地缘政治摩擦与企业尾部风险：来自中美贸易战的证据

摘要

This study investigates the association between targeted geopolitical protectionism and firm-specific stock price crash risk using the US–China trade dispute as a quasi-natural experiment. Employing a staggered difference-in-differences framework on Chinese listed firms, we document a significant positive association between tariff-induced trade frictions and crash risk. This relationship is underscored by elevated financial reporting opacity, exacerbated operational volatility, and tightened financial constraints, which collectively incentivize executives to suppress negative information. Conversely, managerial ability, robust corporate governance, and digital transformation attenuate this association. Cross-sectionally, this tail risk is more pronounced among large and state-owned enterprises, whereas state-led policy hedging mitigates it for high-tech firms. Furthermore, China’s retaliatory tariffs are positively associated with crash risk for domestic importers by inflating procurement costs. Crucially, highly integrated processing trade firms facing simultaneous bilateral exposure experience a non-linear exacerbation of risk due to dual macro-financial pressures: export revenue contraction coupled with intermediate input cost inflation. Collectively, our findings highlight how international geopolitical conflicts structurally amplify corporate agency problems and threaten macro-financial stability.