私募证券投资基金持股对公司避税程度的影响
金融
2024届
刘明新
李路
上海外国语大学
硕士学位论文
私募证券投资基金持股
对公司避税程度的影响
院系：国际金融贸易学院
学科专业：金融
姓名：刘明新
指导老师：李路
2024年5月
Shanghai International Studies University
THE IMPACT OF HEDGE FUND HOLDINGS ON THE DEGREE
OF CORPORATE TAX AVOIDANCE
A Thesis Submitted to the School of Economics and Finance
In Partial Fulfillment of Requirements for
Degree of Master of Finance
By
LIU Mingxin
Under the Supervision of Professor Li Lu
May 2024
摘要
始于20世纪70年代末期的中国经济体制改革，是我国经济向好的历史性转
折，对内深化改革、推行市场经济，对外扩大国际合作，时代的洪流自此涌向基
金行业。同时，经济积极发展的总基调带来了居民储蓄的增长，高净值客户数量
不断增加，资产管理需求呈现多样化特征，私募证券投资基金作为新一类的机构
投资者强势“上线”，深度参与上市公司治理，逐渐成为资本市场的重要参与者。
那么，私募证券投资基金是否会影响被持股公司的经营管理呢，又是以何种途径
发挥作用呢？此外，纳税是公司的应尽义务，它既是管理层内部决策的结果，也
是公司经营水平的呈现，那私募证券投资基金作为外部股东是否会影响公司纳税
行为呢？通过梳理已有的文献研究发现，国内文献很少将私募证券投资基金与公
司避税程度联系在一起，而国外文献中仅Cheng et al.（2012）研究发现美国对
冲基金持股上市公司，会加剧被持股公司的避税行为。因此，本文以我国私募证
券投资基金和其持股的上市公司为研究对象，从理论与实证角度深度剖析二者关
系，探究私募证券投资基金的参与，是否会影响公司避税行为，是否对公司治理
起到积极作用。
首先，本文以2010-2021年的A 股上市公司为样本，探究私募证券投资基金
与公司避税程度之间的关系，实证研究表明：私募证券投资基金的持股会抑制上
市公司的避税程度。紧接着，从公司自身特征出发，进行分样本检验，结果发现：
在非国有、股权集中度高、融资约束程度高、会计信息质量低的公司中，私募
证券投资基金对公司避税程度的抑制作用更显著。此外，本文采用PSM-DID 模
型消除潜在的内生性问题，并针对变量和样本数据进行一系列稳健性检验，结论
依然成立。
本文从微观企业出发，分析私募证券投资基金对公司避税程度的影响，补充
现有文献在私募证券投资基金在该领域的研究，同时将避税这一内部决策与外部
因素联系起来，帮助投资者全面认识上市公司的运营模式与治理情况，有助于提
高投资者投资素养，推动资本市场高质量发展。
关键词：私募证券投资基金；避税程度；机构投资者；公司治理
II
Abstract
The reform of China's economic system,which began in the late 1970s,is a
historic turn for the better in China's economy,deepening reforms internally,
implementing a market economy,and expanding international cooperation externally,
and the current of the times has been pouring into the fund industry since then.At the
same time,the general tone of positive economic development has brought about the
growth of residents'savings,the number of high-net-worth customers continues to
increase,the demand for asset management presents diversified characteristics,hedge
funds as a new class of institutional investors strong "on-line",in-depth participation
in the governance of listed companies,and gradually become an important participant
in the capital market.So,will the hedge fund affect the management of the company
being held,and in what way does it play a role?In addition,tax payment is the due
obligation of the company,which is both the result of management's internal
decision-making and the presentation of the company's operation level,so will hedge
funds as external shareholders influence the company's tax payment decision?
Through combing the existing literature research,it is found that the domestic
literature rarely links hedge funds with the degree of corporate tax avoidance,while
only Cheng et al.(2012)in the foreign literature found that U.S.hedge funds'
shareholding in listed companies exacerbates the tax avoidance behaviors of the
companies being held.Therefore,this paper takes China's hedge funds and their
shareholding in listed companies as the research object,analyzes the relationship
between the two in depth from the theoretical and empirical perspectives,and
explores whether the participation of hedge funds affects the company's tax avoidance
behavior,and whether it plays a positive role in the corporate governance.
Firstly,this paper takes the A-share listed companies from 2010to 2021as a
sample to explore the relationship between hedge fund and the degree of corporate tax
avoidance,and the empirical study shows that the shareholding of hedge fund will
inhibit the degree of tax avoidance of listed companies.Immediately after that,from
the company's own characteristics,a split-sample test is conducted,and the results
find that:the inhibitory effect of hedge funds on the degree of corporate tax avoidance
is more significant in companies that are non-state-owned,have high equity
concentration,high degree of financing constraints,and have low quality of
accounting information.In addition,this paper adopts the PSM-DID model to
eliminate the potential endogeneity problem and conducts a series of robustness tests
III