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

作　　者：许晓芳 陆正飞[2] XU Xiaofang;LU Zhengfei(School of Business,Beijing Technology and Business University;Guanghua School of Management,Peking University)

机构地区：[1]北京工商大学商学院/国资国企研究院,北京100048 [2]北京大学光华管理学院,北京100871

出　　处：《金融研究》2023年第12期56-73,共18页Journal of Financial Research

基　　金：国家自然科学基金面上项目(72272005,71972005);国家自然科学基金青年基金项目(71902001);北京工商大学数字商科与首都发展创新中心项目(SZSK202312)的资助。

摘　　要：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

关 键 词：股价崩盘风险 股权质押 信息不对称 信贷市场 

分 类 号：F832.51[经济管理—金融学]