一、主講學生與論文題目：
1. 安蘇偉（2018級博士生）：Relative Performance Evaluation and Long-term Acquisition Performance
2. 喻曾（2018級博士生）：The causal effect of CEO option compensation on a bank’s contribution to Systemic Risk
3. 蘇自力（2017級博士生）：Does Managerial Ownership Impact Controlling Shareholder’s Shares Pledging on Audit Fee?
4. 楊陽（2017級博士生）：自然人股東股票質押與股價異常收益率-基于中國A股市場質押發生日的實證研究
二、時間：2021年12月18日（周六）下午14:00-16:30
三、地點：騰訊會議
四、點評與讨論教師：
丁娜 bevictor伟德官网 助理教授
吳锴 bevictor伟德官网 助理教授
夏聰 bevictor伟德官网 助理教授
五、主持人：丁娜 bevictor伟德官网 助理教授
六、論文摘要
1. Relative Performance Evaluation and Long-term Acquisition Performance
We study how relative performance evaluation (RPE) utilization relates to long-term acquisition performance. Using a sample of 6,811 acquisition deals of U.S. firms from 2006 to 2017, we find RPE can increase the long-term acquisition performance. We also demonstrate that self-selected peer groups are more efficient in constructing relative benchmarks, with a higher significance of acquisition outperformance than traditional indices. RPE and long-term acquisition performance mainly manifest in firms with higher market uncertainty, longer managerial decision horizon, and lower institutional holdings. Finally, we show that RPE is associated with lower short-term acquisition abnormal returns and higher acquirer reference price ratio.
2. The causal effect of CEO option compensation on a bank’s contribution to Systemic Risk
We explore the causal relation between CEO option compensation and a bank’s contribution to systemic risk (proxied by△CoVaR) in the US market between 2002-2007. We employ a regulatory change of accounting standard (FAS 123R) as our quasi-natural experiment. Our results indicate a sharp reduction of CEO option compensation leads to an increase in systemic risk. In further testing, our results also indicate the adoption of FAS 123R has a positive casual impact on a bank’s standalone risk (proxied by Distance-todefault measure). Regarding potential channels, we find banks that use to adopt the relative performance evaluation (RPE) contracts, may use RPE goals as a substitute incentive tools of costly option compensation after the shock. We argue that there is a substitute effect of other forms of incentive tools following the regulatory change, which results an increase of systemic risk.
3. Does Managerial Ownership Impact Controlling Shareholder’s Shares Pledging on Audit Fee?
This paper investigates the impact of managerial ownership to controlling shareholder shares pledging from the perspective of audit fee setting. Using a sample of Chinese A-share companies over the period 2007 to 2020. We find that controlling shareholder share pledging is positively associate with audit fees, while managerial ownership is negatively associate with it, equity-based managers can restrict controlling shareholder expropriate minority shareholders and damage firm value activities by control firm’s business risk and audit risk. Further analyses reveal that the restrict effects are significant in the non-SOEs, low external governance supervision firms, indicating that executive equity incentives are an effective device in mitigate agency problem in weak corporate governance companies, which also reduce auditors’ demand for audit risk premia.
4. 自然人股東股票質押與股價異常收益率-基于中國A股市場質押發生日的實證研究
股票質押式回購交易是指符合條件的上市公司股東以其所持有的股票向銀行、券商等金融機構質押以獲得資金，并約定在未來還本付息并解除質押的交易。本文以我國A股上市公司自然人股東的股票質押實際發生日為事件發生點研究了質押事件對上市公司股價異常收益率的影響。
本文以2006年至2020年我國A股發生過股票質押業務的****家上市公司年度的每日股價數據為基礎，共計12,905個股票質押事件作為研究樣本。通過事件分析法，因變量選取CAPM計算的累計異常收益率，自變量選取流通股比例、BM、資産規模進行了檢驗，證實了我國A股上市公司自然人股東股票質押實際發生日對上市公司股價異常收益的影響。結果發現：（1）自然人股東在股票質押實際發生前，上市公司的股票異常收益率下降顯著，且依據BM對上市公司進行分組發現，BM值越大的下降越明顯；（2）當我們把期限從質押發生日前後15天拉長到60天時，發現質押股票的異常回報在兩個時間點發生大幅下降，分别是前20天和前5天。這一結果與股票質押最終交易時确定的質押股價一般選取“前20日或前5日股價均線”的市場普遍操作非常契合，說明在質押事件确定後，二級市場對拟質押的上市公司股價有着明确的賣出行為。（3）從行業分類情況來看，IT業和制造業的上市公司較其它行業的上市公司，在股票質押發生日後存在明顯的異常回報下降現象；（4）随着2018年資管新規落地，我們發現在此後進行股票質押的上市公司存在着異常收益下降加重的情況。這說明資金融出方在經曆了2017年前後開始的股票質押式回購業務爆倉危機後，具備了更強的風險敏感性并實行了更嚴格的風控審批要求。
最後，本文使用FAMA三因子和五因子計算的累計異常收益率進行了穩健性檢驗，結果發現選取質押實際發生日前10天的累計異常收益率作為因變量，結果更加穩健。
