Journal of Banking and Finance ·Volume 89· APR 2018

股权质押条例对股票交易和公司估值的影响

作者：Wang Yu-Chun (Department of Finance, Ming Chuan University)

Chou (Department of Finance and Risk and Insurance Research Center, National Chengchi University)

Robin K (Department of Finance and Risk and Insurance Research Center, National Chengchi University)

摘要：以前的研究表明，内部人士的股权质押与代理问题有关。然而，投资者对此类行为的评估和反应方式并不清晰。通过研究台湾股票市场对股权质押相关的三个监管变化的反应，本研究表明，在股权质押监管政策发生变化时，那些董事进行股权质押的公司的股票收益率要显著高出董事不进行股权质押的公司的股票收益率。2011年公司法修正案通过后，机构投资者增加了他们对股权质押公司（即不合规的公司）的持股比例，这表明代理问题的减少增加了机构持有不合规公司股份的意愿。股票交易和公司估值的结果在具有控股股东的公司中更为显著，这些公司更有可能被没收财产。这些结果与合作假说（alignment hypothesis）一致，即不符合规则的公司将从法律变更中获得更多收益。他们还提供了通过调整法律规定如何帮助改善投资者保护的重要启示。

关键词：机构投资；投资者保护条例；所有权结构；股权质押

The impact of share pledging regulations on stock trading and firm valuation

Wang Yu-Chun (Department of Finance, Ming Chuan University) Chou (Department of Finance and Risk and Insurance Research Center, National Chengchi University) Robin K (Department of Finance and Risk and Insurance Research Center, National Chengchi University)

ABSTRACT

Previous research suggests that insiders’ shareholding pledges are associated with agency problems. However, the ways investors evaluate and react to such behaviors are less clear. By investigating stock market reactions to three regulatory changes related to share pledging in Taiwan, this study shows that firms whose directors make share pledges experience significantly higher stock returns around these events, compared with those without such directors. Institutional investors increase their shareholdings of pledging (i.e., less compliant) firms after the passage of the 2011 amendment to the Company Act, indicating that reduced agency problems increase institutions’ willingness to hold shares of less compliant firms. The results for stock trading and firm valuation also are more significant for firms with controlling shareholders, which are more likely to be expropriated. These results are consistent with the alignment hypothesis, in which firms that are less compliant with the rules benefit more from legislative changes. They also offer important implications, by showing how adjusting legal regulations can help improve investor protections.

Keywords: Institutional investment; Investor protection regulation; Ownership structure; Share pledges

原文链接：https://www.sciencedirect.com/science/article/pii/S0378426618300219

翻译：张展