摘要
本文以2007至2016年中国A股上市公司为样本,考察了个人大股东持股与股价暴跌风险之间的关系。研究发现:第一,个人大股东持股比例的增加能够显著降低公司未来股价暴跌风险。这一结论在剔除了个人大股东中董监高持股数量、进行内生性处理、更换不同统计检验方法后依然成立。第二,个人大股东持股对公司管理层监督的效果并不明显,个人大股东持股比例的增加对于公司应计盈余管理、真实盈余管理、投资效率、过度投资等可能影响公司股价暴跌风险的经营指标并没有显著影响。第三,个人大股东的持股加强了公司股权制衡的力度,进而显著降低了公司股价暴跌风险。股权制衡机制解释了大股东持股对股价暴跌风险一半以上的影响。本文的研究对于全面认识个人大股东在资本市场中发挥的作用,促进股市平稳发展具有重要的理论和现实意义。
Individual major shareholders (IMSs) are the natural shareholders in listed companies who hold a high proportion of shares but are not the actual controller or controlling shareholder of the company. People often regard IMSs and general minority shareholders as the same kind of investor. However, as IMSs hold a higher proportion of shares and a larger capital scale than general minority shareholders, they are more willing to spend time collecting information about the company's operation and supervising the behavior of the company's managers, rather than adopting the “free-rider” behavior of minority shareholders. Compared to institutional investors, they pay more attention to absolute returns than to short-term rankings of relative performance. Therefore, when asset prices overreact to negative information in the short term, their dominant strategy may be to hold shares to reduce short-term selling pressure. As Chinese institutional investors have developed recently and relatively slowly, IMSs have, for a long time, played an important role in the equity structure of listed companies, and they have important effects on asset price characteristics. Based on data on China's A-share listed companies from the 2007 to 2016 period, this study investigates the relationship between IMSs' shareholdings and the risk of stock price crashes. Following Chen et al.(2001) and Kim et al.(2011a, 2011b), we construct two variables to measure a company's stock price crash risk in a specific year. The first measure is the negative conditional skewness, NCSKEW, calculated by taking the negative of the third central moment of the firm-specific weekly return scaled by the sample variance of firm-specific weekly return raised to 3/2. The second measure is the down-to-up volatility, DUVOL. In the first step, we calculate the standard deviations of firm-specific weekly returns during the up (down) weeks when the firm-specific weekly returns are above (below) the annual mean. DUVOL is defined as the log of the ratio of the standard de
作者
谭松涛
黄俊凯
杜安然
TAN Songtao;HUANG Junkai;DU Anran(China's Fiscal and Financial Policy Research Center, Renmin University of China;China Securities Depository and Clearing Co., Ltd.)
出处
《金融研究》
CSSCI
北大核心
2019年第5期152-169,共18页
Journal of Financial Research
基金
中国人民大学科学研究基金(中央高校基本科研业务费专项资金资助)项目成果
关键词
股价暴跌风险
个人大股东持股
股权制衡
Crash Risk of Stock Price
Major Individual Shareholder
Ownership Balance
