股权质押下的控股股东增持:“价值信号”还是“行为信号”?  

Increased Holdings of Controlling Shareholders Under Equity Pledge:Value Signal or Behavioral Signal?

作　　者：徐龙炳[1] 汪斌 XU Longbing;WANG Bin(School of Finance,Shanghai University of Finance and Economics)

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《金融研究》2021年第1期188-206,共19页Journal of Financial Research

基　　金：国家自然科学基金项目(71773073、72073088、71773072)的资助。

摘　　要：在股权质押的背景下,理性的控股股东会利用投资者的有限理性,通过增持向市场发送行为信号来提振股价,以缓解控制权转移风险。研究发现:股权质押下控股股东更有可能增持;短期内增持公告产生了正向的市场反应,其程度在非质押组和质押组间无显著差异;而长期来看,增持后质押组的长期股价以及经营绩效表现弱于其对照组,而非质押组则好于其对照组,说明股权质押下的增持并不是价值信号,而是行为信号。进一步研究发现,质押对增持的正向效应在高平仓压力组、低公司质量组、监管环境较宽松的欠发达地区更显著。拓展性检验表明,在考虑减持影响后,股权质押下控股股东更倾向于通过二级市场买卖和竞价交易实施净增持,并且管理层与其他大股东也会在一定程度上迎合控股股东的增持行为。最后本文排除了传统增持动机假说对上述结论的替代性解释。In recent years,controlling shareholders have increased their holdings of the company's stocks.Most controlling shareholders claim that they increased their shares because they are confident in the company's trajectory and optimistic about its future prospects.However,studies have found that many controlling shareholders increased their holdings following an equity pledge.Why are controlling shareholders keen to increase their holdings after an equity pledge?Do holdings under different backgrounds send different signals?How does the market interpret the signals?Traditional signal theory claims that an increase in the controlling shareholders'holdings transmits signals about the company's fundamentals and future development.Rational investors will use the signal to judge the company's value.They will believe that the current stock price deviates from the intrinsic value,which is considered the signal transmission effect.According to behavioral finance studies,investors have bounded rationality:their decision-making process has reference point dependence and representative deviation.A traditional signal transmission becomes a behavioral signal when the investor habituates the traditional signal.The behavioral signal is essentially a signal,but it does not reflect the company's fundamentals.Rather,it influences the investor's decision-making through their judgment of behavioral habits,resulting in the signal transmission effect.This paper argues that the increase in holdings under equity pledge is a behavioral signal,and the controlling shareholders have a motive to use the behavioral signal effect from an increase in holdings to stabilize the stock price,thus mitigating the risk of the equity pledge.This study empirically tests a sample of A-share listed companies from 2008 to 2017 and finds that controlling shareholders are more inclined to increase shareholdings under an equity pledge.Their inclination strengthens with the increase in pledge rate,indicating that the controlling shareholder's increase in holdings

关 键 词：股权质押 控股股东增持 控制权转移风险 行为信号 

分 类 号：F832.51[经济管理—金融学]