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1.
王惠  王贞洁 《金融论坛》2023,(10):25-35
本文以2009-2020年中国A股上市公司为样本,考察企业外汇风险对冲对金融市场稳定的影响,并探讨经济政策不确定性在两者间的调节效应。研究发现:外汇风险对冲能抑制股价崩盘风险,且经济政策不确定性越高时作用越强。机制研究表明,外汇风险对冲通过发挥“资源效应”和“治理效应”抑制股价崩盘风险,经济政策不确定性促进了“资源效应”的发挥。当企业国际化程度较高、高管有金融背景、内控质量较高或受分析师关注度较高时,外汇风险对冲的作用更明显,国际化程度较高、高管有金融背景时经济政策不确定性的调节效应更强。  相似文献   

2.
以2007-2016年我国A股国有上市公司为样本,考察官员晋升压力对国有企业股价崩盘风险的影响。研究发现:官员晋升压力加剧了国有企业的股价崩盘风险,尤其是在政府干预程度较大的地区;进一步作用机制检验显示,官员晋升压力是通过国有企业管理层隐藏负面消息、增加过度投资以及降低环境治理水平而加剧股价崩盘风险的。本文的研究丰富了股价崩盘风险影响因素的理论成果,进一步揭示了官员晋升压力对微观企业的干预作用,并为地方官员晋升考核机制的完善提供了政策启示。  相似文献   

3.
本文选取2013-2020年沪深A股上市公司数据为样本,研究了环境、社会责任及公司治理(ESG)表现对企业股价崩盘风险的影响。研究表明:良好的ESG表现能够发挥监督效应和声誉效应,即通过提高企业的外部监督和声誉水平,进而抑制其股价崩盘风险。进一步研究发现,企业信息环境越差,ESG表现对企业股价崩盘风险的抑制作用越强;经济政策不确定性越高时,ESG表现对企业股价崩盘风险抑制作用越为明显。研究基于企业ESG表现这一非财务指标,扩展了企业股价崩盘风险的影响因素研究,肯定了良好的ESG表现在微观的企业层面所发挥的积极作用,也对维护资本市场稳定、促进我国经济高质量发展具有一定的现实意义。  相似文献   

4.
通过分析沪深A股上市公司2004—2018年的数据发现,股票流动性加剧了公司股价崩盘风险。经过多种稳健性检验并处理内生性问题后,该结论仍成立。另外,股票流动性加剧股价崩盘风险的效果在分析师关注程度较低和所在地区制度环境较差的企业中表现得更为明显。最后的机制分析表明较高的股票流动性通过提高机构投资者持股比例加剧股价崩盘风险。研究结论拓展了股价崩盘风险影响因素的视角,为合理引导股票市场流动性,防范未来的股价崩盘,维护股票市场稳定性提供了政策参考。  相似文献   

5.
近二十年来金融危机频发,股价崩盘现象频频出现,而宗教信仰作为影响人们生活方式和经济行为的重要因素,学者们开始从宗教信仰开始入手研究降低股价崩盘风险的问题。本文以wind数据库、北大法宝数据库以及国家宗教事务局等收集的数据为基础,运用系统GMM模型探讨宗教信仰对股价崩盘风险的影响。研究发现宗教信仰对于降低股价崩盘风险有积极作用,但是不同宗教对于股价崩盘风险的作用是不同的,天主教对于股价崩盘风险的降低作用最为显著,佛教和道教对于降低股价崩盘风险未起显著作用,并且宗教信仰和法律制度降低股价崩盘风险是起着相互促进的作用。此外,本文还发现,会计审计监督是宗教信仰影响股价崩盘风险的完全传导机制,表现为宗教信仰程度越高,会计审计监督情况越好,股价崩盘风险越低。  相似文献   

6.
利用我国A股2012-2018年上市公司数据,探讨上市公司业绩预告偏差与偏离方向如何影响股价崩盘风险,以及内部控制质量对两者的调节作用。研究发现:公司业绩预告偏差与股价崩盘风险显著正相关;与悲观偏差相比,业绩预告乐观偏差才会加剧股价崩盘风险,高质量的内部控制能够缓解业绩预告乐观偏差加剧的股价崩盘风险。进一步研究发现,当上市公司业绩预告需要强制披露、披露越及时及披露坏消息时,内部控制质量的调节作用更加显著。由此证明,高质量内部控制在缓解因业绩预告乐观偏差加剧的股价崩盘风险中发挥重要作用。  相似文献   

