大股东股权质押、崩盘风险和股权资本成本——基于修正的隐含资本成本模型的研究

摘要以2014—2019年沪深两市A股上市公司作为研究对象,基于修正的隐含资本成本模型构建股权资本成本变量,对大股东股权质押和上市公司股权资本成本的关系进行研究。实证结果表明,在不同的宏观状态和股权质押市场发展阶段,大股东股权质押水平对股权资本成本的影响有所不同:2014—2016年两者无显著的相关性;2017—2019年两者呈显著正相关关系。中介效应的检验结果显示,崩盘风险可以很好地解释大股东股权质押比例影响股权资本成本的作用机制,并对各时间段内股权质押与股权资本成本不同的相关性关系进行解释;公司内外的信息不对称程度起到部分中介效应,但中介效应占总效应的比重较低,解释能力较弱。

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	王皓非
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关键词：股权资本成本分析师预测误差大股东股权质押崩盘风险

Abstract： Taking the A-share listed companies in Shanghai and Shenzhen stock markets from 2014 to 2019 as the research object, this paper constructs the equity capital cost variable based on the modified implicit capital cost model, and studies the relationship between the equity pledge of major shareholders and the cost of equity of listed companies. The empirical results show that, in different macro environments and equity pledge market development stages, the impact of major shareholders' equity pledge level on the cost of equity capital is different. There is an unknown significant correlation between 2014-2016, and there is a significant positive correlation between 2017-2019. And the test results of the mediating effects show that the crash risk can well explain the mechanism that the equity pledge ratio of the major shareholders affects the equity capital cost, and explain the different correlation between the equity pledge and the equity capital cost in different periods. The degree of information asymmetry inside and outside the company can play part of the intermediary effect, but the proportion of the intermediary effect in the total effect is low, and the explanatory ability is weak.

Keywords： Cost of Equity Analyst Forecast Errors Stock Pledging of the Major Shareholders Crash Risk

收稿日期 2020-10-06; 接受日期 ;

作者简介: 王皓非(1989—),男,江苏南京人,博士研究生,主要从事公司金融研究;朱蕾(1971—),女,上海人,博士,副教授,博士生导师,主要从事公司金融、收购和兼并研究。

引用本文:

王皓非, 朱蕾.大股东股权质押、崩盘风险和股权资本成本——基于修正的隐含资本成本模型的研究[J]. 经济经纬, 2021,3: 124-132

WANG Haofei, ZHU Lei.Stock Pledging of the Major Shareholders, Crash Risk and Cost of Equity —A Study Based on Modified ICC Models[J] Economic Survey, 2021,V38(3): 124-132

链接本文:

http://www.jjjw.org.cn/CN/ 或 http://www.jjjw.org.cn/CN/Y2021/V38/I3/124

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