 0.000 | 0.000 | 1.000 | 1.000 |
LEVERAGE | 15,131 | 0.471 | 0.481 | 0.203 | 0.080 | 0.317 | 0.624 | 0.970 |
SGR | 15,131 | 0.084 | 0.123 | 0.340 | − 2.852 | 0.003 | 0.236 | 0.817 |
BM | 15,131 | 0.443 | 0.390 | 0.283 | − 0.381 | 0.243 | 0.581 | 5.000 |
FIRMSIZE | 15,131 | 21.922 | 21.759 | 1.209 | 18.806 | 21.054 | 22.603 | 25.985 |
MAK | 6298 | 8.236 | 8.330 | 2.053 | 0.380 | 6.610 | 10.180 | 11.800 |
Year | Obs. | Mean | Median | Std | P25 | P75 |
---|---|---|---|---|---|---|
Panel B: tunneling behavior by year | ||||||
2003 | 1253 | 0.060 | 0.025 | 0.083 | 0.006 | 0.074 |
2004 | 1341 | 0.060 | 0.021 | 0.087 | 0.005 | 0.072 |
2005 | 1342 | 0.061 | 0.022 | 0.089 | 0.005 | 0.070 |
2006 | 1414 | 0.050 | 0.017 | 0.081 | 0.004 | 0.053 |
2007 | 1522 | 0.042 | 0.013 | 0.071 | 0.004 | 0.042 |
2008 | 1574 | 0.038 | 0.013 | 0.065 | 0.004 | 0.038 |
2009 | 1727 | 0.032 | 0.012 | 0.060 | 0.004 | 0.031 |
2010 | 2072 | 0.027 | 0.009 | 0.053 | 0.003 | 0.026 |
2011 | 2305 | 0.026 | 0.010 | 0.050 | 0.004 | 0.024 |
2012 | 2425 | 0.024 | 0.010 | 0.043 | 0.004 | 0.024 |
2013 | 2471 | 0.023 | 0.010 | 0.041 | 0.004 | 0.024 |
2014 | 2590 | 0.023 | 0.010 | 0.041 | 0.005 | 0.023 |
5 Empirical results
5.1 Tunneling behavior and mutual fund ownership
Dependent variable | DTUL | DTUL |
---|---|---|
MF_PER | − 4.573*** | |
(− 4.748) | ||
MF_PER_2 | 12.909*** | |
(3.323) | ||
MF_MV_PER | − 3.424*** | |
(− 3.689) | ||
MF_MV_PER_2 | 8.530** | |
(2.469) | ||
TOP_1 | − 1.768*** | − 1.745*** |
(− 12.389) | (− 12.284) | |
STATE | 0.167*** | 0.168*** |
(3.730) | (3.738) | |
ROA_LAG | − 5.830*** | − 5.922*** |
(− 11.590) | (− 11.739) | |
LEVERAGE | 1.780*** | 1.771*** |
(13.367) | (13.155) | |
BM | − 0.450*** | − 0.431*** |
(− 3.617) | (− 3.425) | |
FIRMSIZE | − 0.223*** | − 0.234*** |
(− 8.004) | (− 8.424) | |
Year dummy | Y | Y |
Industry dummy | Y | Y |
Observations | 15,129 | 15,129 |
5.2 Mutual fund ownership, tunneling and firm performance
Dependent variable | ROA | ROE | ROS | TOBIN_Q | OPINC |
---|---|---|---|---|---|
MF_PER | 0.346*** | 0.698*** | 0.587*** | 3.087*** | 0.282*** |
(20.888) | (19.470) | (11.256) | (9.570) | (20.399) | |
MF_PER_2 | − 0.675*** | − 1.390*** | − 1.608*** | 0.181 | − 0.865*** |
(− 10.455) | (− 10.393) | (− 7.917) | (0.137) | (− 16.788) | |
PAY | 0.010*** | 0.022*** | 0.015*** | − 0.008 | 0.007*** |
(14.717) | (14.271) | (6.693) | (− 0.910) | (13.537) | |
TOP_1 | 0.039*** | 0.082*** | 0.028*** | 0.140*** | 0.031*** |
(14.547) | (13.773) | (3.215) | (3.211) | (13.022) | |
IND | − 0.017** | − 0.028* | − 0.024 | 0.639*** | − 0.010 |
(− 2.233) | (− 1.716) | (− 0.994) | (5.449) | (− 1.564) | |
DSUP_NUM | 0.006*** | 0.010** | 0.018** | 0.057** | 0.005*** |
(2.655) | (2.119) | (2.548) | (2.399) | (2.847) | |
