Inappropriate asset valuation of private placement and acquisitions can lead to financial risk. Based on the micro-governance perspective of financial risk prevention, this article constructs a testing model for the impact of non-controlling large shareholders’ exit threats on the asset valuation and conducts empirical analysis. Research has found that exit threats can reduce inflated asset valuation. The market value of managers’ holdings, the market value of controlling shareholders’ holdings, and their equity pledges will enhance the connection between exit threats and inflated asset valuation, while the embedding strength of manager relationship will weaken the connection between exit threats and inflated asset valuation. Exit threats promote the rationalization of asset valuation, which can significantly improve the performance of private placement and acquisitions, and mainly play a role through performance commitment mechanism and reputation constraint mechanism. The governance effectiveness of exit threats is more significant in the process of high credibility, high intensity, private enterprises, and low marketization.