Journal of Banking & Finance ·Vol.74,MARCH 2017

信任與股價崩盤風險——來自中國的證據

作者：Xiaorong Li (School of Public Finance and Taxation, Central University of Finance and Economics), Steven Shuye Wang (School of Business, Renmin University of China), Xue Wang (School of Business, Renmin University of China)

摘要：本文考察了社會信任對股價崩盤風險的影響。社會信任衡量了社會成員之間的相互信任水平。我們使用了2001-2015年中國上市公司的大樣本數據進行研究，發現總部設在社會信任較高地區的公司往往有較小的崩盤風險。這個結果對于一系列的敏感性測試是穩健的，并且對于國有企業、監管較弱的公司和風險承擔較高的公司更為突出。此外，我們還觀察到高社會信任地區的公司往往與更高的會計穩健性和更少的财務重述相關聯。我們的研究表明社會信任是一個重要的變量，但它往往在研究股票價格崩盤的預測因素的文獻中被忽略。

關鍵詞：崩盤風險，社會信任，代理理論

Trust and stock price crash risk: Evidence from China

Xiaorong Li(School of Public Finance and Taxation, Central University of Finance and Economics, Beijing, China), Steven Shuye Wang(School of Business, Renmin University of China, China), Xue Wang(School of Business, Renmin University of China, China)

ABSTRACT

This paper examines the impact of social trust on stock price crash risk. Social trust measures the level of mutual trust among the members of a society. Using a large sample of Chinese listed firms for the 2001–2015 period, we find that firms headquartered in regions of high social trust tend to have smaller crash risks. This result is robust to a battery of sensitivity tests and is more prominent for State-Owned Enterprises (SOEs), for firms with weak monitoring, and for firms with higher risk-taking. Moreover, we observe that firms in regions of high social trust are associated with higher accounting conservatism and fewer financial restatements. Our study suggests that social trust is an important variable that is omitted in the literature investigating the predictors of stock price crashes.

Keywords: Crash risk, Social trust, Agency theory

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0378426616302448

翻譯：賈夢悅