金融同业活动与实体企业经营风险——来自地区层面同业存单业务的证据

本文研究了地区层面金融同业活动对实体企业经营风险的影响。基于各省份金融机构开启同业存单业务的研究表明,地区层面金融同业活动显著提升了当地上市企业股价大幅下跌的风险。进一步研究表明,随着同业存单业务的发展,当地上市企业债务融资成本和风险水平有所上升,而业绩表现和市场价值有所下降。上述发现表明,企业融资链条变长后,信贷市场道德风险上升,部分企业因风险偏好增强导致经营风险上升,更容易突然出现负面事件而导致股价大幅下跌。本文的发现揭示了金融同业活动存在监管规避的可能性及其影响实体企业的潜在路径,凸显了完善金融监管以更好服务实体经济发展的重要现实意义。

Interbank Financial Activity and Firms' Operating Risk in the Real Sector: Evidence from Regional-level Interbank Negotiable Certificates of Deposit (INCDs)

During the post-crisis period, regulators encourage financial innovation to stimulate economic growth. However, financial innovation is accompanied by the rapid development of shadow banking, which has raised many concerns among practitioners and policymakers. Although many studies have discussed the unintended consequences of financial innovation on the financial system, empirical evidence of how financial innovation affects the real economy is rare.
In this paper, we attempt to fill this gap by studying how interbank financial innovation can affect the operating risk and likelihood of stock price crashes of listed firms. Stock price crashes are regarded as extreme bad events in stock markets. They fundamentally depend on a firm's operating risk and are largely driven by the intentional hoarding of bad news by firm insiders. When a firm's operating risk is high, the firm is more likely to experience negative events during the operating process, leading firm insiders to withhold bad news from external investors. Once the bad news is suddenly leaked to the market, the firm will experience tremendous stock price crashes. Specifically, to understand how interbank financial innovation affects firms' operating risk, we focus on the introduction of Interbank Negotiable Certificates of Deposit (INCDs) in 2013. Although INCDs were introduced to propel the liberalization of interest rates, they have been widely used in the banking sector to circumvent regulations. Since INCDs are introduced by the banking sector at different times across different provinces, we are able to study the effects of regional interbank financial innovation on the firm stock price crash risk in a difference-in-differences (DiD) setting.
We conduct a quarterly empirical analysis of listed Chinese firms over the 2011-2016 period. We find that the stock price crash risk of local listed firms increases significantly after INCDs are introduced into the corresponding region. The effect is also of economic significance: on average, the stock price crash risk of firms increases to around 9% of the sample standard deviation. We confirm that the increase in stock price crash risk emerges only after the introduction of INCDs, but not before it, indicating that the parallel trend assumption holds in the baseline DiD setting. This positive relationship is more pronounced among firms with higher risks and lower financial flexibility, indicating that the introduction of INCDs mainly affects firms that are susceptible to operational difficulties. Our results are robust when we consider alternative measures of the key variables, different subsamples, and other model specifications.
Further analysis indicates that the introduction of INCDs is associated with increased cost of debt, higher level of risk-taking, poorer operating performance, and lower market values of local listed firms. Evidence indicates that the introduction of INCDs extends firms' financing chains and increases moral hazards in the credit market: some firms are more likely to undertake excessive risk and, thus, experience sudden negative events, which can increase the risk of stock price crashes. The above findings indicate that regional-level interbank financial innovation can intensify the moral hazard problem in the credit market, which will increase local firms' operating risk and potentially reduce the stability of financial markets.
Our paper contributes to the literature in two aspects. First, different from the traditional view of bad news hoarding behavior and the micro-level determinants of stock price crash risk, our paper sheds light on how macro-level factors affect stock price crash risk. We use the introduction of INCDs at the provincial level as a quasi-exogenous shock and show that this financial innovation is an important macro-level determinant of firm operating risk and stock price crash risk. Second, our paper contributes to the literature on the real effects of financial innovation and shadow banking. The existing literature mainly focuses on how financial innovation and shadow banking activities affect the financial system, while their real effects are rarely studied. Our paper provides direct evidence of how interbank financial innovation can affect the operating risk of the real sector and the stability of the financial market. Lastly, our paper provides direct policy implications and evidence to support the introduction of new regulations for the asset management industry. Our study confirms the importance of policy goals in promoting the healthy development of multilevel capital markets, serving the real economy better, and maintaining the bottom line to prevent systemic financial risk.