BIG4 | 0.006*** | 0.008** | 0.004 | 0.149*** | 0.007*** |
(3.656) | (2.523) | (0.708) | (6.080) | (4.243) | |
TS | − 0.007*** | − 0.020*** | − 0.044*** | 0.200*** | − 0.008*** |
(− 4.124) | (− 5.154) | (− 7.484) | (5.722) | (− 4.858) | |
REFORM | 0.009*** | 0.020*** | 0.044*** | − 0.020 | 0.012*** |
(8.496) | (8.926) | (12.969) | (− 1.079) | (12.434) | |
RET_ADJ | 0.013*** | 0.027*** | 0.025*** | 0.280*** | 0.008*** |
(13.312) | (12.610) | (8.388) | (15.747) | (10.442) | |
STATE | − 0.005*** | − 0.012*** | − 0.015*** | − 0.042*** | − 0.005*** |
(− 5.866) | (− 6.012) | (− 5.350) | (− 3.054) | (− 6.579) | |
LEVERAGE | − 0.091*** | − 0.066*** | − 0.201*** | − 1.409*** | − 0.048*** |
(− 36.410) | (− 11.194) | (− 23.231) | (− 28.288) | (− 24.013) | |
SGR | 0.035*** | 0.072*** | 0.073*** | − 0.021 | 0.028*** |
(18.470) | (16.475) | (8.570) | (− 0.952) | (20.156) | |
BM | − 0.010*** | − 0.016*** | 0.002 | − 1.177*** | 0.015*** |
(− 4.651) | (− 3.534) | (0.359) | (− 16.696) | (7.436) | |
FIRMSIZE | 0.003*** | 0.008*** | 0.017*** | − 0.257*** | 0.007*** |
(6.174) | (6.551) | (9.254) | (− 20.866) | (14.539) | |
Intercept | − 0.008 | − 0.106*** | − 0.194*** | 7.571*** | − 0.110*** |
(− 0.759) | (− 4.311) | (− 5.432) | (32.911) | (− 11.825) | |
Year dummy | Y | Y | Y | Y | Y |
Industry dummy | Y | Y | Y | Y | Y |
R-squared | 0.374 | 0.277 | 0.241 | 0.601 | 0.277 |
Observations | 13,962 | 13,905 | 13,962 | 13,962 | 13,962 |
Dependent variable | ROA | ROE | ROS | TOBIN_Q | OPNIC |
---|---|---|---|---|---|
MF_PER | 0.332*** | 0.683*** | 0.562*** | 3.353*** | 0.275*** |
(19.365) | (17.558) | (10.535) | (10.084) | (19.570) | |
MF_PER_2 | − 0.663*** | − 1.403*** | − 1.627*** | − 0.922 | − 0.849*** |
(− 9.524) | (− 9.516) | (− 7.623) | (− 0.670) | (− 16.064) | |
TUL | − 0.110*** | − 0.179*** | − 0.229*** | 1.611*** | − 0.053*** |
(− 5.232) | (− 3.074) | (− 3.457) | (4.396) | (− 3.668) | |
TUL*MF_PER | 0.003** | 0.013*** | 0.014*** | 0.043** | 0.005*** |
(2.351) | (3.509) | (3.582) | (2.198) | (5.565) | |
TUL*MF_PER_2 | − 0.002*** | − 0.006*** | − 0.008*** | − 0.029** | − 0.002*** |
(− 2.614) | (− 3.669) | (− 3.601) | (− 2.518) | (− 3.911) | |
PAY | 0.010*** | 0.021*** | 0.014*** | − 0.008 | 0.007*** |
(14.567) | (13.915) | (6.339) | (− 0.881) | (13.198) | |
TOP_1 | 0.035*** | 0.073*** | 0.017** | 0.160*** | 0.028*** |
(13.367) | (12.589) | (1.995) | (3.659) | (12.020) | |
IND | − 0.016** | − 0.027* | − 0.023 | 0.622*** | − 0.010 |
(− 2.192) | (− 1.727) | (− 0.974) | (5.318) | (− 1.569) | |
DSUP_NUM | 0.005** | 0.008* | 0.014** | 0.063*** | 0.004** |
(2.220) | (1.680) | (2.120) | (2.634) | (2.426) | |
BIG4 | 0.006*** | 0.008** | 0.004 | 0.150*** | 0.007*** |
(3.658) | (2.534) | (0.705) | (6.151) | (4.210) | |
TS | − 0.006*** | − 0.017*** | − 0.040*** | 0.193*** | − 0.007*** |
