대주주 주식담보대출과 주가붕괴위험 간의 관계에 관한 연구

[Purpose]This study examines whether major shareholders’ share pledges affect stock price crash risks. Especially, this study investigates the relation between major shareholders’ share pledges and stock price crash risks centered on the agency problem, and furthermore, identifies the role of corporate governance in the relationship between those two when the agency problem is considered as well. [Methodology]This study conducts an analysis on firms listed on KOSPI from the year of 2011 to 2020. Share pledge, the main interest variable in this study, is measured as share pledges of major shareholders with more than 5% ownership, and stock price crash risks, the dependent variable, are measured by negative skewness and volatility of weekly stock returns. Based on these, this study implements regression analyses with 2－way cluster－robust standard errors to conservatively measure the level of statistical significance and firm－fixed effect to alleviate endogeneity issue. [Findings]The main results are as follows. First, there is no significant relationship between major shareholders’ pledges and stock price crash risks. Second, there is a significantly positive relationship between these two in the group where the agency problem is expected to be high. Lastly, the positive relationship between major shareholders’ pledges and stock price crash risks in such a group is decreased as the firm has a better corporate governance structure. [Implications]Findings of this study have several implications in that it shows a differential impact of major shareholders’ share pledges when the agency problem is considered. In addition, when it comes to insufficient domestic research on major shareholders’ share pledges, the results of this study are expected to provide useful information to investors and stockholders.