一、主讲学生与论文题目：

1. 安苏伟（2018级博士生）：Relative Performance Evaluation and Long-term Acquisition Performance

2. 喻曾（2018级博士生）：The causal effect of CEO option compensation on a bank’s contribution to Systemic Risk

3. 苏自力（2017级博士生）：Does Managerial Ownership Impact Controlling Shareholder’s Shares Pledging on Audit Fee?

4. 杨阳（2017级博士生）：自然人股东股票质押与股价异常收益率-基于中国A股市场质押发生日的实证研究

二、时间：2021年12月18日（周六）下午14:00-16:30

三、地点：腾讯会议

四、点评与讨论教师：

丁娜 中央财经大学金融学院 助理教授

吴锴 中央财经大学金融学院 助理教授

夏聪 中央财经大学金融学院 助理教授

五、主持人：丁娜 中央财经大学金融学院 助理教授

六、论文摘要

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. 自然人股东股票质押与股价异常收益率-基于中国A股市场质押发生日的实证研究

股票质押式回购交易是指符合条件的上市公司股东以其所持有的股票向银行、券商等金融机构质押以获得资金，并约定在未来还本付息并解除质押的交易。本文以我国A股上市公司自然人股东的股票质押实际发生日为事件发生点研究了质押事件对上市公司股价异常收益率的影响。

本文以2006年至2020年我国A股发生过股票质押业务的****家上市公司年度的每日股价数据为基础，共计12,905个股票质押事件作为研究样本。通过事件分析法，因变量选取CAPM计算的累计异常收益率，自变量选取流通股比例、BM、资产规模进行了检验，证实了我国A股上市公司自然人股东股票质押实际发生日对上市公司股价异常收益的影响。结果发现：（1）自然人股东在股票质押实际发生前，上市公司的股票异常收益率下降显著，且依据BM对上市公司进行分组发现，BM值越大的下降越明显；（2）当我们把期限从质押发生日前后15天拉长到60天时，发现质押股票的异常回报在两个时间点发生大幅下降，分别是前20天和前5天。这一结果与股票质押最终交易时确定的质押股价一般选取“前20日或前5日股价均线”的市场普遍操作非常契合，说明在质押事件确定后，二级市场对拟质押的上市公司股价有着明确的卖出行为。（3）从行业分类情况来看，IT业和制造业的上市公司较其它行业的上市公司，在股票质押发生日后存在明显的异常回报下降现象；（4）随着2018年资管新规落地，我们发现在此后进行股票质押的上市公司存在着异常收益下降加重的情况。这说明资金融出方在经历了2017年前后开始的股票质押式回购业务爆仓危机后，具备了更强的风险敏感性并实行了更严格的风控审批要求。

最后，本文使用FAMA三因子和五因子计算的累计异常收益率进行了稳健性检验，结果发现选取质押实际发生日前10天的累计异常收益率作为因变量，结果更加稳健。