关联交易与股价崩盘风险:来自A股市场的实证证据
首发时间:2020-01-17
摘要:股价崩盘现象不仅使投资者蒙受巨大的财富损失,而且影响金融市场健康运行。本文以2006-2017年A股上市公司为样本,从管理层隐藏坏消息手段出发,通过采用普通的OLS回归的方法,实证检验了关联交易对上市公司股价崩盘风险的影响。研究结果表明,随着异常关联交易金额的增加,其公司未来股价崩盘风险会显著增加。由于"隐藏坏消息"假说在本质上将股价崩盘风险归因于委托代理问题导致的管理者自利行为,本文研究发现,关联交易与股价崩盘风险的正向关系在内外部治理环境较弱更为显著。概况而言,A股上市公司通过关联交易的方式隐藏负面消息,从而增加其公司股价在未来崩盘的风险。
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Related party transactions and stock price crash risk: empirical evidences from the A-share market
Abstract:The stock price crash not only makes investors suffer huge wealth loss, but also affects the operation of financial market. This paper took the a-share listed companies from 2006 to 2017 as the sample, and empirically tested the impact of abnormal related party transactions on the stock price crash from the perspective of the management hiding bad news by using ordinary OLS regression method. This paper confirmed that abnormal related party transactions (RPTs, hereafter) was significantly positively correlated with firms' future stock price crash risk. In addition, since the "hidden bad news" hypothesis essentially attributes the risk of stock price crash to the self-interested behaviors of managers caused by principal-agent problems, this paper confirmed that this correlation is more pronounced for firms which internal and external governance environment is weak. To summarize, our findings support that listed firms in the A-share market hide negative news through related party transactions, leading to the increase of future stock price crash risk
Keywords: stock price crash risk related party transactions corporate governance
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关联交易与股价崩盘风险:来自A股市场的实证证据
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