大股东股权质押与兜底增持:市场反应与风险信号

Equity Pledge of Major Shareholders and Underwriting Shareholding Increases:Market Reactions and Risk Signals

兜底增持是指大股东(或实际控制人)呼吁员工买入本公司股票,并对可能发生的亏损进行补偿的承诺。基于A股上市公司的实证研究,本文发现:(1)股权质押较高的大股东更具实施兜底增持的倾向,并且股价下跌压力会强化大股东股权质押与兜底增持的正向关系。(2)尽管兜底增持能够带来短期的正面市场反应,但股权质押会削弱兜底增持的正面市场反应。(3)从企业长期的基本面来看,兜底增持企业的绩效(ROA)与对照企业并无显著差异,而高质押兜底增持企业的绩效会显著低于其对照组。研究表明,兜底增持是股权质押的大股东缓解平仓风险的“权宜之计”,而非可靠的价值信号,高质押企业的兜底增持甚至是绩效恶化的风险信号。投资者对兜底增持的短期正面反应存在一定的非理性成分。本研究不但增加了对兜底增持的前因和效果的理解,而且发现了投资者对兜底增持的非理性反应,具有一定的参考价值。

Underwriting shareholding refers to the commitment of major shareholders(or actual controllers)to call on employees to buy the company's shares and compensate for potential losses.Based on the empirical research on A-share listed companies,it is found that:First,major shareholders with higher equity pledges are more inclined to implement a underwriting shareholding increase,and the downward pressure of stock prices can strengthen the positive relationship between major shareholders'equity pledges and underwriting shareholding increase.Second,although underwriting shareholding can lead to a positive short-term market response,equity pledges weaken the positive market response of underwriting.Third,from the long-term fundamental perspective of the enterprise,the performance of underwriting firms(ROA)is not significantly different from that of control firms,while the performance of underwriting firms with high pledges is significantly lower than that of their control group.The study shows that,the underwriting shareholding increase is a"stopgap"measure to alleviate the risk of liquidation by major shareholders with equity pledges,rather than a reliable value signal,and the underwriting shareholding increase of highly pledged companies is even a risk signal of deteriorating performance.And there is a certain irrational component in the short-term positive response of investors to underwriting shareholding.This study not only adds to the understanding of the antecedents and effects of underwriting shareholding increases,but also identifies irrational investor reactions to underwriting shareholding increases,which has certain reference implications.