股权激励对股价崩盘风险的影响研究

发布时间：2018-03-07 17:04

本文选题：股价崩盘风险　切入点：股权激励　出处：《安徽大学》2017年硕士论文　论文类型：学位论文

【摘要】：股价崩盘作为股价非对称波动下的一种极端性现象,具体的表现多为股票价格或者大盘指数在短时间内大幅下跌。一旦股市面临崩盘的风险将带来严重后果,诸如1987年美国股市暴跌、亚洲金融危机和全球金融危机等崩盘事件的发生不仅损害市场参与者的切身利益、危及股票市场的平稳有序,更可能动摇资本市场的信心。所有权与经营权的分离导致委托代理双方由于诉求的天然差异引发的利益冲突,随着公司的扩张和经济的发展,利益冲突日益深化影响公司长远发展。股权激励旨在以股份或期权等形式联结委托代理双方的利益,使代理人的回报与企业发展状况、股市表现挂钩从而激励管理层更加勤勉尽责以消弥代理成本。然而,相关的经验证据却指向与此矛盾的结果。那么,股权激励的引入将给股价崩盘风险带来什么样的影响?产权性质在其中又将发挥怎样的作用?作为一个成长中的新兴经济体,我国股市虽整体稳健但现阶段受到诸如投资者不够理性成熟、法律机制不够健全以及金融风险日益累积等问题的严峻考验,相较于发达国家面临更高的股市崩盘风险。因此,我国特殊的制度背景为开展股价崩盘风险的研究提供了理想的实证研究样本,相关的研究成果对于管控金融风险、助推资本市场规范发展有着重要的理论和现实意义。本文基于行为金融、委托代理和薪酬契约等理论,以2006-2014年间沪深两市首次公告股权激励方案的上市公司为研究对象,实证检验股权激励与股价崩盘风险之间的互动关系,并进一步考察产权性质在其中发挥怎样的作用。研究结论如下:(1)股权激励与股价崩盘风险呈显著正相关的关系;(2)进一步考虑产权性质差异,分组回归结果表明国有的产权性质显著增强二者的正相关程度。本文主要由五个章节组成,第一章即绪论,着重对研究相关的背景、方法与思路以及创新点进行介绍,并简要梳理了国内外关于股价崩盘风险影响因素、股权激励以及产权性质的相关文献,为后续研究做好铺垫。第二章为概念界定与理论基础,对股权激励、股价崩盘风险进行理论界定,在此基础上从行为金融理论、委托代理理论和薪酬契约理论三方面简要阐述本文的理论基础。第三章为现状分析与研究假设,在制度背景和现状分析的基础上提出本文的研究假设。第四章为实证研究,借鉴相关文献设计研究变量、构建研究模型、进行描述性统计和相关性分析,在此基础上对全样本进行多元回归,并按照产权性质的差异将样本分为国有企业和民营企业两类进行分组回归以检验本文的研究假设。第五章为研究结论、建议与展望。本文的研究不仅进一步拓展了股价崩盘风险的研究思路和视野,而且有利于正确定位和引导股权激励在我国的实践,此外也为引导中国资本市场的平稳发展提供了一种有益参考和治理思路。
[Abstract]:Stock price crash is an extreme phenomenon under asymmetric fluctuation of stock price. The concrete manifestation is that the stock price or market index falls sharply in a short period of time. Once the stock market is exposed to the risk of collapse, there will be serious consequences. Events such as the collapse of the US stock market in 1987, the Asian financial crisis and the global financial crisis not only hurt the vital interests of market participants, but also endanger the stability and order of the stock market. It is more likely to shake the confidence of the capital market. The separation of ownership and management rights leads to conflicts of interest caused by the natural differences in the demands of the principal and agent. With the expansion of the company and the development of the economy, The purpose of equity incentive is to connect the interests of both principal and agent in the form of shares or options, so as to make the return of the agent and the development of the enterprise. Stock market performance is linked to encourage management to work harder to offset agency costs. However, empirical evidence points to conflicting outcomes. So what will be the impact of the introduction of equity incentives on the risk of a stock price crash? What role will the nature of property rights play in it? As a growing emerging economy, although the stock market of our country is sound as a whole, it is severely tested at this stage by such problems as the investors are not rational and mature, the legal mechanism is not perfect enough and the financial risks are accumulating day by day. Compared with the developed countries, the risk of stock market crash is higher. Therefore, the special institutional background of our country provides an ideal sample of empirical research for the research on the risk of stock price collapse. It is of great theoretical and practical significance to promote the normative development of the capital market. Based on the theories of behavioral finance, principal-agent and salary contract, this paper focuses on the listed companies with the first announcement of equity incentive schemes in Shanghai and Shenzhen stock markets between 2006 and 2014. An empirical study of the interaction between equity incentives and the risk of stock price collapse, The conclusion of the study is as follows: (1) there is a significant positive correlation between equity incentives and the risk of stock price collapse. The results of grouping regression show that the nature of state-owned property rights significantly enhances the positive correlation between the two. This paper is mainly composed of five chapters, the first chapter is the introduction, focusing on the research background, methods and ideas, as well as innovation points are introduced. And briefly combs the domestic and foreign related literature on the risk factors of stock price crash, equity incentive and property right nature, for the follow-up study. Chapter two is the definition and theoretical basis of the concept, equity incentive, On the basis of the definition of the risk of stock price collapse, the theoretical basis of this paper is briefly expounded from three aspects: behavioral finance theory, principal-agent theory and salary contract theory. Chapter three is the current situation analysis and research hypothesis. Based on the analysis of institutional background and current situation, this paper puts forward the research hypotheses of this paper. Chapter 4th is an empirical study, drawing on the relevant literature design research variables, constructing research model, carrying out descriptive statistics and correlation analysis. On this basis, the whole sample is regressed by multivariate regression. According to the difference of property rights, the samples are divided into state-owned enterprises and private enterprises to test the research hypotheses of this paper. Chapter 5th is the conclusion of the study. Suggestions and prospects. This study not only further expands the research ideas and horizons of the risk of stock price collapse, but also helps to correctly position and guide the practice of equity incentives in China. In addition, it also provides a useful reference and management idea to guide the smooth development of Chinese capital market.
【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F272.92

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