股权质押融资存在“柠檬现象”吗?——来自股价崩盘风险的证据

Does Shareholder Equity Pledge Financing Give Rise to the"Lemon Phenomenon"in China?Evidence Based on Stock Price Crash Risk

依法规范和引导资本健康发展,防范化解系统性金融风险,是促进我国经济高质量发展的重要举措。公司股价崩盘风险,不仅会对其自身产生不良影响,还很可能通过“股权质押”的“关联性”产生外溢效应。本文以1999—2019年中国A股市场非金融上市公司为研究对象,实证检验了公司股价崩盘风险对股东股权质押行为的影响。研究发现,公司股价崩盘风险增加了股东股权质押行为,表明股权质押融资市场上确实存在由于信息不对称所导致的劣币驱逐良币这种“柠檬现象”;在基于准自然实验构建的DID法、工具变量法等一系列稳健性检验后,该结论仍然成立。进一步研究发现,公司股价崩盘风险加剧股东股权质押的效应,在国有控股、规模较大、股权制衡度较低和成长性较差的公司中较强,且股价崩盘风险的提升会加剧股权质押,增大股票平仓风险的效应。本文丰富和拓展了信贷市场信息不对称和股权质押影响因素等方面的研究,可为完善上市公司信息披露制度、强化资本市场会计监管以及防范化解系统性金融风险提供决策参考。

Equity pledge financing has become a prevalent method used by the shareholders of listed companies in China to pursue debt financing.In recent years,sharp declines in stock prices due to an equity pledge,resulting in the risk of debt default and significant losses for pledgees,have become increasingly common occurrences.Studies demonstrate the existence of moral hazard and adverse selection issues in the credit market.The occurrence of equity pledge financing hinges on the willingness of shareholders to pledge their equity for financing and the readiness of financial institutions to accept such equity pledges and provide financing.However,due to asymmetric information between pledgers and pledgees,financial institutions may be conservative when determining pledge rates,making it challenging to accurately assess the risk of a company's stock price collapse.This may lead financial institutions to set low pledge rates for stocks of“good companies,”causing pledgers to abandon transactions,and high pledge rates for stocks of“bad companies,”making pledgers more willing to accept transactions.In essence,a“lemon phenomenon”may exist in the equity pledge financing market due to information asymmetry.This phenomenon not only adversely affects the companies directly by increasing the risk of stock price collapse but also has spillover effects through the“association”of equity pledges.Regulating and guiding the healthy development of capital in accordance with the law,as well as preventing and resolving systemic financial risks,are important measures to promote high-quality economic development in China.Clarifying the issues arising from the lemon phenomenon in the credit market not only contributes to the literature on credit market information asymmetry and the factors influencing equity pledges,but it also provides valuable insights into mitigating the propagation of stock price collapse risk from the capital market to the credit market and the potential systemic financial risks.In this context,this paper focuses on Chinese listed companies from 1999 to 2019,using a large-sample regression method to empirically test the impact of stock price crash risk on shareholders'share pledge behavior.It finds that corporate stock price crash risk increases shareholders'share pledge transactions,indicating the presence of the information asymmetry issue whereby“bad money drives out good money”in pledged equity financing.The robustness tests confirm the reliability of the findings.Further research shows that the positive relationship between stock price crash risk and equity pledges is more pronounced in state-owned enterprises and companies with a larger scale,lower equity balance,and weaker growth,and that elevated stock price crash risk exacerbates the effect of equity pledges on increasing the risk of stock closure.This paper yields three key research innovations and contributions.First,it provides evidence of and enriches the literature on information asymmetry issues in the credit market and the factors influencing equity pledge transactions,both domestically and internationally.The literature on the factors affecting equity pledges is limited,lacking a focus on information asymmetry in the credit market.Second,this paper extends the examination of the economic consequences of stock price crash risk from the capital market to the credit market.In doing so,it expands the research on the economic consequences of a company's stock price crash risk and,based on the quasi-natural experiment of the Shanghai Stock Exchange's“Audit Committee Disclosure,”effectively alleviates endogeneity issues,thus strengthening the causal effect of a company's stock price crash risk on shareholders'equity pledges.The literature examining whether and how a company's stock price crash risk affects its financing behavior is scarce,and this paper discovers that the probability and extent of shareholders'equity pledge financing are positively affected by a company's stock price crash risk.This effect is more significant in state-owned companies,larger companies,companies with lower equity balance degrees,and companies with poor growth prospects.As stock price crash risk escalates,it exacerbates the negative impact of increased equity pledges on stock liquidation risk.Third,both the revealed information asymmetry issues and the lemon phenomenon in the equity pledge financing market have important policy implications and decision-making references.This paper not only provides empirical insights into optimizing financial equity pledge rates but also offers a decision-making basis on which regulatory authorities can formulate and improve the disclosure system for listed firms and accounting supervision policies in capital markets.Ultimately,it contributes to averting the transmission of stock price crash risk from the capital market to the credit market and preempting potential systemic financial risks.