股权质押《新规》抑制风险了吗?

Does the New Regulation on Stock Pledge Reduce Financial Risk?

本文基于股权质押《新规》发布这一外生事件,研究《新规》是否有效抑制股权质押的风险。从市场反应来看,股权质押比例较高的企业在《新规》发布窗口期内的累计超额回报也相对较高,表明市场投资者对《新规》的出台给予了积极的反应。该正向关系在非国有企业、质押资金流向是股东自身、控股股东存在股权质押、控股股东质押次数较多、质权方为券商和公司治理较差的企业中较强。从实施效果来看,相比于股权质押比例较低的企业,股权质押比例较高的企业的金融资产配置水平在《新规》出台后下降程度更大,表明《新规》起到了抑制“脱实向虚”的作用,有助于降低金融市场风险。本文研究结果不仅为《新规》实施后的市场反应和经济后果提供了经验证据,同时也对十九大提出的关于深化金融体制改革、防范金融风险的要求的政策制订具有启示作用。

This paper studies whether the stock pledge New Regulation effectively controls the risk of stock pledge based on the exogenous release of the stock pledge New Regulations.The results are as follows.First,from the perspective of market reactions,the companies with higher ratio of stock pledge have higher cumulative abnormal return(CAR)when the New Regulation is released,which indicates that the market responds positively to the New Regulation.This positive relationship is more pronounced in non-SOEs,enterprises with controlling shareholders using the pledge financing funds to support themselves,enterprises with controlling shareholders with stock pledge,enterprises with controlling shareholders with frequent stock pledges,enterprises whose pledgees are brokers and enterprises with poor corporate governance.Second,from the perspective of economic consequences,the financial assets allocation level of enterprises with higher ratio of stock pledge significantly declines more after the release of the New Regulation compared with enterprises with lower ratio of stock pledge.This result suggests that the New Regulation indeed plays a role in restraining stock pledge financialization.The results of this paper not only provide empirical evidence for the market reaction and economic consequences of the implementation of the New Regulations,but also have enlightenments to the 19th National Congress's claim on deepening the reform of the financial system and preventing the financial risks.