{"title":"股票质押贷款和市场崩溃风险:来自中国的证据","authors":"Feng Li , Jun Qian , Haofei Wang , Julie Lei Zhu","doi":"10.1016/j.jfds.2023.100104","DOIUrl":null,"url":null,"abstract":"<div><p>Stock pledged loans have become prevalent among large shareholders of listed firms in China. The <em>largest</em> shareholder pledges a greater fraction of her holdings as collateral for credit when the firm is in growth industries, less profitable, <em>not</em> 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 <em>no</em> 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.</p></div>","PeriodicalId":36340,"journal":{"name":"Journal of Finance and Data Science","volume":"9 ","pages":"Article 100104"},"PeriodicalIF":3.9000,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S240591882300020X/pdfft?md5=be8ce95c83d9d2d0e69e97a4f0bfc370&pid=1-s2.0-S240591882300020X-main.pdf","citationCount":"0","resultStr":"{\"title\":\"Stock pledged loans and market crash risk: Evidence from China\",\"authors\":\"Feng Li , Jun Qian , Haofei Wang , Julie Lei Zhu\",\"doi\":\"10.1016/j.jfds.2023.100104\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>Stock pledged loans have become prevalent among large shareholders of listed firms in China. The <em>largest</em> shareholder pledges a greater fraction of her holdings as collateral for credit when the firm is in growth industries, less profitable, <em>not</em> 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 <em>no</em> 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.</p></div>\",\"PeriodicalId\":36340,\"journal\":{\"name\":\"Journal of Finance and Data Science\",\"volume\":\"9 \",\"pages\":\"Article 100104\"},\"PeriodicalIF\":3.9000,\"publicationDate\":\"2023-11-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"https://www.sciencedirect.com/science/article/pii/S240591882300020X/pdfft?md5=be8ce95c83d9d2d0e69e97a4f0bfc370&pid=1-s2.0-S240591882300020X-main.pdf\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Finance and Data Science\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S240591882300020X\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"Mathematics\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Finance and Data Science","FirstCategoryId":"1085","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S240591882300020X","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"Mathematics","Score":null,"Total":0}
Stock pledged loans and market crash risk: Evidence from China
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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