Econ Papers Daily / 期刊论文
坏消息即好消息：隐性政府担保与股价崩盘风险
When bad news is good news: implicit government guarantees and stock price crash risk
摘要
We study how weakening implicit government guarantee expectations in China’s public credit market affects stock price crash risk. We exploit the March 2014 Chaori default as a shock to rigid-repayment expectations and use a difference-in-differences design. Crash risk falls significantly among firms with public credit-market exposure before the shock, and the result remains after accounting for issuer-level default risk. Adverse earnings news enters stock prices earlier, bond spreads become more informative about subsequent stock returns, and firms with greater pre-shock bond-market exposure experience larger declines in crash risk. Analysts, the media, and online investors provide more downside information. Firms also disclose more bad news, recognize losses sooner, report more promptly, and improve internal-control quality. The decline in crash risk is significantly larger among state-owned enterprises, where expectations of government support were stronger before the shock. The findings identify the credibility of government support as an institutional determinant of cross-market information efficiency and show how market-based credit-risk pricing can strengthen equity-market resilience.
中文摘要
本文研究中国公共信贷市场中隐性政府担保预期减弱如何影响股价崩盘风险。我们以2014年3月超日违约作为刚性兑付预期冲击，并采用双重差分设计。冲击前具有公共信贷市场敞口的公司，其崩盘风险显著下降，且在控制发行人层面违约风险后该结果依然成立。负面盈利消息更早进入股价，债券利差对后续股票收益更具信息含量，冲击前债券市场敞口更大的公司崩盘风险下降幅度更大。分析师、媒体和网络投资者提供更多下行信息。公司也披露更多坏消息、更早确认损失、更及时报告并改善内部控制质量。在冲击前政府支持预期更强的国有企业中，崩盘风险下降幅度显著更大。研究结果将政府支持的可信度识别为跨市场信息效率的制度性决定因素，并表明基于市场的信用风险定价能够增强股票市场韧性。