|
|
|
| Does Shareholder Equity Pledge Financing Give Rise to the “Lemon Phenomenon” in China？ Evidence Based on Stock Price Crash Risk |
| XU Xiaofang, LU Zhengfei
|
School of Business, Beijing Technology and Business University;
Guanghua School of Management, Peking University |
|
|
|
Abstract 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 focuses on Chinese listed companies from 1999 to 2019, using a large-sample regression method to empirically test the impact of stock price crash risk on shareholders' share pledge behavior. It finds that corporate stock price crash risk increases shareholders' share pledge transactions, indicating the presence of the information asymmetry issue whereby “bad money drives out good money” in pledged equity financing. The robustness tests confirm the reliability of the findings. Further research shows that the positive relationship between stock price crash risk and equity pledges is more pronounced in state-owned enterprises and companies with a larger scale, lower equity balance, and weaker growth, and that elevated stock price crash risk exacerbates the effect of equity pledges on increasing the risk of stock closure.
This paper yields three key research innovations and contributions. First, it provides evidence of and enriches the literature on information asymmetry issues in the credit market and the factors influencing equity pledge transactions, both domestically and internationally. The literature on the factors affecting equity pledges is limited, lacking a focus on information asymmetry in the credit market. Second, this paper extends the examination of the economic consequences of stock price crash risk from the capital market to the credit market. In doing so, it expands the research on the economic consequences of a company's stock price crash risk and, based on the quasi-natural experiment of the Shanghai Stock Exchange's “Audit Committee Disclosure,” effectively alleviates endogeneity issues, thus strengthening the causal effect of a company's stock price crash risk on shareholders' equity pledges. The literature examining whether and how a company's stock price crash risk affects its financing behavior is scarce, and this paper discovers that the probability and extent of shareholders' equity pledge financing are positively affected by a company's stock price crash risk. This effect is more significant in state-owned companies, larger companies, companies with lower equity balance degrees, and companies with poor growth prospects. As stock price crash risk escalates, it exacerbates the negative impact of increased equity pledges on stock liquidation risk. Third, both the revealed information asymmetry issues and the lemon phenomenon in the equity pledge financing market have important policy implications and decision-making references. This paper not only provides empirical insights into optimizing financial equity pledge rates but also offers a decision-making basis on which regulatory authorities can formulate and improve the disclosure system for listed firms and accounting supervision policies in capital markets. Ultimately, it contributes to averting the transmission of stock price crash risk from the capital market to the credit market and preempting potential systemic financial risks.
|
|
Received: 04 August 2022
Published: 02 January 2024
|
|
|
|
|
| [1] |
白重恩、杜颖娟、陶志刚和仝月婷,2004,《地方保护主义及产业地区集中度的决定因素和变动趋势》,《经济研究》第4期,第29～40页。
|
| [2] |
曹廷求和张光利,2020,《自愿性信息披露与股价崩盘风险:基于电话会议的研究》,《经济研究》第11期,第191～207页。
