险中求胜还是只轮不返 : 风险承担对股价崩盘的影响

Get the Wealth by Risking or Suffer the Losses of Failure : The Effects of Risk-taking on Stock Price Crash

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Author(s)

  • 田高良
  • 封华
  • 赵晶
  • 齐保垒

Related Research Unit(s)

Detail(s)

Original languageChinese (Simplified)
Pages (from-to)127-143
Journal / Publication管理科学
Volume33
Issue number2
Publication statusPublished - 20 Mar 2020

Abstract

作为重要的实体经济决策,风险承担本质上反映了企业管理者在投资决策时对项目风险与收益的权衡。从理论而言,风险承担可以带来更高的预期回报,进而促进股价增长。但不可否认的是,风险承担行为所伴随的不确定性也会提高企业的财务风险,加剧管理者与股东之间的利益冲突,继而引发管理者隐匿投资决策中的负面信息等机会主义行为,这正是股价崩盘的重要诱因。以风险承担的双刃剑属性为切入点,分别从其正面效应提出险中求胜假说,从其负面效应提出只轮不返假说,构建具有竞争性的理论分析框架,利用2003年至2015年中国A股上市企业的数据,运用 SAS 和 Stata 软件进行多元线性回归、配对分析和工具变量回归分析,实证检验企业风险承担对股价崩盘的影响,并探讨二者关系的内在传导机制和外在影响因素。研究结果表明,在中国资本市场中,企业风险承担水平与股价发生崩盘的可能性显著正相关,在替换风险承担测量方法、改变模型估计方式以及控制了内生性问题后,基本结果依然稳健。进一步研究发现,风险承担伴随的高额负债和大量资本支出是导致股价崩盘风险增加的具体方式;管理层为缓解风险承担带来的财务困境和代理冲突,对企业负面信息进行隐藏是二者间关系的内在传导机制;更稳健的会计政策、更好的公司治理、更透明的信息环境有助于缓解风险承担对股价崩盘的影响。将代理理论对风险承担行为的解释从其事前阶段拓展到事后阶段,既丰富了风险承担经济后果相关研究,也拓展了股价崩盘影响因素的研究成果,对企业的重要启示是,虽然提高风险承担水平有助于企业长远发展和经济持续增长,但其负面效应也可能导致资本市场出现断崖式下跌。决策部门既要鼓励企业承担风险,对其可能导致的负面效应也应未雨绸缪,做好防范措施。
As an important economic decision, corporate risk-taking essentially reflects the trade-off between risk and return in the process of firm investment behaviors. Theoretically, on the one hand, high level of risk-taking implies a large amount of expected return in the future, thereby contributing to the growth of stock price. On the other hand, the heightened uncertainty associated with corporate risk-taking aggravates the agency conflicts and increases the short-term costs, resulting in potential financial distress and private information hiding activities, which is an important driving factor on stock price crash events has been well documented in the previous studies. Building on the foundation of the double-edged sword effect of risk-taking, we propose two competitive hypotheses, namely, "Get the wealth by taking risk" and "Suffer the losses of failure" respectively. By using the data of A-share listed firms in China from 2003 to 2015,we adopt SAS, Stata software and employ multiple empirical methodologies, including the ordinary least squares estimation, matched sample analysis, and instrumental regression to test the effect of risk-taking on stock price crash risk. Additionally, we also investigate the inherent mechanism of the main result and explore several moderating factors. The findings of this study are summarized as follows: in China’s capital market, firms with higher levels of risk-taking result in greater probabilities of stock price crashes. This finding is robust to alternative measures of risk-taking, different estimation methods and additional tests that address endogeneity concerns. In addition, we find that high level of liability and capital expenditure are the specific forms of risk-taking. Moreover, managers in the high risk-taking firms are more likely to hide the negative information, which is the inherent mechanism of the relation between risk-taking and stock price crash risk. Finally, we find that the positive relationship between risk-taking and stock price crash risk is less pronounced for firms with more conservative accounting policies, better corporate governance, and more transparent information environment. The conclusion of this study adds to the line of literature on the economic consequences of corporate risk-taking, as well as provides a new theoretical explanation on the relation between risk-taking and stock price crash from the agency perspective. This study also has several important practical implications: although increasing the level of corporate risk-taking may contribute to the economic growth as well as the firms’ development in the long-term, the negative effects of corporate risk-taking may also increase the probability of stock price crash events. The policy-makers should take precautions and make defending measures in advance.

Research Area(s)

  • 风险承担, 股价崩盘, 机会主义行为, 内在机制, 缓解途径, risk-taking, stock price crash, opportunistic behaviors, inherent mechanism, mitigating methods

Citation Format(s)

险中求胜还是只轮不返: 风险承担对股价崩盘的影响. / 田高良; 封华; 赵晶 et al.
In: 管理科学, Vol. 33, No. 2, 20.03.2020, p. 127-143.

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review