关联券商参与股权质押与公募基金投资决策

Related Securities Companies Participated in Equity Pledge and Mutual Fund Investment Decision

近年来,上市公司大股东参与股权质押的现象愈发普遍,如何有效识别股权质押公司的风险信息是外部投资者决策时需要考虑的关键问题。本文以2014~2019年我国开放式公募基金为研究对象,聚焦有券商参与股权质押的上市公司,考察关联券商参与股权质押对公募基金投资行为的影响。研究发现,公募基金会更多地投资于关联券商参与股权质押的公司,并且该效应在非指数型投资、上市公司信息透明度更低的样本里更为显著。该结果表明公募基金投资时会从关联券商处获得质押标的信息,从而具有投资的信息优势。进一步检验发现,公募基金在关联券商参与股权质押的上市公司中的投资绩效更好,而且2018年股票质押新规实施后,关联券商参与股权质押对公募基金投资的促进作用明显减弱。上述发现有利于理解券商在化解上市公司股权质押风险中的积极作用,对于进一步完善股权质押市场机制具有一定的启示作用。

In recent years,it is common in China’s capital market for major shareholders to participate in equity pledges.For external investors,how to effectively identify the risks of companies involved in equity pledges has become a key issue when making decisions.This paper takes the listed companies of China’s A-share which equity pledge led by securities fi rms from 2014 to 2019 as the research sample to analyze the infl uence exerted by equity pledge of affi liated securities fi rms on the investment behavior of mutual funds.We found that mutual funds invest more in companies in which affiliated securities firms participate in equity pledges,and their investment performance is better.The result shows that mutual fund will obtain pledged information about the subject matter,thus having investment information superiority.Further research shows that the promotion effect of affi liated securities fi rms on mutual fund investment is more signifi cant in the high pledge intensity group and the high relevance group.The above fi ndings are conducive to understanding the positive role of securities fi rms in defusing the risk of equity pledges companies,and have a certain enlightenment for further improving the equity pledge market mechanism.