|
| [3] |
褚剑和方军雄,2016,《中国式融资融券制度安排与股价崩盘风险的恶化》,《经济研究》第5期,第143～158页。
|
| [4] |
李常青、李宇坤和李茂良,2018,《控股股东股权质押与企业创新投入》,《金融研究》第7期,第143～157页。
|
| [5] |
李旎和郑国坚,2015,《市值管理动机下的控股股东股权质押融资与利益侵占》,《会计研究》第5期,第42～49+94页。
|
| [6] |
陆蓉和兰袁,2021,《大股东股权质押与上市公司资本运作》,《金融研究》第4期,第169～186页。
|
| [7] |
史永东、宋明勇、李凤羽和甄红线,2021,《控股股东股权质押与企业债权人利益保护——来自中国债券市场的证据》,《经济研究》第8期,第109～126页。
|
| [8] |
王雄元、欧阳才越和史震阳,2018,《股权质押、控制权转移风险与税收规避》,《经济研究》第1期,第138～152页。
|
| [9] |
吴育辉、翟玲玲和陈偲,2018,《股价崩盘风险与公司债融资——基于中国A股上市公司的经验证据》 , 《财务研究》第3期,第20～31页。
|
| [10] |
夏常源和贾凡胜,2019,《控股股东股权质押与股价崩盘:“实际伤害”还是“情绪宣泄”》,《南开管理评论》第5期,第165～177页。
|
| [11] |
谢德仁、郑登津和崔宸瑜,2016,《控股股东股权质押是潜在的“地雷”吗？——基于股价崩盘风险视角的研究》,《管理世界》第5期,第128～140+188页。
|
| [12] |
许年行、江轩宇、伊志宏和徐信忠,2012,《分析师利益冲突、乐观偏差与股价崩盘风险》,《经济研究》第7期,第127～140页。
|
| [13] |
许晓芳、汤泰劼和陆正飞,2021,《控股股东股权质押与高杠杆公司杠杆操纵——基于我国A股上市公司的经验证据》,《金融研究》第10期,第153～170页。
|
| [14] |
杨大宇、许晓芳和陆正飞,2023,《金融结构与企业过度投资:基于社会融资结构的证据》,《管理世界》第7期,第121～140页。
|
| [15] |
尹志超和甘犁,2011,《信息不对称、企业异质性与信贷风险》,《经济研究》第9期,第121～132页。
|
| [16] |
翟胜宝、许浩然、刘耀淞和唐玮,2017,《控股股东股权质押与审计师风险应对》,《管理世界》第10期,第51～65页。
|
| [17] |
张俊瑞、余思佳和程子健,2017,《大股东股权质押会影响审计师决策吗？——基于审计费用与审计意见的证据》,《审计研究》第3期,第65～73页。
|
| [18] |
郑国坚、林东杰和林斌,2014,《大股东股权质押、占款与企业价值》,《管理科学学报》第9期,第72～87页。
|
| [19] |
Aghion, P. and P. Bolton, 1992, “An Incomplete Contracts Approach to Financial Contracting”, The Review of Economic Studies, 59(3), pp. 473～494.
|
| [20] |
An, Z., D. Li and J. Yu, 2015, “Firm Crash Risk, Information Environment, and Speed of Leverage Adjustment”, Journal of Corporate Finance, 31, pp. 132～151.
|
| [21] |
Chan, Y. and A. V. Thakor, 1987, “Collateral and Competitive Equilibria with Moral Hazard and Private Information”, The Journal of Finance, 42(2), pp. 345～363.
|
| [22] |
Chen, D., S. Liang, O. Z. Li and J. Kim, 2018, “China's Closed Pyramidal Managerial Labor Market and the Stock Price Crash Risk”, The Accounting Review, 93(3), pp. 105～131.
|
| [23] |
Chen, J., H. Hong and J. C. Stein, 2001, “Forecasting Crashes: Trading Volume, Past Returns, and Conditional Skewness in Stock Prices”, Journal of Financial Economics, 61(3), pp. 345～381.
|
| [24] |
DeFond, M. L., M. Hung, S. Li and Y. Li, 2015,“Does Mandatory IFRS Adoption Affect Crash Risk？”, The Accounting Review, 90(1), pp. 265～299.
|
| [25] |
Hutton, A. P., A. J. Marcus and H. Tehranian, 2009,“Opaque Financial Reports, R2, and Crash Risk”, Journal of Financial Economics, 94(1), pp. 67～86.
|
| [26] |
Jensen, M. and W. Meckling, 1976,“Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure”, Journal of Financial Economics, 3(4), pp. 305～360.
|
| [27] |
Kim, J., Y. Li and L. Zhang, 2011a, “Corporate Tax Avoidance and Stock Price Crash Risk: Firm-level Analysis”, Journal of Financial Economics, 100(3), pp. 639～662.
|
| [28] |
Kim, J., Y. Li and L. Zhang, 2011b, “CFOs versus CEOs: Equity Incentives and Crashes”, Journal of Financial Economics, 101(3), pp. 713～730.
|
| [29] |
Kim, J., Z. Wang and L. Zhang, 2016, “CEO Overconfidence and Stock Price Crash Risk”, Contemporary Accounting Research, 33(4), pp. 1720～1749.
|
| [30] |
Kim, J. and L. Zhang, 2016, “Accounting Conservatism and Stock Price Crash Risk: Firm-level Evidence”, Contemporary Accounting Research, 33(1), pp. 412～441.
|
| [31] |
Myers, S. C., 1977, “Determinants of Corporate Borrowing”, Journal of Financial Economics, 5(2), pp. 147～175.
|
| [32] |
Smith, C. W. and Warner, J. B., 1979,“On Financial Contracting: An Analysis of Bond Covenants”, Journal of Financial Economics,7(2), pp. 117～161.
|
|
|
|