7.
本文选取A股上市公司作为研究对象,构建Cox回归模型探讨财务指标与非财务指标对上市公司股价崩盘的影响。实证结果显示:财务指标与非财务指标对股价崩盘有一定的预警作用,在所选取的指标中,现金流比率等因素对防止公司股价崩盘的发生起到保护作用,即现金流比率越高,公司股价崩盘风险越小;而管理层持股比例等作为危险因素,会加剧公司发生股价崩盘的可能性。进一步将Cox模型与集成学习模型相结合,发现模型的预测性能显著提升。研究发现了股价崩盘在时序上的变化规律及风险预期,为企业持续经营与风险防范提供参考借鉴,有助于促进资本市场的平稳运行;风险预警模型的建立有助于利益相关者有效识别股价崩盘风险,在一定程度上保护股东和投资者的权益。  相似文献   

8.
本文利用深市A股上市公司2014-2021年的相关数据,考察了机构调研行为对股价崩盘风险的影响。研究发现,机构调研与股价崩盘风险存在U型关系,低于阈值的机构调研行为将会降低股价崩盘风险,超过阈值的机构调研行为将会加剧股价崩盘风险。进一步分析发现,真实盈余管理水平在U型关系中发挥了完全中介作用,且U型关系在民营企业中更加显著。  相似文献   

9.
本文构建了"暴涨暴跌"市场行情指数以区分股市异常波动与非异常波动行情,利用我国融资融券交易试点及五次扩容事件作为自然实验,精确分离出卖空交易对股价崩盘风险的独立效应。研究发现,虽然融资交易的杠杆效应会增大股价崩盘风险,但是卖空交易显著降低了股价崩盘风险;市场行情对卖空交易和融资交易的影响机制存在差异,"暴涨暴跌"市场行情加大了融资交易的杠杆效应对股价崩盘风险的增大程度,却显著提升了卖空交易对股价崩盘风险的降低作用。本文拓展了卖空交易经济功能的研究,并区分了股市异常波动(暴涨暴跌)和非异常波动行情对卖空交易降低股价崩盘风险功能的影响,研究结论对于完善融资融券制度、促进卖空交易功能发挥、完善资本市场监管具有重要的政策含义。  相似文献   

10.
近年来,企业债务违约造成的"担保危机"接连爆发,而上市公司因对外担保所引发的股价崩盘事件也层出不穷,在此背景下,本文探讨企业对外担保与股价崩盘风险之间的内在关系,并对其作用机理进行了展开分析.研究发现,企业对外担保比重与股价崩盘风险呈显著正相关关系,且在信息透明度较低、公司治理较差和行业竞争程度较低的情况下,企业对外担保比重对股价崩盘风险的影响更为显著.进一步研究发现,企业对外担保引发股价崩盘风险提升的作用机制在于:(1)对外担保使得借款方的违约风险向担保方进行转移,加剧了担保企业的信用风险;(2)对外担保比例越高,管理层更倾向于通过信息披露采取机会主义行为——发布更加乐观的业绩预告隐藏公司的负面信息.本文拓展和深化了企业对外担保和股价崩盘风险等领域的研究,为监管部门、上市公司和投资者更深刻地理解企业对外担保的经济后果及其作用机制,提供了实证依据与重要启示.  相似文献   

11.
This paper studies the impact of economic policy uncertainty on stock price crash risk using data from China. We develop a new index to measure Chinese economic policy uncertainty and find that economic policy uncertainty has a remarkable positive effect on stock price crash risk. However, the effect reverses later. The results also indicate that the positive effect of economic policy uncertainty on stock price crash risk is more prominent for state‐owned enterprises. Moreover, this effect is more prominent for firms with higher information asymmetry and firms with greater disagreement among investors, indicating that economic policy uncertainty affects crash risk through two mechanisms: managers’ concealment of bad news and investors’ heterogeneous beliefs.  相似文献   

12.
We investigate the spillover effect of corporate social responsibility (CSR) concerns along the supply chain. We propose an information incorporation effect for whether suppliers' CSR concerns affect customers' stock price crash risk. Customers' investors can incorporate information about suppliers' CSR into stock price valuations, lowering the probability of abrupt stock price crashes. Our findings support the information incorporation effect. Suppliers' CSR concerns are negatively associated with customers' stock price crash risk. The negative relationship is more pronounced for firms with high media coverage, negative media sentiment, high investor attention, negative investor sentiment, low trade policy uncertainty, and low political uncertainty. Moreover, we rule out the alternative explanation that suppliers' CSR strengths dominate the effect. Our main finding is supported by change analysis and robustness tests, including an alternative measure test.  相似文献   

13.
We examine the impact of economic policy uncertainty (EPU) on firm-specific crash risk. Based on a large sample of Chinese listed firms over the period from 2000 to 2017, we provide empirical evidence that firms are more likely to experience stock price crashes when EPU increases. Cross-sectionally analysis further reveals that the impact of EPU on stock price crash risk is stronger for firms whose returns are more sensitive to EPU. More specifically, young stocks, small stocks, high volatility stocks, and growth stocks, which have higher valuation uncertainty per se, are more sensitive to EPU and are more affected by EPU in terms of crash risk. We further show that EPU is significantly and positively associated with aggregated stock price crash risk at the market level.  相似文献   

