JOURNAL OF CORPORATE FINANCE, VOLUME 51，AUGUST 2018

打击腐败是否会降低股价崩盘风险？来自中国的证据

作者：Yunsen Chen (Central University of Finance and Economics)

Yuan Xie (Fordham University)

Hong You (Central University of Finance and Economics)

Yanan Zhang (Central University of Finance and Economics)

摘要：本文研究了对中国政治腐败的打击是否会影响未来的股价崩盘。使用与腐败相关的起诉数据，本文发现被起诉的公司在打击行动后的崩盘风险显著下降。横截面检验表明，对政府政策依赖度较高且信息环境较差的企业，结果更为明显。此外，渠道检验提供直接证据表明，通过降低政治风险和坏消息囤积，打击腐败可以降低股价崩盘风险。总的来说，本文的研究提供了关于打击腐败使企业受益的新证据。

关键词：腐败，镇压，崩盘风险，政治风险，坏消息囤积

Does Crackdown on Corruption Reduce Stock Price Crash Risk? Evidence from China

Yunsen Chen (Central University of Finance and Economics), Yuan Xie (Fordham University), Hong You (Central University of Finance and Economics), Yanan Zhang (Central University of Finance and Economics)

ABSTRACT

This study examines whether crackdown on political corruption in China affects future stock price crashes. Using data from corruption-related prosecutions, we find that firms under prosecuted official jurisdictions experience a significant decrease in crash risk after the crackdown. Cross-sectional tests show that results are more pronounced for firms with higher political dependence on governments and for firms with worse information environment. Moreover, channel tests provide direct evidence that crackdown decreases crash risk by reducing political risk and bad news hoarding. Overall, our study offers novel evidence on how crackdown on corruption benefits firms.

Keywords: Corruption，Crackdown，Crash Risk，Political Risk，Bad News Hoarding

原文链接：

https://www.sciencedirect.com/science/article/pii/S0929119917307253

翻译：王秭越