That circuit is a negative mirror–image of the common NPN emitter follower regulator used with positive supplies!
Even if the supply voltage is too low to enable the zener diode to conduct, it will still produce an output, because the base voltage of the transistor will only be about 0.1 to 0.2 V above the collector, relative to positive earth, and the emitter/base junction of the transistor will be forward biassed, because the cathode of the emitter/base diode goes to a point more NEGATIVE than its emitter, so you will get the forward emitter voltage drop of a PNP transistor, giving an emitter voltage of about –6.4 V.
Think of it as you would with the usual NPN emitter follower stabiliser, but with positive voltages replaced by negative ones!
Chris Williams