14.
Whether the implementation of a national industrial policy can maintain stability in the financial market is a question of theoretical and practical significance. Using data from China’s non-financial listed firms from 2007 to 2020, we find that a national industrial policy lowers stock price crash risk. We find that the effect of an industrial policy on lowering stock price crash risk is more pronounced in regions with low levels of regional marketization and if firms have high external uncertainty, low total asset turnover, greater earnings management and receive small increments of long-term loans and fewer government subsidies, suggesting that industrial policies lower stock price crash risk by improving firm fundamentals and reducing external uncertainty, agency costs and information asymmetry.  相似文献   

15.
We examine the relationship between economic policy uncertainty (EPU) and stock price crash risk via the corporate investment in Chinese listed firms. Results show that higher EPU is associated with lower crash risk. Firms increase financial asset holdings and reduce overinvestment when EPU rises, leading to lower future crash risk. State-owned enterprises (SOEs) and firms with lower management incentives tend to reduce overinvestment, whereas non-SOEs tend to increase financial asset holdings. Thus, firms tend to be cautious in their investments when EPU is high, which reduces crash risk. Our study provides new insights into the validity of the Lucas critique in China.  相似文献   

16.
The effects of various China economic policy uncertainty (EPU) indices on Chinese listed firms' stock price behavior are examined in this study. We find that the mass media in China-based index is the best indicator of stock price crash risk for Chinese A- or B-share listings, but the index based on independent Chinese media is better for H-share listings. Chinese firms face a greater risk of stock price crashes during high EPU periods, but for B-share listings this relationship becomes negative after more media coverage is considered. We follow Baker, Bloom, and Davis (2016) and construct an EPU measure for the Chinese economy based on a Chinese character search of newspapers. We compare our EPU index with the BBD index of Baker, Bloom, and Davis (2016), which is based on an English-language Hong Kong news source. We find that the BBD index is a reasonable proxy for China's EPU but that it omits some useful information. We further demonstrate that our EPU index predicts China's economic trends more effectively than the BBD index, particularly when based on mass media in China.  相似文献   

17.
This study examines the difference in stock price crash risk between zero-leverage and non-zero-leverage firms. We find that zero-leverage firms have a significantly higher future stock price crash risk than non-zero-leverage firms. Next, we find that the positive relation between zero-leverage policy and future stock price crash risk is more pronounced when firms have higher controlling shareholders' ownership and foreign ownership. We also find that the positive relation is more pronounced for firms with low cash holdings than for those with high cash holdings. Further, we find that the positive relation is stronger for dividend-paying firms than non-dividend-paying firms. Our results are robust to alternative estimation specifications and endogeneity concerns. Overall, our findings shed light on the extent to which extreme corporate financial policy has an impact on future stock price crash risk. Our empirical evidence also provides meaningful implications for how stakeholders (especially investors) predict stock price crash risk in the context of extremely conservative capital structure.  相似文献   

18.
以2009~2013年我国A股上市公司为研究样本,实证分析地方官员更替、辖区企业知名度与股价同步性的关系,结果表明:地市级政府官员变更所带来的政治不确定性会显著降低辖区企业的股价同步性,并且相对于新任官员来源于本地而言,新任官员来源于异地更能够显著地降低辖区内企业的股价同步性.进一步研究还发现,当地市级政府官员发生变更时,相对于辖区知名度较高的企业而言,辖区知名度较低的企业会披露更多的企业私有信息以应对政治不确定性风险,从而其股价同步性有了更大程度的降低.研究的结论证实了政治不确定风险的增加能够显著降低辖区内企业的股价同步性,客观上有助于提高股价的信息含量.  相似文献   

19.
This study uses 462,678 monthly observations of US-listed firms for the period 1990–2018 to document a strong positive relationship between short-term changes in financial distress risk and future stock price crashes. This result is economically significant as a one interquartile increase of the main explanatory variable in any month increases the probability of a stock price crash by 8.33% relative to its mean value. The findings withstand controls for a large array of variables, firm-fixed effect estimations, and alternative definitions of distress and crash risk measures; they are also robust to a range of tests conducted to buttress against endogeneity concerns. The study conducts analyses demonstrating that the positive distress-crash risk relationship is driven by managerial opportunism that seeks to camouflage bad news that has an adverse effect on firms' economic fundamentals. Accordingly, the findings corroborate an agency theory explanation for the impact of distress risk on stock price crashes. This study offers practical insights to investors, who should be vigilant of a firm's distress risk, as sudden short-term increases underscore withheld negative information pertinent to crash risk problems.  相似文献   

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