(− 3.407) | (− 4.423) | (− 6.893) | (5.509) | (− 4.260) | |
REFORM | 0.009*** | 0.020*** | 0.043*** | − 0.020 | 0.012*** |
(8.601) | (8.799) | (13.178) | (− 1.037) | (12.213) | |
RET_ADJ | 0.012*** | 0.026*** | 0.024*** | 0.280*** | 0.008*** |
(13.127) | (12.345) | (8.121) | (15.809) | (10.019) | |
STATE | − 0.006*** | − 0.013*** | − 0.016*** | − 0.041*** | − 0.005*** |
(− 6.496) | (− 6.528) | (− 5.892) | (− 2.972) | (− 6.980) | |
LEVERAGE | − 0.084*** | − 0.051*** | − 0.182*** | − 1.454*** | − 0.043*** |
(− 33.914) | (− 8.877) | (− 21.167) | (− 30.193) | (− 21.333) | |
SGR | 0.033*** | 0.066*** | 0.066*** | − 0.008 | 0.025*** |
(17.917) | (15.284) | (7.882) | (− 0.360) | (18.358) | |
BM | − 0.013*** | − 0.023*** | − 0.007 | − 1.162*** | 0.012*** |
(− 6.165) | (− 4.842) | (− 1.123) | (− 16.473) | (6.035) | |
FIRMSIZE | 0.003*** | 0.007*** | 0.015*** | − 0.252*** | 0.006*** |
(4.928) | (5.320) | (8.388) | (− 21.082) | (13.561) | |
Intercept | 0.010 | − 0.063** | − 0.037 | 7.483*** | − 0.095*** |
(0.875) | (− 2.517) | (− 1.035) | (33.470) | (− 9.827) | |
Year dummy | Y | Y | Y | Y | Y |
Industry dummy | Y | Y | Y | Y | Y |
R-squared | 0.393 | 0.299 | 0.259 | 0.603 | 0.291 |
Observations | 13,960 | 13,904 | 13,960 | 13,960 | 13,960 |
5.3 Unexplained tunneling
Dependent variable | TUL |
---|---|
Panel A: the determinants of tunneling behavior | |
TOP_1 | − 0.003* |
(− 1.933) | |
STATE | − 0.001** |
(− 2.085) | |
ROA_LAG | − 0.038*** |
(− 4.235) | |
LEVERAGE | 0.017*** |
(7.957) | |
BM | − 0.001 |
(− 0.846) | |
FIRMSIZE | − 0.003*** |
(− 9.381) | |
TUL_LAG | 0.761*** |
(48.614) | |
Intercept | 0.062*** |
(11.192) | |
R-squared | 0.622 |
Observations | 14,742 |
Dependent variable | ROA | ROE | ROS | TOBIN_Q | OPNIC |
---|---|---|---|---|---|
Panel B: relation between mutual fund ownership, tunneling behavior and firm performance (evidence from unexplained tunneling) | |||||
MF_PER | 0.268*** | 0.565*** | 0.462*** | 2.760*** | 0.227*** |
(13.985) | (13.182) | (7.662) | (7.437) | (13.897) | |
MF_PER_2 | − 0.457*** | − 0.943*** | − 1.394*** | 0.288 | − 0.668*** |
(− 6.078) | (− 5.785) | (− 6.046) | (0.187) | (− 10.782) | |
UNEXP_TUL | − 0.004*** | − 0.012*** | − 0.019*** | 0.081*** | − 0.003*** |
(− 3.186) | (− 4.300) | (− 4.524) | (4.739) | (− 2.841) | |
UNEXP_TUL*MF_PER | 0.214*** | 0.363*** | 0.345*** | 1.009* | 0.147*** |
(6.459) | (5.217) | (3.271) | (1.685) | (5.395) | |
UNEXP_TUL*MF_PER_2 | − 0.618*** | − 1.221*** | − 0.648 | − 0.962 | − 0.536*** |
(− 4.565) | (− 4.461) | (− 1.499) | (− 0.361) | (− 5.019) | |
PAY | 0.010*** | 0.022*** | 0.015*** | − 0.008 | 0.007*** |
(14.739) | (14.235) | (6.734) | (− 0.921) | (13.479) | |
TOP_1 | 0.039*** | 0.082*** | 0.028*** | 0.140*** | 0.031*** |
