实控人分类与股权质押道德风险测度  

Classification of Actual Controllers and Measurement of Moral Hazard of Equity Pledge

作　　者：李腊生[1] 贺诚 Li Lasheng;He Cheng

机构地区：[1]天津财经大学中国经济统计研究中心 [2]天津财经大学统计学院

出　　处：《统计研究》2022年第2期96-113,共18页Statistical Research

基　　金：国家社会科学基金一般项目“我国系统性金融风险底线识别及风险化解路径研究”(20BTJ038)。

摘　　要：道德风险测度的困难在于无法直接观测信息优势方的心理活动及情感价值,而经济行为人的心理活动及情感价值又存在明显的异质性。本文以价值函数理论为依据,以上市企业实控人股权质押行为为研究对象,通过在实控人价值评价中引入情感价值函数,构建了实控人行为异质特征识别模型。在此基础上,利用潜在剖面分析与贝叶斯分层模型,提出了一套针对不同类型实控人股权质押道德风险测度方案,并结合我国上市企业的实际数据,运用实证分析的方法对我国上市企业实控人进行了分类并测度了其股权质押道德风险。实证结果发现:我国民营上市公司实控人中,虽然“利益”型实控人占比最小,但其道德风险值却达到相当高的程度;异质实控人之间道德风险差异较大,高道德风险群体主要集中于“利益”型民营企业与非民营企业,而“情感”型实控人具有低道德风险演化的特质;非民营企业实控人的道德风险整体高于民营企业。The difficulty of measuring moral hazard is that we can’t directly observe the psychological activity and emotional value of the information dominant party,while the psychological activity and emotional value of economic actors are obviously heterogeneous.Based on the value function theory,this paper takes the actual controller’s equity pledge behavior of listed enterprises as the research object,and constructs the identification model of actual controller's heterogeneous characteristics by introducing emotional value function into the value evaluation of actual controllers.On this basis,using the potential profile analysis and Bayesian hierarchical model,this paper proposes a measurement scheme for different types of actual controllers'equity pledge moral hazard.Combined with the actual data of listed enterprises in China,this paper classifies the actual controllers of listed enterprises in China and measures their moral hazard of equity pledge with empirical analysis.The empirical results show that among the actual controllers of China’s private listed companies,although the proportion of“interest”type actual controllers is the smallest,their moral hazard value reaches a considerable degree.There is a big difference in moral hazard among heterogeneous real controllers.The high moral hazard groups mainly come from the real controllers of“interest”type private enterprises and non-private enterprises,while the“emotional”type controllers have the characteristic of low moral hazard evolution.The moral hazard of actual controllers in non-private enterprises is higher than that in private enterprises.

关 键 词：股权质押 实控人 异质特征 道德风险 

分 类 号：C812[社会学—统计学]