내부자의 주식담보대출이 주가급락위험에 미치는 영향

This paper investigates the association between insiders’ share pledges and stock price crash risk. Although insiders’ share pledges are a collateral for personal loan, previous studies suggest that share pledges cause agency problems between controlling shareholders and minority shareholders. Our major findings are as follows. First, we find that the relation between share pledges and crash risk shows discriminative results in each stock market. Compared to the KOSPI market, the association between share pledges and crash risk is only found in the KOSDAQ market. Firms whose insiders make share pledges experience higher crash risk in the KOSDAQ market. Also, we find that the share pledges ratio and the insiders who put up stock as collateral are positively associated with crash risk. Second, the crash risk is much higher in the first year when insiders collateralize their shares and the change of share pledges ratio significantly increases crash risk. Last, we find that the interaction effect between insiders’ share pledges and discretionary accruals is positively related to crash risk. Overall, insiders’ share pledges increase stock price crash risk. Especially, the results for share pledges and crash risk are more significant for firms with higher asymmetric information and financial opacity. Our findings provide empirical evidence that insiders of a firm could extract private benefits of control at the expense of minority shareholders through share pledges.