(14.616) | (13.785) | (3.287) | (3.243) | (12.987) | |
IND | − 0.018** | − 0.029* | − 0.024 | 0.622*** | − 0.011* |
(− 2.374) | (− 1.800) | (− 1.006) | (5.340) | (− 1.678) | |
DSUP_NUM | 0.006*** | 0.011** | 0.018** | 0.060** | 0.006*** |
(2.719) | (2.161) | (2.541) | (2.506) | (2.901) | |
BIG4 | 0.005*** | 0.008** | 0.004 | 0.139*** | 0.006*** |
(3.379) | (2.486) | (0.715) | (5.736) | (4.128) | |
TS | − 0.007*** | − 0.020*** | − 0.044*** | 0.199*** | − 0.008*** |
(− 4.007) | (− 5.044) | (− 7.376) | (5.725) | (− 4.781) | |
REFORM | 0.009*** | 0.020*** | 0.044*** | − 0.023 | 0.012*** |
(8.697) | (8.849) | (13.298) | (− 1.207) | (12.348) | |
RET_ADJ | 0.013*** | 0.027*** | 0.025*** | 0.278*** | 0.008*** |
(13.322) | (12.608) | (8.478) | (15.720) | (10.394) | |
STATE | − 0.005*** | − 0.012*** | − 0.015*** | − 0.045*** | − 0.005*** |
(− 6.077) | (− 5.997) | (− 5.459) | (− 3.254) | (− 6.601) | |
LEVERAGE | − 0.089*** | − 0.067*** | − 0.203*** | − 1.336*** | − 0.047*** |
(− 35.022) | (− 10.757) | (− 23.010) | (− 26.398) | (− 23.151) | |
SGR | 0.036*** | 0.072*** | 0.073*** | − 0.012 | 0.028*** |
(19.031) | (16.379) | (8.676) | (− 0.546) | (19.936) | |
BM | − 0.009*** | − 0.016*** | 0.003 | − 1.158*** | 0.015*** |
(− 4.391) | (− 3.536) | (0.384) | (− 16.671) | (7.509) | |
FIRMSIZE | 0.003*** | 0.008*** | 0.017*** | − 0.269*** | 0.007*** |
(5.603) | (6.450) | (9.370) | (− 21.629) | (14.202) | |
Intercept | − 0.004 | − 0.103*** | − 0.092** | 7.837*** | − 0.105*** |
(− 0.372) | (− 4.000) | (− 2.484) | (33.759) | (− 10.828) | |
Year dummy | Y | Y | Y | Y | Y |
Industry dummy | Y | Y | Y | Y | Y |
R-squared | 0.379 | 0.279 | 0.245 | 0.604 | 0.277 |
Observations | 13,960 | 13,904 | 13,960 | 13,960 | 13,960 |
6 Other robustness checks
6.1 Alternative measurements of the tunneling proxy
Dependent variable | ROA | ROE | ROS | TOBIN_Q | OPNIC |
---|---|---|---|---|---|
MF_PER | 0.361*** | 0.810*** | 0.648*** | 2.825*** | 0.336*** |
(14.184) | (13.412) | (8.481) | (6.514) | (15.540) | |
MF_PER_2 | − 0.782*** | − 1.875*** | − 1.942*** | − 0.510 | − 1.070*** |
(− 7.488) | (− 7.924) | (− 6.314) | (− 0.268) | (− 13.019) | |
TUL | − 0.078** | − 0.181* | − 0.001 | 1.523*** | − 0.039* |
(− 2.148) | (− 1.787) | (− 0.008) | (2.784) | (− 1.700) | |
TUL*MF_PER | 0.008*** | 0.017*** | 0.032*** | 0.061*** | 0.006*** |
(4.088) | (3.244) | (5.848) | (2.629) | (5.206) | |
TUL*MF_PER_2 | − 0.002*** | − 0.007*** | − 0.013*** | − 0.020 | − 0.003*** |
(− 2.670) | (− 2.600) | (− 5.366) | (− 1.411) | (− 4.989) | |
PAY | 0.010*** | 0.022*** | 0.017*** | − 0.001 | 0.006*** |
(10.306) | (9.652) | (5.795) | (− 0.092) | (9.024) | |
TOP_1 | 0.040*** | 0.089*** | 0.044*** | − 0.009 | 0.034*** |
(10.921) | (10.395) | (3.623) | (− 0.185) | (9.856) | |
