一损俱损还是转危为安?企业集团内部风险特征研究——基于股价崩盘风险的视角  

Losses for All or Turning Danger into Safety?Risk Characteristics of Business Groups from the Perspective of Stock Price Crash Risk

作　　者：高晗 张一林 蔡卫星 郁芸君[6] GAO Han;ZHANG Yilin;CAI Weixing;YU Yunjun(Business School,Sun Yat-sen University,Shenzhen 518107,China;Lingnan College,Sun Yat-sen University,Guangzhou 51027,China;Advanced Institute of Finance,Sun Yat-sen University,Guangzhou 510275,China;School of Finance,Guangdong University of Finance and Economics,Guangzhou 510320,China;Research Center of National Finance,Guangdong University of Finance and Economics,Guangzhou 510320,China;Wenlan School of Business,Zhongnan University of Economics and Law,Wuhan 430073,China)

机构地区：[1]中山大学商学院 [2]中山大学岭南学院 [3]中山大学高级金融研究院 [4]广东财经大学金融学院 [5]广东财经大学国家金融学研究中心 [6]中南财经政法大学文澜学院

出　　处：《金融评论》2024年第6期101-125,153,共26页Chinese Review of Financial Studies

基　　金：国家自然科学基金重点项目《国有资本并购重组的理论、机制与模式研究》(项目批准号:72132010);广东省自然科学基金杰出青年项目《广义碳泄漏风险下碳交易机制研究》(项目批准号:2023B1515020068),广东省自然科学基金卓越青年团队项目《产业数字金融赋能实体经济的理论及其应用研究》(项目批准号:2023B1515040001)的资助

摘　　要：因企业集团成员发生股价崩盘引发的市场动荡,在中国屡见不鲜。本文利用2009~2019年A股上市公司企业集团数据,从股价崩盘风险的视角分析讨论企业集团成员发生股价崩盘事件后,集团成员的股价崩盘风险会如何变化。结果表明,当集团内有成员发生股价崩盘后,集团成员的股价崩盘风险将显著降低,证实了我国企业集团具有“风险共担”的特点。进一步从机构投资者持股行为和信息披露行为进行机制检验发现,集团成员股价崩盘风险之所以降低,一方面是因为机构投资者在崩盘事件发生后对集团成员进行了非理性的减持,进而减少了机构投资者作为“崩盘加速器”带来的负面作用,使得集团成员的股价崩盘风险得以缓解;另一方面,企业集团利用内部资本市场便利借助真实盈余管理缓解短期股价下跌压力,同时主动披露了更多负面消息从而降低了股价崩盘风险。文章的研究有助于更好地理解企业集团这一重要组织形式的风险特征,为防范和化解企业集团所引起的局部风险提供了理论依据,从而助力资本市场平稳运行。Market turmoil triggered by stock price crashes within business groups is a recurring phenomenon in capital markets.This paper examines data from A-share listed companies affiliated with Chinese business groups between 2009 and 2019 to investigate how the stock price crash risk of group members evolves following a crash event.Specifically,it explores whether such events lead to internal risk contagion or mitigation within the group.The findings reveal that when a group member experiences a stock price crash,the crash risk for other group members significantly decreases,highlighting the"risk-sharing"mechanism characteristic of Chinese business groups.Mechanistic analysis shows that this risk mitigation is driven by two key factors:(1)Irrational divestment by institutional investors post-crash reduces their role as"crash accelerators,"alleviating crash risk.(2)Business groups leverage internal capital markets for real earnings management,easing short-term stock price pressures,while proactively disclosing negative news to reduce risks associated with information asymmetry.This study enhances the understanding of risk characteristics in business groups and offers theoretical insights into managing and mitigating localized risks within such organizations.These findings contribute to strategies for ensuring the stable operation of capital markets.

关 键 词：企业集团 风险特征 股价崩盘风险 机构投资者 信息披露 

分 类 号：F83[经济管理—金融学]