董監事股權質押與股價崩盤風險之研究

Abstract

本研究參考Chen et al. (2001)針對股價崩盤風險的研究設計，以台灣上市(櫃)公司進行研究，並以2005年至2015年作為研究期間，探討董監事股權質押與股價崩盤風險之間的關係。本研究提出兩項主要假說：（1）董監事會因為進行股權質押，改變自身風險偏好程度，並且為了避免面臨公司股價下跌必須補繳保證金的窘境，在公司營運上選擇較保守的政策，降低公司股價下跌的機率，進而減少股價崩盤發生的可能性，即董監事股權質押比率與股價崩盤風險具有反向關係；（2）考量最大外部股東的影響力，在董監事進行股權質押的情況下，最大外部股東若具有一定影響力，會與董監事抗衡支持對公司整體股東利益較大但風險較高的政策。因此當最大外部股東的持股比例越高，會增加公司股價崩盤的風險，即在董監事股權質押的情況下，最大外部股東的持股比例與公司股價崩盤風險呈現正相關。 本研究以公司股價週報酬率的負偏態程度與股價週報酬率的波動率作為股價崩盤風險的衡量指標，實證結果符合前述預期，董監事股權質押與股價崩盤風險具有顯著反向關係，且若以公司控制型態作為區分，研究發現家族經營的公司董監事股權質押與股價崩盤風險之間的負向關係更加顯著；將最大外部股東持股比率納入考量，在董監事進行股權質押的情況下，最大外部股東的持股比例會增加公司股價崩盤風險。本研究進一步將公司區分成投資型以及投機型兩種，研究最大外部股東的影響力，實證結果發現，最大外部股東只有在投資型的公司具有上述的顯著影響力。

Based on the crash risk research of Chen et al. (2001), this study examines the association between insiders pledging and stock price crash risk. This paper has two suggestions: First, insiders pledging can reduce the stock price crash risk. Once insiders pledge company stock as collateral for personal loans, stock price declines become more critical to them due to the risk of margin calls, resulting in a desire to reduce risk and avoid stock price declining. This effects should raise insiders’ risk-aversion and firms make more conservative investment decisions. By reducing the possibility of stock price declining, the companies have lower stock price crash risk. Second, considering the effect of the largest outside shareholders, they can compete with the insiders and support more risky but better investment decisions. Thus the companies increase the operating risk and have higher stock price crash risk. Using a sample of listed Taiwanese companies during 2005-2015, this study performs regression analyses and finds the empirical evidence consistent with the predictions above, finding that the companies have lower stock price crash risk with insiders pledging. Further, with insiders of companies pledging their stock, the likelihood of stock price crash risk is higher when the outside shareholders’ holding position increases.