IND | − 0.021* | − 0.039 | − 0.038 | 0.583*** | − 0.013 |
(− 1.896) | (− 1.565) | (− 1.066) | (3.969) | (− 1.272) | |
DSUP_NUM | 0.006** | 0.012* | 0.017* | 0.032 | 0.005** |
(2.180) | (1.909) | (1.944) | (1.256) | (2.020) | |
BIG4 | 0.008*** | 0.015*** | 0.012* | 0.055** | 0.010*** |
(3.883) | (3.665) | (1.705) | (2.168) | (5.161) | |
TS | − 0.009*** | − 0.022*** | − 0.044*** | 0.110** | − 0.008*** |
(− 3.642) | (− 3.720) | (− 5.093) | (2.274) | (− 2.906) | |
REFORM | 0.012*** | 0.029*** | 0.051*** | − 0.048* | 0.012*** |
(8.188) | (8.408) | (10.282) | (− 1.917) | (8.408) | |
RET_ADJ | 0.012*** | 0.028*** | 0.023*** | 0.267*** | 0.009*** |
(9.092) | (8.922) | (5.406) | (11.255) | (7.531) | |
STATE | − 0.003*** | − 0.009*** | − 0.012*** | − 0.023 | − 0.004*** |
(− 2.686) | (− 3.241) | (− 3.103) | (− 1.280) | (− 3.647) | |
LEVERAGE | − 0.083*** | − 0.057*** | − 0.179*** | − 1.149*** | − 0.047*** |
(− 24.055) | (− 6.643) | (− 14.991) | (− 17.682) | (− 16.399) | |
SGR | 0.036*** | 0.075*** | 0.084*** | − 0.036 | 0.027*** |
(15.557) | (12.792) | (8.041) | (− 1.310) | (15.380) | |
BM | − 0.007*** | − 0.006 | 0.009 | − 0.853*** | 0.012*** |
(− 2.874) | (− 0.944) | (1.104) | (− 10.913) | (4.939) | |
FIRMSIZE | 0.002*** | 0.004** | 0.011*** | − 0.239*** | 0.006*** |
(2.915) | (2.468) | (4.711) | (− 16.469) | (9.347) | |
Intercept | 0.012 | − 0.307*** | − 0.092* | 7.074*** | − 0.094*** |
(0.842) | (− 7.384) | (− 1.916) | (25.297) | (− 7.252) | |
Year dummy | Y | Y | Y | Y | Y |
Industry dummy | Y | Y | Y | Y | Y |
R-squared | 0.401 | 0.304 | 0.286 | 0.576 | 0.320 |
Observations | 7190 | 7144 | 7190 | 7190 | 7190 |
6.2 Re-estimating the unexplained tunneling
Dependent variable | TUL |
---|---|
Panel A: the determinants of tunneling (robustness tests with MAK) | |
TOP_1 | 0.001 |
(0.338) | |
STATE | − 0.004*** |
(− 3.246) | |
ROA_LAG | − 0.029** |
(− 2.159) | |
LEVERAGE | 0.026*** |
(6.283) | |
BM | − 0.000 |
(− 0.253) | |
FIRMSIZE | − 0.004*** |
(− 7.587) | |
TUL_LAG | 0.787*** |
(41.070) | |
MAK | − 0.001*** |
(− 3.278) | |
Intercept | 0.089*** |
(8.932) | |
R-squared | 0.646 |
Observations | 5915 |
Dependent variable | ROA | ROE | ROS | TOBIN_Q | OPNIC |
---|---|---|---|---|---|
Panel B: relation between mutual fund ownership, tunneling behavior and firm performance (evidence from unexplained tunneling) | |||||
MF_PER | 0.326*** | 0.691*** | 0.601*** | 0.560 | 0.265*** |
(10.498) | (9.782) | (6.470) | (1.207) | (10.678) | |
MF_PER_2 | − 0.722*** | − 1.532*** | − 2.092*** | 5.482*** | − 0.833*** |
(− 6.164) | (− 5.908) | (− 6.011) | (2.611) | (− 9.069) | |
UNEXP_TUL | − 0.013*** | − 0.033*** | − 0.042*** | − 0.004 | − 0.010*** |
(− 6.189) | (− 6.965) | (− 6.363) | (− 0.230) | (− 6.035) | |
UNEXP_TUL* MF_PER | 0.234*** | 0.397*** | 0.487*** | − 0.614 | 0.226*** |
