信息粉饰影响担保行为的机理和效应

本文构建信息不对称情景中担保人全体股东价值保值限制条件下的担保定价以及市场交易撮合模型,并论证信息不对称结构与信息粉饰影响担保市场撮合机理,发现:1)在信息互不对称下,担保人所有者权益价值粉饰使偿付概率低的担保人挤进了担保市场,使偿付概率高的担保人自愿退出市场;2)在债务人处于信息略劣势时,偿付概率低的担保人虽不会进入担保市场,但偿付概率高的担保人因财务信息粉饰过高定价,也不会进入担保市场,市场担保对象变少和规模缩小;3)在债权人处于信息劣势时,担保人所有者权益价值粉饰使偿付概率低的担保人会进入担保市场,符合条件的担保人会同时留在担保市场,担保人信息粉饰使债权人权益流向债务人,市场呈现过度信贷的现象.利用2007-2014年间我国上市公司提供担保数据样本验证了理论结论在我国的有效性,揭示信息粉饰为我国担保市场带来了虚假繁荣,增加了金融系统的风险.

The impact of information manipulation of guarantor in loan guarantee market

With the assumption that manager stand for the value of all shareholders, this paper builds a theoretical model of the pricing of loan guarantee under the asymmetric information condition. The pricing model indicates that:1) under the mutual information asymmetric conditions, the increase of equity value of guarantor by information manipulation lets guarantors with high probability of insolvency enter the guarantee market and lets guarantors with low probability of insolvency exit the market; 2) under the condition in which debtor is informational inferior, guarantors with high probability of insolvency can not enter the guarantee market but guarantors with low probability of insolvency exit the market; 3) under the condition in which creditor is informational inferior, guarantors with high probability of insolvency enter the guarantee market and guarantors with low probability of insolvency still stay in the market, making the market over credited. Using the data from the listed companies from Chinese stock market, the empirical evidence suggest our theoretical production, revealing that information manipulation by guarantor expands the loan guarantee market and increase the risk of financial system.