机构投资者退出威胁如何促进金融市场稳定?——基于股价崩盘风险视角  

How does the Threat of Exit by Institutional Investors Contribute to FinancialMarket Stability? From the Perspective of Stock Price Crash Risk

作　　者：陈作华[1] 郭春萌 葛锐 Chen Zuohua;Guo Chunmeng;Ge Rui

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》2023年第12期54-67,共14页Securities Market Herald

基　　金：山东省自然科学基金项目“薪酬差距、超额薪酬对高管减持行为的影响机理及监管对策研究”(项目编号:ZR2022MG038);国家社科基金一般项目“制药企业研发风险的资本对冲机制与知识资产积累研究”(项目编号:19BGL252)。

摘　　要：本文以2007—2021年沪深A股上市公司为研究对象,基于股价崩盘风险视角考察了机构投资者退出威胁如何促进金融市场稳定。研究发现,机构投资者退出威胁可以显著抑制股价崩盘风险,控制可能的内生性问题后结论依然成立。机制分析发现,机构投资者退出威胁通过降低代理成本以及降低分析师盈利预测乐观偏差,可以有效抑制股价崩盘风险。进一步分析发现,机构投资者退出威胁对股价崩盘风险的抑制作用在媒体关注度高的上市公司更显著,而在“两职合一”的上市公司中则被显著削弱。本研究揭示了机构投资者退出威胁在抑制股价崩盘风险中发挥的关键作用,对强化金融稳定保障体系有重要的参考价值。Based on the sample of A-share listed companies on the Shanghai and Shenzhen Stock Exchange from 2007 to 2021,this paper investigates how the threat of exist by institutional investors contributes to financial market stability from the perspective of stock price crash risk.The study finds that the threat of exist by institutional investors can significantly curb stock price crash risk,and the findings remain robust after controlling for possible endogenous problems.The mechanism analysis finds that the threat of exist by institutional investors can effectively curb stock price crash risk by reducing agency costs and the optimism bias of analysts’earnings forecast.Further investigation finds that the inhibitory effect of the threat of exist by institutional investors on stock price crash risk is more significant for listed companies with higher media attention and is substantially weakened for listed companies with CEO duality.This study reveals the key role played by the threat of exit by institutional investors in curbing stock price crash risk,which has important reference value for strengthening the financial stability protection system.

关 键 词：机构投资者 退出威胁 股价崩盘风险 金融市场稳定 

分 类 号：F830.9[经济管理—金融学]