【作者】 周昊；

【导师】 谢文武；

【作者基本信息】 浙江大学 ， 金融（专业学位）， 2022， 硕士

【摘要】 作为一种灵活方便的筹资方式——股权质押,在日益规范的资本市场中越来越常见,然而近几年由于股权质押引起上市公司“爆雷”的事件在市场中也屡见不鲜,基于上述现实情况,学者们对股权质押行为和股价崩盘风险等一系列衍生的话题展开了深入的研究和细致的分析。上市公司的股权质押行为对自身股价的变动会产生一定影响,具体表现为股权质押后,如果后续公司股价跌至警戒线乃至平仓线,交易所可能会对股东持有的股份采取强制平仓的措施,从而引起股价的进一步下跌,不利于资本市场的稳定。本文将2006-2020年A股上市公司股价等数据作为实证样本进行研究。对于如何衡量股权质押这一变量,关注到部分过往文献忽略了上市公司股权质押程度差异对实证结果的影响,为了更直观地展现已质押股权比例情况,本文将控股股东股权质押比例作为研究的核心变量,同时考虑到股权质押比例受企业自身信息不对称程度的影响,将样本按照信息不对称程度高低分组后进行回归分析。随后将目光投向作为外部监督角色的证券分析师行业,由于分析师对不同上市公司跟踪关注的程度存在一定差异,在变量选取的过程中,本文将分析师关注作为调节变量,检验其是否会影响控股股东股权质押行为与股价崩盘风险的关系,据此判断资本市场中的证券分析师群体能否发挥调节作用。根据实证结果显示,首先,具有高股权质押比例特征的控股股东,其所在的上市公司未来将面临更大的股价崩盘风险,尤其当上市公司的信息不对称问题较为严重时二者的正相关关系更强。其次,证券分析师在一定程度上能够捕捉到控股股东采取股权质押行为后的真实动机,减弱二者的正相关关系。最后,按照上市公司年报涉及的审计师是否任职于四大会计师事务所、企业自身规模大小以及是否属于高科技行业等特征对样本进行分组检验,上述分组检验后的实证结果仍显著。本文既验证了在控股股东股权质押的特定背景下,证券分析师能发挥抑制股价崩盘风险的作用,又从信息不对称的角度为分析师的外部监督治理效应提供了新的证据支持。基于上述结论,本文分别对监管部门、证券分析师和市场投资者等提出了相关建议。更多还原

【Abstract】 Equity pledge,as a flexible and convenient way of financing,is becoming more and more common in the increasingly standardized capital market.However,in recent years,"thunder" events of listed companies caused by equity pledge are also common in the market.Based on the above reality,scholars have carried out in-depth research and detailed analysis on a series of derivative topics such as equity pledge behavior and stock price crash risk.The equity pledge of its own shares of listed companies will produce certain influence,the change of specific performance for equity pledge,if the following company’s share price fell to cordon and open line,exchange is likely to be shareholders holding force makes the same score a storehouse,measures are taken,thus cause the stock price to fall further,is not conducive to the stability of the capital market.This paper studies the stock prices of a-share listed companies from 2006 to 2020 as empirical samples.For how to measure equity pledge this variable,focus on the part of the past literature ignores the differences in the listed company equity pledge and the impact on the empirical results,in order to more intuitive to show has pledged equity ratio,this article will be the controlling shareholder equity pledge proportion at the core of research variables,at the same time considering the equity pledge proportion is affected by their own degree of information asymmetry,the samples were grouped according to the degree of information asymmetry for regression analysis.Then to look at as an external oversight role of the securities analyst industry,due to the degree of attention to the different listed companies tracking,an analyst,there exist certain differences in the variable selection process,this article will analyst attention as a moderator variable,check whether it will affect the controlling shareholders equity pledge and the relationship between the stock price crash risk,based on this,we can judge whether the group of securities analysts in the capital market can play a regulatory role.According to the empirical results,first of all,the controlling shareholders with high equity pledge ratio will face greater risk of stock price collapse in the future,especially when the information asymmetry of listed companies is serious,the positive correlation between the two is stronger.Secondly,to some extent,securities analysts can capture the real motivation of controlling shareholders after taking stock pledge,weakening the positive correlation between them.Finally,the samples are grouped according to the characteristics of whether the auditors involved in the annual reports of listed companies work for the Big Four accounting firms,the size of the enterprises themselves and whether they belong to high-tech industry,etc.,and the empirical results are still significant after the grouped tests.This paper not only verifies that under the specific background of controlling shareholders’ equity pledge,securities analysts can play a role in restraining the risk of stock price collapse,but also provides new evidence support for the external supervision and governance effect of analysts from the perspective of information asymmetry.Based on the above conclusions,this paper puts forward relevant suggestions to the regulatory authorities,securities analysts and market investors.更多还原