高管减持、信息压制与股价崩盘风险

doi:10.12094/1002-7246（2017）11-0175-16

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摘要本文以2007-2013年中国上市公司数据为研究对象,考察了高管减持行为对股价崩盘风险的影响方向及其作用渠道。结果显示:(1)高管减持股票的金额越大,公司股价崩盘风险越高;(2)当高管减持动机越强以及减持效用越大时,高管减持对股价崩盘风险的影响增强;(3)对作用渠道的识别显示,管理层的信息压制行为导致了“坏消息”聚集,最终引发股价崩盘风险。本文为后金融危机背景下股价崩盘风险的应对提供了一定的启示意义。

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	孙淑伟
	梁上坤
	阮刚铭
	付宇翔

关键词: 高管减持信息压制股价崩盘风险

Abstract: In the post-financial crisis period, the stock price crisis has been a focus in the field of theory and practice. Using a large sample of management selling from 2007 to 2013, we investigate whether and how management selling leads to increased risk of stock price crash. We find that: (1) the risk of listed company’s stock price crash is positively associated with the value of management selling, (2) for firms with stronger selling incentive and greater selling utility, the risk of stock price crash is more significantly influenced by management selling, (3) to identify the channel: we document that management has incentive to bury the bad news before the stock selling, and eventually cause stock price crash risk. This paper provides the direct evidence to the cause of stock price crash.

Key words: Management Selling Suppression of Information Stock Price Crash

JEL分类号:

G14

G33

G34

基金资助: 国家自然科学基金课题(71402198、71502183、71602112)、北京市社会科学基金青年课题(15JGC176)、上海晨光计划项目(15CG57)、中央财经大学青年英才培育计划(QYP1608)成果。北京市教育委员会共建项目、北京市会计类专业群建设项目、中央高校基本科研业务费专项资金、中央财经大学科研创新团队计划。

作者简介: 孙淑伟,会计学博士,讲师,上海对外经贸大学会计学院,Email: sunkol@163.com.梁上坤(通讯作者),会计学博士,副教授,中央财经大学会计学院,Email: liang_sk@126.com.阮刚铭,博士研究生,上海财经大学会计学院,Email: ruangangming@hotmail.com.付宇翔,会计学博士,上海国际信托有限公司,Email: fuyuxiang2003@hotmail.com.

引用本文:

孙淑伟, 梁上坤, 阮刚铭, 付宇翔. 高管减持、信息压制与股价崩盘风险[J]. 金融研究, 2017, 449(11): 175-190.
SUN Shuwei, LIANG Shangkun, RUAN Gangming, FU Yuxiang. Management Selling, Suppression of Information and Stock Price Crash Risk. Journal of Financial Research, 2017, 449(11): 175-190.

链接本文:

http://www.jryj.org.cn/CN/10.12094/1002-7246（2017）11-0175-16 或 http://www.jryj.org.cn/CN/Y2017/V449/I11/175

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