市场风险会驱动高管择机性减持吗?  

Does the Market Risk Drive Executives’Timing of Selling Stocks?

作　　者：陈作华[1] 王守海[1] Chen Zuohua;Wang Shouhai

机构地区：[1]山东财经大学会计学院,山东济南250014

出　　处：《证券市场导报》2020年第12期47-57,共11页Securities Market Herald

基　　金：山东省自然科学基金面上项目“基于公司风险视角的董监高减持股份行为经济后果研究”(批准号:ZR2018MG008);教育部人文社会科学研究项目“会计准则体系与保险偿付能力监管规则的协调框架构建与路径优化研究”(批准号:19YGA790083)。

摘　　要：究竟哪些因素驱动了高管减持备受学术界关注。已有研究多立足于信息优势、公司治理环境以及高管收入等角度进行探讨,忽略了市场风险可能发挥的功能。区别于以往研究,本文尝试将市场风险纳入高管减持影响因素的分析框架中,检验其发挥的功能。利用2006-2018年中国A股上市公司数据进行实证检验后发现:市场风险与高管减持之间显著正相关,高管减持时呈现出风险规避效应;市场风险较高企业的高管在减持股票时有较强的择机性,存在显著的择机特征;高管减持中的风险规避效应和择机性在非国有企业中更为显著;进一步研究发现,市场风险与高管减持叠加显著地提高了企业的资本成本,降低了企业价值。以上结果表明,市场风险是影响高管减持的重要因素,市场风险与高管减持叠加带来了较为负面的经济后果。What factors are driving executives’stock selling has drawn much attention from the academic community.Existing studies have explored this issue from the perspective of information advantages,corporate governance environment,and executive income,albeit ignoring the role and function of the market risk.Different from previous studies,this article attempts to incorporate the market risk into the analysis framework with factors affecting executives’selling,and tests its function.Using data of Chinese A-share listed companies from 2006 to 2018,it was found that there is a significant positive correlation between the market risk and executives’selling,showing a risk aversion effect.Executives of companies with higher market risks are more opportunistic when selling shares.The opportunistic behavior and risk aversion effects in executives’selling are more significant in non-stateowned enterprises.Further research found that the executives’selling of companies with higher market risks significantly increases the capital cost and reduces the value of the company.The above results show that market risk is an important factor affecting executives selling,and the combination of market risks and executives’selling brings about unfavorable economic consequences.

关 键 词：市场风险 高管减持 风险规避效应 择机性 

分 类 号：F830.9[经济管理—金融学]