股权质押与公司估值:理论与实证

本文基于2000—2020年我国A股上市公司数据,探讨了控股股东股权质押对上市公司代理问题及其估值的非线性影响。研究发现,控股股东股权质押比例较低(高)时将会缓解(加剧)上市公司的代理问题,从而使其估值上升(下降)。进一步分析显示,随着控股股东股权质押比例的提高,上市公司的财务约束和财务困境水平先降后升,呈U形变化;与此同时,控股股东高股权质押比例降低了上市公司增量现金的边际价值,增加了其审计费用和违规频次。从企业异质性来看,国企子样本中上述关系大多不显著。本文研究对进一步理解股权质押的内在运行机制和经济后果有一定参考意义。

Share Pledging and Firm Valuation: Theory and Evidence

It is puzzling that based on the same arguments, the literature fails to reach a consensus on the relationship between controlling shareholders' share pledging (CSSP) and firm valuation. Most studies on overseas markets show that share pledging puts margin call pressure on controlling shareholders and induces agency problems between insiders and outside investors. Although numerous studies on the Chinese A-share market show that controlling shareholders have incentives to avoid the risk of forced selling and losing their control rights, they have to work hard, constrain excessive risk-taking and improve the efficiency of risky investments while respecting the interests of investors and creditors. To address these issues, we build a simple model based on the financing woes of privately owned enterprises (POEs) in both financial access and financing costs. Our model suggests that the relationship between CSSP and firm value is nonlinear and nonmonotonic. The rationale is as follows. Suppose that controlling shareholders have only two financing channels to support their private projects, expropriation and share pledging loans, with trade-offs and substitution effects arising between the two channels. At the early stage, the pledging ratio of controlling shareholders, defined as the proportion of shares pledged by controlling shareholders in their total ownership, is low, and the marginal cost of share pledging is lower than that of expropriation. Thus, at this stage, controlling shareholders prefer to use share pledging loans, and then mitigate the agency problems between controlling (insiders) and minority shareholders (investors), resulting in an increase in firm value. In contrast, as the pledging ratio increases and exceeds some critical levels, the marginal cost of share pledging rises beyond that of expropriation, and the substitution effect then reverses and causes more severe agency problems, leading to falling stock prices. Moreover, the strategic behaviors of controlling shareholders, managers and corporations are influenced accordingly. Using data on the Chinese A-share market from 2000 to 2020, we empirically evaluate the impacts of CSSP on agency problems and firm value by testing our model predictions. Our regression results show that firm value increases as the pledging ratio of controlling shareholders grows until it reaches about 25%. After this point, the relationship turns negative, and CSSP will harm firm value if controlling shareholders' pledging ratio exceeds 70%. However, due to institutional factors (such as government interference or the shell premium) and strategic behaviors, there exists a tail-raising phenomenon in the relationship between CSSP and firm value, which means that the influence of CSSP on firm value becomes positive again when the pledging ratio hits the ceiling. Furthermore, we find that the market environment works as a moderating variable, implying that the positive relationship between low pledging ratio CSSP and firm value are strong in bull markets, but weak or even the opposite in bear markets.The main findings of our further analysis are as follows. First, the marginal value of cash declines as controlling shareholders' pledging ratio increases, indicating that CSSP exerts nonlinear effects on firms' governance as the pledging ratio changes. Second, the KZ index and OScore index of pledging firms first fall then rise as controlling shareholders' pledging ratio increases, which is consistent with our model prediction regarding the nonlinearity of the relationship between CSSP and the expropriation incentives of controlling shareholders. This finding also supports the view that CSSP loans are mainly created for personal purposes. Third, the audit fees of pledging firms and their likelihood of committing accounting misstatements/disclosure irregularities increase as the pledging ratio increases, suggesting that firms with high pledging ratio CSSP are more prone to accounting manipulation. Four, most of these findings are not significant in the subsample of state-owned enterprises (SOEs), implying that the motivation of CSSP is different from that of POEs. Our work makes several contributions to the literature. First, this paper adds to the growing body of research on share pledging. We find a nonlinear and nonmonotonic relationship between CSSP and firm value, in contrast to studies that show the relationship to be either negative or positive. Second, our paper adds to the literature by linking insiders' transactions to their expropriation incentives and then to firm valuation, governance, financing and investment. Unlike studies on external A-share markets, our analysis provides evidence that CSSP can reduce insiders' expropriation incentives when insiders lack access to other financing channels. Third, we complement studies on the relationship between financial slack and agency problems by showing that the marginal value of cash and the probability of firm misconduct are closely associated with the size of the pledging ratio. Finally, our paper adds to the literature on the effects of financial constraints on investment, particularly studies on POEs under China's economic system.