Stock Pledging of the Major Shareholders, Crash Risk and Cost of Equity —A Study Based on Modified ICC Models
WANG Haofei1, ZHU Lei2
1. Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University, Shanghai 200030, China; 2. Fanhai International School of Finance, Fudan University, Shanghai 200433, China
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.
WANG Haofei,ZHU Lei. Stock Pledging of the Major Shareholders, Crash Risk and Cost of Equity —A Study Based on Modified ICC Models. Economic Survey, 2021, 38(3): 0124.
2021, Vol. 38 
