控股股东股权质押与股价崩盘：“实际伤害”还是“情绪宣泄”

Stock Pledge of Controlling Shareholder and Corporate Crash Risk

本文以2004-2015年中国A股上市公司为样本,考察控股股东股权质押对公司股价崩盘的影响及其作用机制。研究发现,控股股东进行股权质押的公司股价崩盘风险显著较高,并且其股权质押比例越高,公司股价崩盘的风险越大,证实控股股东股权质押增加了公司股价崩盘风险。进一步,通过区分市场信息透明度和公司治理机制发现,市场信息透明度越高,控股股东股权质押与股价崩盘间的联系越弱,而公司治理机制则对二者关系没有显著影响,表明股权质押引发股价崩盘的根本原因在于市场信息环境不透明引发的投资者猜测和恐慌,而不在于股权质押背后的利益侵占或盈余管理。本文不仅为规范股权质押、稳定资本市场提供了借鉴,还为培育公开透明的资本市场必要性提供了证据。

This paper investigates into the influence of stock pledge of controlling shareholder on corporate future stock crash risk, and distinguishes the transmission mechanism. Using a sample of Chinese A-share listed firms during 2004 to 2015, we find that firms whose stocks are pledged by their controlling shareholder havehigher future stock crash risk, and the crash risk is increased with the proportion of stock pledge. The findings are robust to a battery of sensitivity analyses, including the use of alternative measures of controlling shareholder’s stock pledge, propensity score matching analysis, regressions after controlling for all other known determinants of crash risk, and additional analysis across different motives and types of stock pledge. Furthermore, we examine the transmission mechanisms on how stock pledge of controlling shareholder affect corporate future crash risk using subsample analyses on market information opacity and corporate governance. Our findings suggest that:(1) the inf luence of stock pledge of controlling shareholder on corporate crash risk is more outstanding in firms with lower market information opacity, compared with their counterparts with higher market information opacity;and(2) we find no evidence to support that such effect presents significantly difference between firms with strong corporate governance structure and firms with weak corporate governance mechanisms. These findings are consistent with our claim that the positive relation between stock pledge of controlling shareholder and corporate crash risk is driven by investors’ panic arising from the opaque information environment, rather than the benefits expropriation and earnings management of controlling shareholder. Overall, our results highlight the role of controlling shareholder’s stock pledge and its mechanism in determining corporate crash risk, and therefore enrich the literature on the determinants of corporate crash risk and consequences of stock pledge. The conclusion of this paper will also be helpful for regulating stock pledges of controlling shareholder, improving information environment, and preventing systemic financial risk.