【作者】 李正；

【导师】 买建国；

【作者基本信息】 华东师范大学 ， 金融学， 2019， 硕士

【摘要】 随着我国资本市场的快速发展,股权质押这种融资形式越来越多的出现在人们的视野里,2013至2017年全市场股票质押5年复合增速高达165%,成为发展最为迅猛的创新业务之一,尤其是我国资本市场的股权质押比例之高、质押次数之频繁、参与度之广泛等特点,已经引起资本市场的广泛关注。而近些年频频爆发的股权质押“爆仓”风险不得不引起市场及监管的重视。据分析,控股股东股权质押会通过引发控制权转移风险、杠杆化风险、委托代理风险,从而影响上市公司股价。本文在相关文献及理论分析的基础上,首先对我国2016年至2018年三年期间股权质押现状进行分析。其次根据股权质押公告交易类型的不同,将其细分为初始质押、补充质押以及解除质押三类,并通过事件研究法,分别从短期动态的角度,去研究上市公司控股股东三类股权质押行为与股价之间的因果关系。结果表明,初始质押与股价成负相关关系,补充质押和解除质押与股价成正相关关系,补充质押、解除质押所产生的积极的市场反应也侧面反映及进一步证实了,市场将初始质押视为不利信息,从而股价产生了负面反应。在得出股权质押公告具有显著市场反应条件下,使用VAR方法构建向量自回归模型,进一步探索了股权质押公告中披露的各类信息,包括质押股数、质押期限、持股比例、累计质押占总持股比例、总质押比例在内的5个因素对市场反应的影响。结果显示,长期内代表市场反应的超额收益率主要受自身,以及控股股东累计质押占持股比例的影响,且累计质押占总持股比例越高,越会引发市场的负面反应。短期内代表市场反应的超额收益率仅受自身影响,质押公告中的其他因素均无显著影响。最后,本文根据我国资本市场股权质押的特征和实证结果,提出三方面的政策建议,包括完善信息披露制度,特别是完善与控制权转移风险、杠杆化风险紧密相关的数据的信息披露,加强信息披露的持续管理;加强质押主体责任意识,规范企业治理;完善市场风控体系,优化A股市场交易生态;更多还原

【Abstract】 With the rapid development of China’s capital market,more and more equity pledges which is a form of financing appear in people’s field of vision.In the whole market,the compound growth rate of pledge of stock is as high as 165% from 2013 to2017,It has become one of the fastest-growing innovation businesses,especially in the capital market of china’s characteristics which are high ratio of equity pledge,frequent equity pledges and extensive participation about equity pledge etc.Those characteristics have caused widespread concern in the capital market.In recent years,because there are a lot of news about equity pledge risks on the “breaking out”,capital market and relevant supervise departments have to pay more attention on equity pledge.The controlling shareholder’s equity pledge will affect the stock price of the listed enterprise through the transfer of control rights,leverage,agency etc.Basing on relevant references and theoretical analysis,I,firstly,analyze three periods of equity pledges from 2016 to 2018.Secondly,according to the notices of different transaction types of equity pledge,I subdivide the equity pledge into three categories.The first one is Initial Pledge,the second one is Supplementary Pledge and the last one is Release Pledge.Apart from that,through Event Research Method,I analyze the effects between three categories equity pledge of controlling shareholder of listed enterprises and share price of those listed enterprises from a short-term dynamic perspective.The outcome shows that there is a negative correlation between Initial Pledge and share price,however,Supplementary Pledge and Release Pledge have positive correlation with share price.Basing on the consequence that equity pledge notice has obvious market reaction,I utilize method of VAR to construct a vector autoregressive model,and further explore various factors which were revealed by equity pledge notice and which will influence market,including the number of pledged shares,the pledge period,the ratio of shareholding,the ratio of cumulative pledge as the total shareholding,and the total ratio of pledge.The result indicates that in long term,high-extra return profit rate which represents market reaction mainly is influenced by itself and by the ratio of accumulated pledge amounts of controlling shareholder as the shareholding.The higher the proportion of accumulated pledges to the total shareholding,the more negative the market will trigger.In short term,high-extra return profit rate which represents market reaction solely is affected by itself,in other words,other factors of equity pledge notice have no significant impact.Finally,according to the features of and proved consequences of China capital market,this article provides three suggestions from different angles.First one is that completes uncovered information system,especially,enhances constant management of uncovered information,and perfects relevant uncovered information which has connection with transfer of control rights and leverage.Second one is that strengthens responsibilities awareness of shareholders of equity pledge and standardizes management of enterprise.Third one is that perfects system to control risk of market and optimizes the investment environment of A share etc.更多还原