公司高管减持同伴效应与股价崩盘风险研究

The Peer Effects of Managers’ Stock Selling and Stock Price Crash Risk

高管大批量集中减持现象一直倍受市场关注,但现有研究主要关注内部人信息优势和公司治理等内生因素对其减持行为的影响,较少考察外部因素的作用。本文基于同伴效应视角,研究同伴公司高管减持对公司高管减持行为的外生影响及其经济后果。研究发现,公司高管减持过程中存在明显的同伴效应现象。同时,高管减持同伴效应受环境不确定性、行业或市场地位和高管职位层级的显著影响,特别是在高科技行业中表现尤为明显。而且,该同伴效应对公司、行业及地区三个层面的股价崩盘风险均存在显著正向影响。进一步研究发现,高管清仓式减持会引发更严重的同伴效应现象,并加剧了崩盘风险的上升。本研究对内部人交易监管和资本市场风险防范等实践具有重要启示。

A large number of managers in China sell their stocks on a large scale, and many executives "sell stocks in group". As company insiders, their stock selling behavior has a direct effect on their companies’ stock prices. In addition, because of the signal function of their reduction behavior, it can trigger a panic and encourage investors to sell their stocks, resulting in a sharp fall in stock prices, which will jeopardize the healthy and stable development of the stock market.The literature on insider selling focuses on the influence of endogenous factors, such as information advantage and corporate governance, on executives’ stock selling behavior. However, in reality, companies do not operate in isolation and are part of a given social environment. Thus, any experienced manager knows to keep a close eye on his/her peers’ behavior. Recent research also reveals the obvious peer effects on firms’ executive compensation scheme, capital structure, and dividend payments. At the same time, as controllers of their company, managers’ selling behavior usually conveys negative information, such as the company’s prospects are not optimistic and their lack of confidence. In addition, there is usually a tendency for strategic disclosure to divulge good news and cover bad news. Thus, to boost share prices and reduce the negative effects of selling behavior, this can help transfer wealth successfully. However, when negative information accumulates and is eventually published(with the negative shock of falling stock prices), it is likely to lead to a stock price crash and even to rapidly increase the systemic risk of the capital market.We use executives’ stock selling data in China from January 2006 to December 2017. Based on the perspective of peer effects, we examine the exogenous effects of executives’ reduction in the same industry and region on managers’ sock selling behavior and its consequences on the market. We obtain the following results. First, senior managers’ stock selling has obvious peer effects, that is, it encourages managers from peer firms in the same industry and region to sell their stocks, illustrating the phenomenon of "selling stocks in group". Second, the greater the uncertainty of the external environment and the lower the rank of senior executives, the more obvious the peer effects of executives’ reduction. Moreover, executives’ sock selling behavior is influenced by the leaders and followers of the industry and region;that is, the phenomena of "tendency to go up" and "frequency imitation" coexist, although leaders have a greater influence. Moreover, the peer effects are more evident in the high-tech industry. Third, these peer effects can lead to a serious stock price crash for firms, industry segments, and area segments. Finally, managers’ "clearance selling" can lead to greater peer effects and serious stock price crash risk. The contributions of our study are the following.(1) We examine the exogenous effects of managers’ stock reduction in the same industry and region on corporate managers’ stock selling behavior. Out study complements previous studies on senior executives’ reduction from the perspective of information advantage and corporate governance, broadening the research perspective and content of insider trading.(2) The literature on the peer effects of corporate decision-making mainly focuses on firms’ capital structure, executive compensation scheme, and information disclosure. In addition, most studies only examine the existence and formation mechanism of peer effects, with few studies investigating peer effects in insider trading and their economic consequences. We analyze the peer effects of managers’ sock selling behavior, then examine the effects of this behavior on stock price crash risk, thus enriching the literature on the peer effects of corporate decision-making.(3) There is little research on stock price crash risk involving multiple companies. Based on the method of measuring corporate stock price crash risk, we construct industry-specific and region-specific stock price crash risk measurement indexes, and test the effects of the peer effects of senior executives’ stock selling on stock price crash risk at the company, industry, and regional levels, enriching research on stock price crash risk.