Stock pledged loans and market crash risk: Evidence from China

Q1 Mathematics

Journal of Finance and Data Science Pub Date : 2023-11-01 DOI:10.1016/j.jfds.2023.100104

Feng Li , Jun Qian , Haofei Wang , Julie Lei Zhu

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Abstract

Stock pledged loans have become prevalent among large shareholders of listed firms in China. The largest shareholder pledges a greater fraction of her holdings as collateral for credit when the firm is in growth industries, less profitable, not state owned, and has higher leverage. Stock performance of highly pledged firms is indistinguishable from that of firms with low pledge ratios in 2017. During 2018, however, highly pledged firms have worse stock returns and operating performance, and experienced ‘contagion’ – the crash risk of one highly pledged stock spreading to others. Using a regulatory reform in 2013 that allowed securities companies to provide stock pledged loans, we find that obtaining these personal loans had no adverse effects on the firms when the pledge ratio was low. Overall, forced sales of pledged stocks and worsened agency conflict are responsible for the poor performance of highly pledged firms during the 2018 bear market.

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股票质押贷款和市场崩溃风险:来自中国的证据

股票质押贷款在中国上市公司的大股东中非常普遍。当公司处于成长型行业、利润较低、非国有且杠杆较高时，最大股东将其所持股份的更大比例作为贷款抵押品。2017年，高质押企业的股票表现与低质押企业无异。然而，在2018年期间，高质押公司的股票回报和经营业绩更差，并经历了“传染”——一只高质押股票的崩盘风险蔓延到其他股票。利用2013年的监管改革允许证券公司提供股票质押贷款，我们发现在质押率较低的情况下，获得这些个人贷款对公司没有不利影响。总体而言，被迫出售质押股票和机构冲突加剧是2018年熊市期间高质押公司表现不佳的原因。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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