| 企业风险承担行为与股价崩盘风险研究 |
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| 引用本文： | 孙艳梅,方梦然,郭敏.企业风险承担行为与股价崩盘风险研究[J].安徽师范大学学报(人文社会科学版),2018,46(4):134-143. |
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| 作者姓名： | 孙艳梅 方梦然 郭敏 |
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| 作者单位： | 对外经济贸易大学 金融学院,北京,100029;对外经济贸易大学 金融学院,北京,100029;对外经济贸易大学 金融学院,北京,100029 |
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| 基金项目： | 国家自然科学基金青年项目(71202026)，对外经济贸易大学中央高校基本科研业务费专项资金(CXTD7-04) |
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| 摘 要： | 本文研究了实体经济的风险承担行为对个股和系统性崩盘风险的影响.研究结果表明:企业的风险承担行为显著加剧了股价未来的个股崩盘风险,但会降低系统性崩盘风险;代理成本过高的公司,个股崩盘风险与企业风险承担行为显著为正,而低的代理成本组中企业风险承担行为能有效降低系统性崩盘风险;高的机构流动性公司中,企业风险承担行为能显著降低个股崩盘风险,而低的机构流动性公司则相反;高代理成本和低流动性的公司,风险承担行为更容易引发个股崩盘风险,而在低代理成本和高流动性的公司中,风险承担行为能有效降低系统性崩盘风险.
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| 关 键 词： | 崩盘风险 风险承担行为 代理成本 流动性 |
Research on Corporate Risk-taking Behavior and Stock Price Crash Risk |
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| SUN Yan-mei,FANG Meng-yang,GUO Min.Research on Corporate Risk-taking Behavior and Stock Price Crash Risk[J].Journal of Anhui Normal University(Humanities and Social Sciences),2018,46(4):134-143. |
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| Authors: | SUN Yan-mei FANG Meng-yang GUO Min |
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| Abstract: | We investigate whether corporate risk-taking behavior has an impact on stock price and systematic crash risk.We find strong and robust evidence that corporate risk-taking is positively related to stock price crash risk,while higher corporate risk-taking is associated with lower systematic crash risk.Moreover,the positive impact of corporate risk-taking on stock price crash risk is more pronounced when agency cost is higher,and corporate risk-taking behavior reduces systematic crash risk among low agency cost corpora-tions.We document a negative relation between stock price crash risk and risk-taking behavior by a high-liq-uidity-stock corporation.Further study shows that risk-taking behavior is more prone to induce stock price crash risk when the company has a severe principal-agent problem and its stock is under liquidity pressure. |
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