中国上市公司金字塔控股结构与股价崩盘风险
阅读全文
下载全文 |
| Title | Corporate Pyramids and Stock Price Crash Risk: Evidence from China
|
| 作者 | 许年行 李小荣 刘俏 罗炜 |
| Author | Xu Nianhang, Li Xiaorong, Liu Qiao and Luo Wei |
| 作者单位 | 中国人民大学商学院;中央财经大学财政学院;北京大学光华管理学院 |
| Organization | Renmin University of China;Central University of Finance and Economics; Peking University |
| 作者Email | nhxu@ruc.edu.cn；lixiaorongchina@163.com；qiao_liu@gsm.pku.edu.cn；luowei@gsm.pku.edu.cn |
| 中文关键词 | 金字塔结构 股价崩盘风险 产权性质 股价同步性 |
| Key Words | Corporate Pyramids; Stock Price Crash Risk; Property Right; Stock Price Synchronicity |
| 内容提要 | 不同产权性质企业金字塔结构的经济后果是财务学领域研究的一个重要问题，而股价崩盘风险是当前全球金融危机背景下广受关注的热点议题。本文收集2001-2011年中国上市公司相关数据，考察企业金字塔结构对上市公司股价崩盘风险的影响。研究发现：（1）国有企业的金字塔层级能显著降低股价崩盘风险；（2）民营企业的金字塔层级与股价崩盘风险不存在显著的单调线性关系；（3）在国有企业中，财务报告越不透明、关联销售越多，金字塔层级与股价崩盘风险的负相关关系越弱，而香港上市有助于增强两者之间的负向关系。进一步的研究发现，国有企业金字塔层级的增加同样降低了股价同步性；而民营企业的金字塔层级与股价崩盘风险、股价同步性均呈倒“U”型关系。本文的研究对理解中国企业不同组织结构产生的市场风险和如何降低企业的股价崩盘风险、促进资本市场健康稳定发展具有重要的理论和现实意义。 |
| Abstract | The economic consequence of corporate pyramids within different ownership nature of firms is a key issue in finance, and the study on stock price crash risk has drawn much attention recently. Using a sample of A-share listed firms in China for the period 2001-2011, this paper investigates the relationship between corporate pyramids and stock price crash risk. Our results show that, firstly, for SOEs, corporate layer significantly decreases stock price crash risk. Secondly, for private firm, there is no linear relationship between corporate layer and stock price crash risk. Thirdly, in SOEs, the impact of corporate pyramids on stock price crash risk is less pronounced when the financial statement is more opaque, there is more related party sales. In contrast, if SOEs issue H share, the impact is more pronounced. In addition, our results show that, corporate layer also decreases stock price synchronicity in SOEs. However, there exists an inverse U-shape relationship between corporate layer, stock price crash risk and stock price synchronicity in private firms. These findings have important implications for our understanding the market risk of firms with different organizational structure and the development of capital market in China. |
| 文章编号 | WP559 |
| 登载时间 | 2013-11-20 |
|