(4.791) | (3.748) | (3.113) | (− 0.887) | (5.836) | |
UNEXP_TUL*MF_PER_2 | − 0.587*** | − 1.058*** | − 0.788 | 5.727* | − 0.764*** |
(− 3.059) | (− 2.636) | (− 1.258) | (1.755) | (− 5.153) | |
PAY | 0.010*** | 0.022*** | 0.018*** | − 0.002 | 0.008*** |
(11.963) | (11.396) | (6.460) | (− 0.195) | (12.486) | |
TOP_1 | 0.029*** | 0.060*** | − 0.005 | 0.061 | 0.027*** |
(6.009) | (5.419) | (− 0.337) | (1.120) | (6.665) | |
IND | 0.003 | 0.010 | − 0.013 | 0.004 | − 0.003 |
(0.169) | (0.297) | (− 0.266) | (0.028) | (− 0.225) | |
DSUP_NUM | 0.006** | 0.012** | 0.014* | 0.018 | 0.006*** |
(2.542) | (2.134) | (1.871) | (1.090) | (3.009) | |
BIG4 | 0.006** | 0.009* | 0.013* | 0.005 | 0.005** |
(2.509) | (1.709) | (1.727) | (0.222) | (2.372) | |
TS | − 0.026*** | − 0.057*** | − 0.090*** | 0.536*** | − 0.023*** |
(− 5.414) | (− 5.347) | (− 5.767) | (8.303) | (− 5.723) | |
REFORM | 0.014*** | 0.034*** | 0.050*** | 0.012 | 0.016*** |
(6.086) | (7.005) | (7.403) | (0.484) | (8.289) | |
RET_ADJ | 0.012*** | 0.024*** | 0.023*** | 0.196*** | 0.007*** |
(7.988) | (7.014) | (5.227) | (9.778) | (5.321) | |
STATE | − 0.005*** | − 0.009*** | − 0.007 | − 0.043** | − 0.005*** |
(− 3.483) | (− 2.873) | (− 1.532) | (− 2.545) | (− 4.061) | |
LEVERAGE | − 0.089*** | − 0.080*** | − 0.222*** | − 0.898*** | − 0.066*** |
(− 21.500) | (− 8.270) | (− 14.902) | (− 16.648) | (− 20.579) | |
SGR | 0.038*** | 0.080*** | 0.089*** | − 0.016 | 0.031*** |
(14.259) | (12.609) | (7.930) | (− 0.727) | (16.392) | |
BM | − 0.004 | − 0.011 | 0.016 | − 0.779*** | 0.001 |
(− 1.035) | (− 1.268) | (1.254) | (− 24.058) | (0.175) | |
FIRMSIZE | 0.001 | 0.004** | 0.014*** | − 0.170*** | 0.005*** |
(0.886) | (2.267) | (4.956) | (− 15.720) | (6.413) | |
Intercept | − 0.077*** | − 0.272*** | − 0.201*** | 5.370*** | − 0.138*** |
(− 3.884) | (− 6.279) | (− 3.207) | (23.060) | (− 8.691) | |
Year dummy | Y | Y | Y | Y | Y |
Industry dummy | Y | Y | Y | Y | Y |
R-squared | 0.408 | 0.319 | 0.305 | 0.606 | 0.358 |
Observations | 5898 | 5858 | 5898 | 5898 | 5898 |
6.3 Endogenous or exogenous effect of mutual fund ownership
Null hypotheses | Chi2 | Prob > chi2 |
---|---|---|
Control variables: FIRMSIZE, ROA,TOP_1, LEVERAGE | ||
TUL do not Granger cause MF_PER | 3.939 | 0.047 |
MF_PER do not Granger cause TUL | 7.402 | 0.007 |
Control variables: FIRMSIZE, ROA, TOP_1, BM | ||
TUL do not Granger cause MF_PER | 2.648 | 0.104 |
MF_PER do not Granger cause TUL | 12.005 | 0.001 |
Control variables: FIRMSIZE, ROA, BM, LEVERAGE | ||
TUL do not Granger cause MF_PER | 2.421 | 0.120 |
MF_PER do not Granger cause TUL | 9.676 | 0.002 |
Control variables: FIRMSIZE, ROA, BM, LEVERAGE, TOP_1 | ||
TUL do not Granger cause MF_PER | 3.703 | 0.054 |
MF_PER do not Granger cause TUL | 11.015 | 0.001 |